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.

Structs

GraphElement

Functions

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_extended_move

Returns expectation over equal mesh in the real domain where characteristic function depends on initial starting point of a Levy process and consumes the discrete_cf vector. Useful when only need to use the discrete_cf once.

get_expectation_real

Returns expectation over equal mesh in the real domain

get_expectation_real_move

Returns expectation over equal mesh in the real domain and consumes the discrete_cf vector. Useful when only need to use the discrete_cf once.

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