convolvedstudentt.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2014 Jose Aparicio
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef convolved_student_t_hpp
#define convolved_student_t_hpp
 
#include <ql/types.hpp>
#include <vector>
#include <numeric>
#include <functional>
 
namespace QuantLib {
 
    class CumulativeBehrensFisher { // ODD orders only by now, rename?
    public:
        QL_DEPRECATED
        typedef Probability result_type;
 
        QL_DEPRECATED
        typedef Real argument_type;
        CumulativeBehrensFisher(
            const std::vector<Integer>& degreesFreedom = std::vector<Integer>(),
            const std::vector<Real>& factors = std::vector<Real>());
 
        const std::vector<Integer>& degreeFreedom() const {
            return degreesFreedom_;
        }
        const std::vector<Real>& factors() const {
            return factors_;
        }
    private:
        // move outside of the class, as a separate problem?
        std::vector<Real> polynCharactT(Natural n) const;
 
        std::vector<Real> convolveVectorPolynomials(
            const std::vector<Real>& v1,
            const std::vector<Real>& v2) const ;
    public:
      Probability operator()(Real x) const;
 
      Probability density(Real x) const;
 
    private:
        mutable std::vector<Integer> degreesFreedom_;
        mutable std::vector<Real> factors_;
 
        mutable std::vector<std::vector<Real> > polynCharFnc_;
        mutable std::vector<Real> polyConvolved_;
 
        // cached factor in the exponential of the characteristic function
        mutable Real a_ = 0., a2_;
    };
 
 
 
    class InverseCumulativeBehrensFisher {
    public:
        QL_DEPRECATED
        typedef Real result_type;
 
        QL_DEPRECATED
        typedef Probability argument_type;
        InverseCumulativeBehrensFisher(
            const std::vector<Integer>& degreesFreedom = std::vector<Integer>(),
            const std::vector<Real>& factors = std::vector<Real>(),
            Real accuracy = 1.e-6);
        Real operator()(Probability q) const;
 
      private:
        mutable Real normSqr_, accuracy_;
        mutable CumulativeBehrensFisher distrib_;
    };
 
}
 
#endif