expsinhintegral.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2023 Klaus Spanderen
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file expsinhintegral.hpp
*/
 
#ifndef quantlib_exp_sinh_integral_hpp
#define quantlib_exp_sinh_integral_hpp
 
#include <ql/types.hpp>
#include <ql/utilities/null.hpp>
#include <ql/math/integrals/integral.hpp>
 
#if BOOST_VERSION >= 106900
#define QL_BOOST_HAS_EXP_SINH
 
#include <boost/math/quadrature/exp_sinh.hpp>
#include <limits>
 
namespace QuantLib {
    /*! The exp-sinh quadrature routine provided by boost is a rapidly convergent
        numerical integration scheme for holomorphic integrands. The tolerance
        is used against the error estimate for the L1 norm of the integral.
    */
    class ExpSinhIntegral : public Integrator {
      public:
        explicit ExpSinhIntegral(
            Real relTolerance = std::sqrt(std::numeric_limits<Real>::epsilon()),
            Size maxRefinements = 9)
      : Integrator(QL_MAX_REAL, Null<Size>()),
        relTolerance_(relTolerance),
        exp_sinh_(maxRefinements) {}
 
        // For half-infinite interval [0, \inf), the exp-sinh quadrature is provided by
        Real integrate(const ext::function<Real(Real)>& f) const {
            setNumberOfEvaluations(0);
            Real error;
            Real value = exp_sinh_.integrate(
               [this, &f](Real x) -> Real { increaseNumberOfEvaluations(1); return f(x); },
               relTolerance_, &error);
            setAbsoluteError(error);
 
            return value;
        }
 
      protected:
        Real integrate(const ext::function<Real(Real)>& f, Real a, Real b)
        const override {
            Real error;
            Real value = exp_sinh_.integrate(
                [this, &f](Real x) -> Real {
                    increaseNumberOfEvaluations(1);
                    return f(x);
                },
                a, b, relTolerance_, &error);
            setAbsoluteError(error);
 
            return value;
        }
 
      private:
        const Real relTolerance_;
        mutable boost::math::quadrature::exp_sinh<Real> exp_sinh_;
    };
}
 
#else
 
namespace QuantLib {
 
    class ExpSinhIntegral : public Integrator {
      public:
        explicit ExpSinhIntegral( Real relTolerance = 0, Size maxRefinements = 0)
        : Integrator(Null<Real>(), Null<Size>()) {
            QL_FAIL("boost version 1.69 or higher is required in order to use ExpSinhIntegral");
        }
 
        Real integrate(const ext::function<Real(Real)>& f) const {
            QL_FAIL("boost version 1.69 or higher is required in order to use ExpSinhIntegral");
        }
 
      protected:
        Real integrate(const ext::function<Real(Real)>& f, Real a, Real b) const override {
            QL_FAIL("boost version 1.69 or higher is required in order to use ExpSinhIntegral");
        }
    };
 
}
 
#endif
 
#endif