QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
experimental
math
gaussiannoncentralchisquaredpolynomial.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2016 Klaus Spanderen
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file gaussiannoncentralchisquaredpolynomial.hpp
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\brief non central chi squared polynomials for Gaussian quadratures
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*/
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#ifndef quantlib_gaussian_non_central_chi_squared_polynomial_hpp
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#define quantlib_gaussian_non_central_chi_squared_polynomial_hpp
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#include <
ql/functional.hpp
>
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#include <
ql/math/integrals/momentbasedgaussianpolynomial.hpp
>
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namespace
QuantLib
{
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class
GaussNonCentralChiSquaredPolynomial
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:
public
MomentBasedGaussianPolynomial
<Real> {
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public
:
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GaussNonCentralChiSquaredPolynomial
(
Real
nu
,
Real
lambda);
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Real
w
(
Real
x)
const override
;
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Real
moment
(
Size
i)
const override
;
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private
:
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const
Real
nu_
,
lambda_
;
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static
std::vector<ext::function<
Real
(
Real
,
Real
)> >
moments
;
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};
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}
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#endif
QuantLib::GaussNonCentralChiSquaredPolynomial
Definition:
gaussiannoncentralchisquaredpolynomial.hpp:33
QuantLib::GaussNonCentralChiSquaredPolynomial::lambda_
const Real lambda_
Definition:
gaussiannoncentralchisquaredpolynomial.hpp:41
QuantLib::GaussNonCentralChiSquaredPolynomial::moment
Real moment(Size i) const override
Definition:
gaussiannoncentralchisquaredpolynomial.cpp:95
QuantLib::GaussNonCentralChiSquaredPolynomial::w
Real w(Real x) const override
Definition:
gaussiannoncentralchisquaredpolynomial.cpp:101
QuantLib::GaussNonCentralChiSquaredPolynomial::nu_
const Real nu_
Definition:
gaussiannoncentralchisquaredpolynomial.hpp:41
QuantLib::GaussNonCentralChiSquaredPolynomial::moments
static std::vector< ext::function< Real(Real, Real)> > moments
Definition:
gaussiannoncentralchisquaredpolynomial.hpp:43
QuantLib::MomentBasedGaussianPolynomial
Definition:
momentbasedgaussianpolynomial.hpp:49
functional.hpp
Maps function, bind and cref to either the boost or std implementation.
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib::Size
std::size_t Size
size of a container
Definition:
types.hpp:58
momentbasedgaussianpolynomial.hpp
Gaussian quadrature defined by the moments of the distribution.
QuantLib
Definition:
any.hpp:35
nu
Real nu
Definition:
sabr.cpp:200
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