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
compute_x_range |
Function to compute the discrete X range per Fang Oosterlee (2007) @xDiscrete number of sections to parse the X domain into @xMin the minimum of the X domain @xMax the maximum of the X domain @return vector of discrete X values |
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 |