Crate fang_oost

Fang Oosterlee approach for inverting a characteristic function. Some useful characteristic functions are provided in the cf_functions repository. Link to Fang-Oosterlee paper.

Functions

compute_du	Function to compute the difference in successive U nodes. This can feed into the "getU" function. Note that this depends on X: the U and X domains are not "independent".
get_complex_u	Helper function to get complex u
get_density	Returns iterator over density from user supplied domain
get_density_x	Returns iterator over density with domain created by the function
get_density_x_discrete_cf	Returns iterator over density with domain created by the function
get_discrete_cf	Returns discretized characteristic function given an analytical characteristic function
get_expectation_discrete_extended	Returns expectation over mesh supplied by the user where characteristic function depends on initial starting point.
get_expectation_discrete_real	Returns expectation over mesh supplied by the user
get_expectation_real_discrete_cf	Returns expectation at multiple points for discrete cf
get_expectation_single_element_extended	Returns expectation at point supplied by the user where characteristic function depends on initial starting point.
get_expectation_single_element_real	Returns expectation at point supplied by the user
get_expectation_x_extended	Returns expectation over equal mesh in the real domain where characteristic function depends on initial starting point.
get_expectation_x_real	Returns expectation over equal mesh in the real domain
get_u	Function to compute the discrete U. The operation is cheap and takes less ram than simply using the computeURange function to create a vector. Note that "uMin" is always zero and hence is unecessary. This can (should?) be simply an implementation of a generic "getNode" function but is broken into two functions to make it explicit and be more closely aligned with the Fang Oosterlee paper.
get_x_domain	Returns iterator over real (x) domain