VGCharacteristicFunction

class quantmetrics.price_calculators.vg_pricing.vg_characteristic_function.VGCharacteristicFunction(model: LevyModel, option: Option)[source]

Bases: object

calculate(u: ndarray) → ndarray[source]

Calculate the characteristic function for the given model.

Parameters

unp.ndarray

Input array for the characteristic function.

Returns

np.ndarray

The characteristic function values.