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/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2013, 2022 Klaus Spanderen
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
<https://www.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 quantlib_segment_integral_i
#define quantlib_segment_integral_i
%include common.i
%include types.i
%include functions.i
%{
using QuantLib::SegmentIntegral;
using QuantLib::TrapezoidIntegral;
using QuantLib::Default;
using QuantLib::MidPoint;
using QuantLib::SimpsonIntegral;
using QuantLib::GaussKronrodAdaptive;
using QuantLib::GaussKronrodNonAdaptive;
using QuantLib::GaussLobattoIntegral;
using QuantLib::GaussLaguerreIntegration;
using QuantLib::GaussHermiteIntegration;
using QuantLib::GaussJacobiIntegration;
using QuantLib::GaussHyperbolicIntegration;
using QuantLib::GaussLegendreIntegration;
using QuantLib::GaussChebyshevIntegration;
using QuantLib::GaussChebyshev2ndIntegration;
using QuantLib::GaussGegenbauerIntegration;
using QuantLib::TanhSinhIntegral;
using QuantLib::ExpSinhIntegral;
%}
%define INTEGRATION_METHODS
Size numberOfEvaluations() const;
%extend {
#if defined(SWIGPYTHON)
Real __call__(PyObject* pyFunction, Real a, Real b) {
UnaryFunction f(pyFunction);
return (*self)(f, a, b);
}
#elif defined(SWIGJAVA) || defined(SWIGCSHARP)
Real calculate(UnaryFunctionDelegate* f, Real a, Real b) {
return (*self)(UnaryFunction(f), a, b);
}
#endif
}
%enddef
class SegmentIntegral {
public:
SegmentIntegral(Size intervals);
INTEGRATION_METHODS;
};
template <class IntegrationPolicy>
class TrapezoidIntegral {
public:
TrapezoidIntegral(Real accuracy, Size maxIterations);
INTEGRATION_METHODS;
};
%template(TrapezoidIntegralDefault) TrapezoidIntegral<Default>;
%template(TrapezoidIntegralMidPoint) TrapezoidIntegral<MidPoint>;
class SimpsonIntegral {
public:
SimpsonIntegral(Real accuracy, Size maxIterations);
INTEGRATION_METHODS;
};
class GaussKronrodAdaptive {
public:
GaussKronrodAdaptive(Real tolerance,
Size maxFunctionEvaluations = Null<Size>());
INTEGRATION_METHODS;
};
class GaussKronrodNonAdaptive {
public:
GaussKronrodNonAdaptive(Real absoluteAccuracy,
Size maxEvaluations,
Real relativeAccuracy);
INTEGRATION_METHODS;
};
class GaussLobattoIntegral {
public:
GaussLobattoIntegral(Size maxIterations,
Real absAccuracy,
Real relAccuracy = Null<Real>(),
bool useConvergenceEstimate = true);
INTEGRATION_METHODS;
};
%{
using QuantLib::GaussianQuadrature;
%}
class GaussianQuadrature {
private:
GaussianQuadrature();
public:
Size order() const;
%extend {
Array weights() {
return self->weights();
}
Array x() {
return self->x();
}
#if defined(SWIGPYTHON)
Real __call__(PyObject* pyFunction) {
UnaryFunction f(pyFunction);
return (*self)(f);
}
#elif defined(SWIGJAVA) || defined(SWIGCSHARP)
Real calculate(UnaryFunctionDelegate* f) {
return (*self)(UnaryFunction(f));
}
#endif
}
};
class GaussLaguerreIntegration: public GaussianQuadrature {
public:
GaussLaguerreIntegration(Size n, Real s = 0.0);
};
class GaussHermiteIntegration: public GaussianQuadrature {
public:
GaussHermiteIntegration(Size n, Real mu = 0.0);
};
class GaussJacobiIntegration: public GaussianQuadrature {
public:
GaussJacobiIntegration(Size n, Real alpha, Real beta);
};
class GaussHyperbolicIntegration: public GaussianQuadrature {
public:
GaussHyperbolicIntegration(Size n);
};
class GaussLegendreIntegration: public GaussianQuadrature {
public:
GaussLegendreIntegration(Size n);
};
class GaussChebyshevIntegration: public GaussianQuadrature {
public:
GaussChebyshevIntegration(Size n);
};
class GaussChebyshev2ndIntegration: public GaussianQuadrature {
public:
GaussChebyshev2ndIntegration(Size n);
};
class GaussGegenbauerIntegration: public GaussianQuadrature {
public:
GaussGegenbauerIntegration(Size n, Real lambda);
};
class TanhSinhIntegral {
public:
explicit TanhSinhIntegral(
Real relTolerance = std::sqrt(std::numeric_limits<Real>::epsilon()),
Size maxRefinements = 15,
Real minComplement = std::numeric_limits<Real>::min() * 4
);
INTEGRATION_METHODS;
};
class ExpSinhIntegral {
public:
explicit ExpSinhIntegral(
Real relTolerance = std::sqrt(std::numeric_limits<Real>::epsilon()),
Size maxRefinements = 9
);
%extend {
#if defined(SWIGPYTHON)
Real integrate(PyObject* pyFunction) {
UnaryFunction f(pyFunction);
return self->integrate(f);
}
#elif defined(SWIGJAVA) || defined(SWIGCSHARP)
Real integrate(UnaryFunctionDelegate* f) {
return self->integrate(UnaryFunction(f));
}
#endif
}
INTEGRATION_METHODS;
};
#endif
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