AnalyticHestonEngine::Integration Class Reference

#include <ql/pricingengines/vanilla/analytichestonengine.hpp>

Collaboration diagram for AnalyticHestonEngine::Integration:

Public Member Functions
Real	calculate (Real c_inf, const ext::function< Real(Real)> &f, const ext::function< Real()> &maxBound={}) const
Real	calculate (Real c_inf, const ext::function< Real(Real)> &f, Real maxBound) const
Size	numberOfEvaluations () const
bool	isAdaptiveIntegration () const

Static Public Member Functions
static Integration	gaussLaguerre (Size integrationOrder=128)
static Integration	gaussLegendre (Size integrationOrder=128)
static Integration	gaussChebyshev (Size integrationOrder=128)
static Integration	gaussChebyshev2nd (Size integrationOrder=128)
static Integration	gaussLobatto (Real relTolerance, Real absTolerance, Size maxEvaluations=1000)
static Integration	gaussKronrod (Real absTolerance, Size maxEvaluations=1000)
static Integration	simpson (Real absTolerance, Size maxEvaluations=1000)
static Integration	trapezoid (Real absTolerance, Size maxEvaluations=1000)
static Integration	discreteSimpson (Size evaluation=1000)
static Integration	discreteTrapezoid (Size evaluation=1000)
static Real	andersenPiterbargIntegrationLimit (Real c_inf, Real epsilon, Real v0, Real t)

Private Types
enum	Algorithm {   GaussLobatto , GaussKronrod , Simpson , Trapezoid ,   DiscreteTrapezoid , DiscreteSimpson , GaussLaguerre , GaussLegendre ,   GaussChebyshev , GaussChebyshev2nd }

Private Member Functions
	Integration (Algorithm intAlgo, ext::shared_ptr< GaussianQuadrature > quadrature)
	Integration (Algorithm intAlgo, ext::shared_ptr< Integrator > integrator)

Private Attributes
const Algorithm	intAlgo_
const ext::shared_ptr< Integrator >	integrator_
const ext::shared_ptr< GaussianQuadrature >	gaussianQuadrature_

Detailed Description

Definition at line 192 of file analytichestonengine.hpp.

Member Enumeration Documentation

Algorithm

enum Algorithm

private

Enumerator
GaussLobatto
GaussKronrod
Simpson
Trapezoid
DiscreteTrapezoid
DiscreteSimpson
GaussLaguerre
GaussLegendre
GaussChebyshev
GaussChebyshev2nd

Definition at line 232 of file analytichestonengine.hpp.

Constructor & Destructor Documentation

Integration() [1/2]

Integration ( Algorithm  intAlgo, ext::shared_ptr< GaussianQuadrature >  quadrature  )

private

Definition at line 715 of file analytichestonengine.cpp.

Integration() [2/2]

Integration ( Algorithm  intAlgo, ext::shared_ptr< Integrator >  integrator  )

private

Definition at line 711 of file analytichestonengine.cpp.

Member Function Documentation

gaussLaguerre()

AnalyticHestonEngine::Integration gaussLaguerre ( Size  integrationOrder = 128 )

static

Definition at line 759 of file analytichestonengine.cpp.

gaussLegendre()

AnalyticHestonEngine::Integration gaussLegendre ( Size  integrationOrder = 128 )

static

Definition at line 767 of file analytichestonengine.cpp.

gaussChebyshev()

AnalyticHestonEngine::Integration gaussChebyshev ( Size  integrationOrder = 128 )

static

Definition at line 774 of file analytichestonengine.cpp.

gaussChebyshev2nd()

AnalyticHestonEngine::Integration gaussChebyshev2nd ( Size  integrationOrder = 128 )

static

Definition at line 781 of file analytichestonengine.cpp.

gaussLobatto()

AnalyticHestonEngine::Integration gaussLobatto ( Real  relTolerance, Real  absTolerance, Size  maxEvaluations = 1000  )

static

Definition at line 720 of file analytichestonengine.cpp.

gaussKronrod()

AnalyticHestonEngine::Integration gaussKronrod ( Real  absTolerance, Size  maxEvaluations = 1000  )

static

Definition at line 732 of file analytichestonengine.cpp.

simpson()

AnalyticHestonEngine::Integration simpson ( Real  absTolerance, Size  maxEvaluations = 1000  )

static

Definition at line 741 of file analytichestonengine.cpp.

trapezoid()

AnalyticHestonEngine::Integration trapezoid ( Real  absTolerance, Size  maxEvaluations = 1000  )

static

Definition at line 750 of file analytichestonengine.cpp.

discreteSimpson()

AnalyticHestonEngine::Integration discreteSimpson ( Size  evaluation = 1000 )

static

Definition at line 788 of file analytichestonengine.cpp.

discreteTrapezoid()

AnalyticHestonEngine::Integration discreteTrapezoid ( Size  evaluation = 1000 )

static

Definition at line 795 of file analytichestonengine.cpp.

andersenPiterbargIntegrationLimit()

Real andersenPiterbargIntegrationLimit ( Real  c_inf, Real  epsilon, Real  v0, Real  t  )

static

Definition at line 866 of file analytichestonengine.cpp.

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calculate() [1/2]

Real calculate	(	Real	c_inf,
		const ext::function< Real(Real)> &	f,
		const ext::function< Real()> &	maxBound = {}
	)		const

Definition at line 818 of file analytichestonengine.cpp.

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calculate() [2/2]

Real calculate	(	Real	c_inf,
		const ext::function< Real(Real)> &	f,
		Real	maxBound
	)		const

Definition at line 857 of file analytichestonengine.cpp.

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numberOfEvaluations()

Size numberOfEvaluations

(

)

const

Definition at line 801 of file analytichestonengine.cpp.

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isAdaptiveIntegration()

bool isAdaptiveIntegration

(

)

const

Definition at line 811 of file analytichestonengine.cpp.

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Member Data Documentation

intAlgo_

const Algorithm intAlgo_

private

Definition at line 242 of file analytichestonengine.hpp.

integrator_

const ext::shared_ptr<Integrator> integrator_

private

Definition at line 243 of file analytichestonengine.hpp.

gaussianQuadrature_

const ext::shared_ptr<GaussianQuadrature> gaussianQuadrature_

private

Definition at line 244 of file analytichestonengine.hpp.