Algorithm enum name | AnalyticHestonEngine::Integration | private |
andersenPiterbargIntegrationLimit(Real c_inf, Real epsilon, Real v0, Real t) | AnalyticHestonEngine::Integration | static |
calculate(Real c_inf, const ext::function< Real(Real)> &f, const ext::function< Real()> &maxBound={}, Real scaling=1.0) const | AnalyticHestonEngine::Integration | |
calculate(Real c_inf, const ext::function< Real(Real)> &f, Real maxBound) const | AnalyticHestonEngine::Integration | |
DiscreteSimpson enum value | AnalyticHestonEngine::Integration | private |
discreteSimpson(Size evaluation=1000) | AnalyticHestonEngine::Integration | static |
DiscreteTrapezoid enum value | AnalyticHestonEngine::Integration | private |
discreteTrapezoid(Size evaluation=1000) | AnalyticHestonEngine::Integration | static |
ExpSinh enum value | AnalyticHestonEngine::Integration | private |
expSinh(Real relTolerance=1e-8) | AnalyticHestonEngine::Integration | static |
GaussChebyshev enum value | AnalyticHestonEngine::Integration | private |
gaussChebyshev(Size integrationOrder=128) | AnalyticHestonEngine::Integration | static |
GaussChebyshev2nd enum value | AnalyticHestonEngine::Integration | private |
gaussChebyshev2nd(Size integrationOrder=128) | AnalyticHestonEngine::Integration | static |
gaussianQuadrature_ | AnalyticHestonEngine::Integration | private |
GaussKronrod enum value | AnalyticHestonEngine::Integration | private |
gaussKronrod(Real absTolerance, Size maxEvaluations=1000) | AnalyticHestonEngine::Integration | static |
GaussLaguerre enum value | AnalyticHestonEngine::Integration | private |
gaussLaguerre(Size integrationOrder=128) | AnalyticHestonEngine::Integration | static |
GaussLegendre enum value | AnalyticHestonEngine::Integration | private |
gaussLegendre(Size integrationOrder=128) | AnalyticHestonEngine::Integration | static |
GaussLobatto enum value | AnalyticHestonEngine::Integration | private |
gaussLobatto(Real relTolerance, Real absTolerance, Size maxEvaluations=1000, bool useConvergenceEstimate=false) | AnalyticHestonEngine::Integration | static |
intAlgo_ | AnalyticHestonEngine::Integration | private |
Integration(Algorithm intAlgo, ext::shared_ptr< GaussianQuadrature > quadrature) | AnalyticHestonEngine::Integration | private |
Integration(Algorithm intAlgo, ext::shared_ptr< Integrator > integrator) | AnalyticHestonEngine::Integration | private |
integrator_ | AnalyticHestonEngine::Integration | private |
isAdaptiveIntegration() const | AnalyticHestonEngine::Integration | |
numberOfEvaluations() const | AnalyticHestonEngine::Integration | |
Simpson enum value | AnalyticHestonEngine::Integration | private |
simpson(Real absTolerance, Size maxEvaluations=1000) | AnalyticHestonEngine::Integration | static |
Trapezoid enum value | AnalyticHestonEngine::Integration | private |
trapezoid(Real absTolerance, Size maxEvaluations=1000) | AnalyticHestonEngine::Integration | static |