AnalyticHestonEngine::Integration Class Reference

#include <analytichestonengine.hpp>

Collaboration diagram for AnalyticHestonEngine::Integration:

Public Member Functions
Real	calculate (Real c_inf, const std::function< Real(Real)> &f, const std::function< Real()> &maxBound={}, Real scaling=1.0) const
Real	calculate (Real c_inf, const std::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_

Detailed Description

Definition at line 198 of file analytichestonengine.hpp.

Member Enumeration Documentation

Algorithm

enum Algorithm

private

Enumerator
GaussLobatto
GaussKronrod
Simpson
Trapezoid
DiscreteTrapezoid
DiscreteSimpson
GaussLaguerre
GaussLegendre
GaussChebyshev
GaussChebyshev2nd
ExpSinh

Definition at line 241 of file analytichestonengine.hpp.

Constructor & Destructor Documentation

Integration() [1/2]

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

private

Definition at line 884 of file analytichestonengine.cpp.

Integration() [2/2]

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

private

Definition at line 880 of file analytichestonengine.cpp.

Member Function Documentation

gaussLaguerre()

AnalyticHestonEngine::Integration gaussLaguerre ( Size  integrationOrder = 128 )

static

Definition at line 927 of file analytichestonengine.cpp.

gaussLegendre()

AnalyticHestonEngine::Integration gaussLegendre ( Size  integrationOrder = 128 )

static

Definition at line 935 of file analytichestonengine.cpp.

gaussChebyshev()

AnalyticHestonEngine::Integration gaussChebyshev ( Size  integrationOrder = 128 )

static

Definition at line 942 of file analytichestonengine.cpp.

gaussChebyshev2nd()

AnalyticHestonEngine::Integration gaussChebyshev2nd ( Size  integrationOrder = 128 )

static

Definition at line 949 of file analytichestonengine.cpp.

gaussLobatto()

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

static

Definition at line 889 of file analytichestonengine.cpp.

gaussKronrod()

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

static

Definition at line 900 of file analytichestonengine.cpp.

simpson()

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

static

Definition at line 909 of file analytichestonengine.cpp.

trapezoid()

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

static

Definition at line 918 of file analytichestonengine.cpp.

discreteSimpson()

AnalyticHestonEngine::Integration discreteSimpson ( Size  evaluation = 1000 )

static

Definition at line 956 of file analytichestonengine.cpp.

discreteTrapezoid()

AnalyticHestonEngine::Integration discreteTrapezoid ( Size  evaluation = 1000 )

static

Definition at line 963 of file analytichestonengine.cpp.

expSinh()

AnalyticHestonEngine::Integration expSinh ( Real  relTolerance = 1e-8 )

static

Definition at line 970 of file analytichestonengine.cpp.

andersenPiterbargIntegrationLimit()

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

static

Definition at line 1048 of file analytichestonengine.cpp.

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calculate() [1/2]

Real calculate	(	Real	c_inf,
		const std::function< Real(Real)> &	f,
		const std::function< Real()> &	maxBound = {},
		Real	scaling = 1.0
	)		const

Definition at line 994 of file analytichestonengine.cpp.

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calculate() [2/2]

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

Definition at line 1039 of file analytichestonengine.cpp.

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numberOfEvaluations()

Size numberOfEvaluations

(

)

const

Definition at line 976 of file analytichestonengine.cpp.

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isAdaptiveIntegration()

bool isAdaptiveIntegration

(

)

const

Definition at line 986 of file analytichestonengine.cpp.

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Member Data Documentation

intAlgo_

const Algorithm intAlgo_

private

Definition at line 252 of file analytichestonengine.hpp.

integrator_

const ext::shared_ptr<Integrator> integrator_

private

Definition at line 253 of file analytichestonengine.hpp.

gaussianQuadrature_

const ext::shared_ptr<GaussianQuadrature> gaussianQuadrature_

private

Definition at line 254 of file analytichestonengine.hpp.