[−][src]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 );