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cf_functions

A library which has characteristic functions for a variety of distributions

by Daniel Stahl

20 releases (breaking)

0.16.0 Sep 4, 2021
0.14.0 Jan 11, 2020
0.13.0 Mar 2, 2019
0.10.0 Sep 23, 2018
0.2.0 Jul 16, 2018

#3 in #distributions

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97 downloads per month
Used in 2 crates

MIT license

62KB
1K SLoC

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CF functions

Implements common CF functions in Rust

References

Duffie: http://web.stanford.edu/~duffie/dps.pdf

Carr-Geman-Madan-Yor: http://finance.martinsewell.com/stylized-facts/distribution/CarrGemanMadanYor2002.pdf

My ops-risk paper: https://github.com/danielhstahl/OpsRiskPaper/releases/download/0.1.0/main.pdf

Benchmarks

https://danielhstahl.github.io/cf_functions_rust/report/index.html

Crates

https://crates.io/crates/cf_functions

lib.rs:

Provides several common characteristic functions for option pricing. All of the characteristic functions are with respect to "ui" instead of "u".

Dependencies

~250–355KB