Function cf_functions::merton_log_cf

pub fn merton_log_cf(
    u: &Complex<f64>, 
    lambda: f64, 
    mu_l: f64, 
    sig_l: f64
) -> Complex<f64>

Returns log of Poisson jump characteristic function with Gaussian jumps

Examples

extern crate num_complex;
use num_complex::Complex;
extern crate cf_functions;
let u = Complex::new(1.0, 1.0);
let lambda = 0.5; //jump frequency
let mu_l = 0.5; //mean of jump
let sigma_l = 0.3; //volatility of jump
let log_cf = cf_functions::merton_log_cf(
    &u, lambda, mu_l, sigma_l
);