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3 years ago
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using Nemo
	using CharFuncPricing
	
	R = ArbField(256)
	CC = AcbField(256)
	r= R(QQ(3, 100)); q = R(QQ(0, 100))
	κ = R(2*rand()); θ = R(QQ(225, 100000)); σ = R(0.25); v0 = R(QQ(225, 10000)); ρ = R(-0.5);
	τ = R(1.0)
	spot = R(110); strike = R(100)
	isCall = true
	spot *= exp((r - q) * τ)
	df = exp(-r * τ)
	params = HestonParams(v0, κ, θ, ρ, σ)
	l = 48; m = 1024*4
	pricer = makeCosCharFuncPricer(CC, R, const_pi(R), params, τ, m, l)
	priceEuropean(pricer, isCall, strike, spot, df)
	#2*rand()
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