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This is a set of utilities to wrap around my fang_oost library. Documentation is on docs.rs. The main features are the ability to compute VaR, the CDF of a distribution, and the expected shortfall of a distribution.
Put the following in your Cargo.toml:
toml
[dependencies]
cf_dist_utils = "0.8"
Import and use:
rust
extern crate num_complex;
use num_complex::Complex;
extern crate cf_dist_utils;
let mu=2.0;
let sigma=5.0;
let num_u=128;
let x_min=-20.0;
let x_max=25.0;
let max_iterations=1000;
let tolerance=0.0000001;
let alpha=0.05;
let norm_cf=|u:&Complex<f64>| (u*mu+0.5*sigma*sigma*u*u).exp();
let (estimated_es, estimated_var)=cf_dist_utils::get_expected_shortfall_and_value_at_risk(
alpha, num_u, x_min, x_max, max_iterations, tolerance, norm_cf
);