QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
#include <analytichestonengine.hpp>
Public Member Functions | |
Real | calculate (Real c_inf, const ext::function< Real(Real)> &f, const ext::function< Real()> &maxBound={}, Real scaling=1.0) 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, bool useConvergenceEstimate=false) |
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 Integration | expSinh (Real relTolerance=1e-8) |
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 , ExpSinh } |
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_ |
Definition at line 198 of file analytichestonengine.hpp.
|
private |
Enumerator | |
---|---|
GaussLobatto | |
GaussKronrod | |
Simpson | |
Trapezoid | |
DiscreteTrapezoid | |
DiscreteSimpson | |
GaussLaguerre | |
GaussLegendre | |
GaussChebyshev | |
GaussChebyshev2nd | |
ExpSinh |
Definition at line 241 of file analytichestonengine.hpp.
|
private |
Definition at line 882 of file analytichestonengine.cpp.
|
private |
Definition at line 878 of file analytichestonengine.cpp.
|
static |
Definition at line 925 of file analytichestonengine.cpp.
|
static |
Definition at line 933 of file analytichestonengine.cpp.
|
static |
Definition at line 940 of file analytichestonengine.cpp.
|
static |
Definition at line 947 of file analytichestonengine.cpp.
|
static |
Definition at line 887 of file analytichestonengine.cpp.
|
static |
Definition at line 898 of file analytichestonengine.cpp.
|
static |
Definition at line 907 of file analytichestonengine.cpp.
|
static |
Definition at line 916 of file analytichestonengine.cpp.
|
static |
Definition at line 954 of file analytichestonengine.cpp.
|
static |
Definition at line 961 of file analytichestonengine.cpp.
|
static |
Definition at line 968 of file analytichestonengine.cpp.
Definition at line 1046 of file analytichestonengine.cpp.
Real calculate | ( | Real | c_inf, |
const ext::function< Real(Real)> & | f, | ||
const ext::function< Real()> & | maxBound = {} , |
||
Real | scaling = 1.0 |
||
) | const |
Definition at line 992 of file analytichestonengine.cpp.
Size numberOfEvaluations | ( | ) | const |
Definition at line 974 of file analytichestonengine.cpp.
bool isAdaptiveIntegration | ( | ) | const |
Definition at line 984 of file analytichestonengine.cpp.
|
private |
Definition at line 252 of file analytichestonengine.hpp.
|
private |
Definition at line 253 of file analytichestonengine.hpp.
|
private |
Definition at line 254 of file analytichestonengine.hpp.