AnalyticHestonEngine::Integration Member List

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

Algorithm enum name	AnalyticHestonEngine::Integration	private
andersenPiterbargIntegrationLimit(Real c_inf, Real epsilon, Real v0, Real t)	AnalyticHestonEngine::Integration	static
calculate(Real c_inf, const std::function< Real(Real)> &f, const std::function< Real()> &maxBound={}, Real scaling=1.0) const	AnalyticHestonEngine::Integration
calculate(Real c_inf, const std::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