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_x_range	Returns vector of real (x) domain
get_density	Returns iterator over density from user supplied domain
get_density_x	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_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