QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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AnalyticHestonEngine::Integration Member List

This is the complete list of members for AnalyticHestonEngine::Integration, including all inherited members.

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