QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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gaussiannoncentralchisquaredpolynomial.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2016 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file gaussiannoncentralchisquaredpolynomial.hpp
21 \brief non central chi squared polynomials for Gaussian quadratures
22*/
23
24#ifndef quantlib_gaussian_non_central_chi_squared_polynomial_hpp
25#define quantlib_gaussian_non_central_chi_squared_polynomial_hpp
26
27#include <ql/functional.hpp>
29
30namespace QuantLib {
31
33 : public MomentBasedGaussianPolynomial<Real> {
34 public:
36
37 Real w(Real x) const override;
38 Real moment(Size i) const override;
39
40 private:
42
43 static std::vector<ext::function<Real(Real, Real)> > moments;
44 };
45}
46
47#endif
static std::vector< ext::function< Real(Real, Real)> > moments
Maps function, bind and cref to either the boost or std implementation.
QL_REAL Real
real number
Definition: types.hpp:50
std::size_t Size
size of a container
Definition: types.hpp:58
Gaussian quadrature defined by the moments of the distribution.
Definition: any.hpp:35
Real nu
Definition: sabr.cpp:200