Function fang_oost_option::option_calibration::generate_fo_estimate [−][src]
pub fn generate_fo_estimate<'a, 'b: 'a>(
strikes_and_option_prices: &'b [OptionData],
u_array: &'b [f64],
n: usize,
stock: f64,
rate: f64,
maturity: f64,
min_strike: f64,
max_strike: f64
) -> impl IndexedParallelIterator<Item = Complex<f64>> + 'a
Expand description
Returns iterator over discrete empirical characteristic function
Examples
extern crate fang_oost_option;
use fang_oost_option::option_calibration;
let strikes_and_options = vec![
option_calibration::OptionData{
strike:30.0, price:22.0
},
option_calibration::OptionData{
strike:50.0, price:4.0
},
option_calibration::OptionData{
strike:60.0, price:0.5
}
];
let stock = 50.0;
let rate = 0.05;
let maturity = 0.8;
let min_strike = 0.3;
let max_strike = 3000.0;
let u_array=vec![-1.0, 0.5, 3.0];
let cf_estimate = option_calibration::generate_fo_estimate(
&strikes_and_options,
&u_array,
128,
stock,
rate,
maturity,
min_strike,
max_strike
);