Function fang_oost_option::option_calibration::generate_fo_estimate

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

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
);