[−][src]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
get_density | Returns iterator over density with domain created by the function |
get_discrete_cf | Returns "raw" discrete cf @num_u the number of discrete steps in complex space @x_min the minimum value of the truncated x domain @x_max the maximum value of the truncated x domain @cf_fn characteristic function |
get_expectation_extended | Returns expectation over equal mesh in the real domain where characteristic function depends on initial starting point of a Levy process. |
get_expectation_real | Returns expectation over equal mesh in the real domain |
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_u_domain | Helper function to get complex u domain @num_u the number of discrete steps in complex space @x_min the minimum value of the truncated x domain @x_max the maximum value of the truncated x domain @return discrete complex values spanning the complex space |
get_x_domain | Returns iterator over real (x) domain |