Crate fang_oost[][src]

Functions

compute_x_range

Function to compute the discrete X range per Fang Oosterlee (2007) @xDiscrete number of sections to parse the X domain into @xMin the minimum of the X domain @xMax the maximum of the X domain @return vector of discrete X values

get_density
get_density_x
get_discrete_cf
get_expectation_discrete_extended

Generates expectation over real domain provided by the input "x". The "type" of expectation is handled by the vk function.
@num_u Number of discrete steps in the complex domain. @x Vector of elements in real domain. @fn_inv Characteristic function. @vk Function which controls what kind of expectation (the integrand).

get_expectation_discrete_real

Generates expectation over real domain provided by the input "x". The "type" of expectation is handled by the vk function.
@num_u Number of discrete steps in the complex domain. @x Vector of elements in real domain. @fn_inv Characteristic function. @vk Function which controls what kind of expectation (the integrand).

get_expectation_generic_domain
get_expectation_generic_x
get_expectation_x_extended

Generates expectation over equal mesh in the real domain. The "type" of expectation is handled by the vk function.
@num_x Number of discrete steps in the real domain. @num_u Number of discrete steps in the complex domain. @x_min Lower truncation of the real domain. @x_max Upper truncation of the complex domain. @fn_inv Characteristic function. @vk Function which controls what kind of expectation (the integrand).

get_expectation_x_real

Generates expectation over equal mesh in the real domain. The "type" of expectation is handled by the vk function.
@num_x Number of discrete steps in the real domain. @num_u Number of discrete steps in the complex domain. @x_min Lower truncation of the real domain. @x_max Upper truncation of the complex domain. @fn_inv Characteristic function. @vk Function which controls what kind of expectation (the integrand). NOTE! These are so similar. Is it possible to pass a function as