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 with domain created by the function |
get_discrete_cf |
Returns "raw" discrete cf |
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 |
get_x_domain |
Returns iterator over real (x) domain |