### 20 releases

0.10.0 | Sep 1, 2021 |
---|---|

0.9.1 | Nov 27, 2020 |

0.9.0 | Mar 2, 2019 |

0.7.2 | Dec 19, 2018 |

0.2.0 | Jul 16, 2018 |

#**1632** in Algorithms

Used in **2** crates

**MIT**license

19KB

294 lines

[lin-badge]: https://github.com/danielhstahl/cf_dist_utils_rust/workflows/Rust/badge.svg [cov-badge]: https://codecov.io/gh/danielhstahl/cf_dist_utils_rust/branch/master/graph/badge.svg

Linux | Codecov |
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![lin-badge] | ![cov-badge] |

# cf_dist_utils

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.

## using cf_dist_utils

Put the following in your Cargo.toml:

`[``dependencies``]`
`cf_dist_utils ``=` `"`0.10`"`

Import and use:

`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
`)``;`

# Benchmarks

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

#### Dependencies

~2.1–3MB

~61K SLoC