Crate fang_oost[−][src]
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
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_u_domain |
Helper function to get complex u domain |
get_x_domain |
Returns iterator over real (x) domain |