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