exponentialintegrals.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2020 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 exponentialintegrals.hpp
*/
 
#ifndef quantlib_exponentail_integral_hpp
#define quantlib_exponentail_integral_hpp
 
#include <ql/types.hpp>
#include <complex>
 
#ifndef M_EULER_MASCHERONI
#define M_EULER_MASCHERONI 0.5772156649015328606065121
#endif
 
namespace QuantLib {
    /*! References:
 
        B. Rowe et al: GALSIM: The modular galaxy image simulation toolkit
        https://arxiv.org/abs/1407.7676
 
        V. Pegoraro, P. Slusallek:
        On the Evaluation of the Complex-Valued Exponential Integral
        https://www.sci.utah.edu/~vpegorar/research/2011_JGT.pdf
 
    */
 
    namespace ExponentialIntegral {
        Real Si(Real x);
        Real Ci(Real x);
 
        std::complex<Real> Ci(const std::complex<Real>& z);
        std::complex<Real> Si(const std::complex<Real>& z);
        std::complex<Real> E1(const std::complex<Real>& z);
        std::complex<Real> Ei(const std::complex<Real>& z);
    }
}
 
#endif