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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 François du Vignaud
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.
*/
#include <ql/math/integrals/integral.hpp>
#include <ql/errors.hpp>
namespace QuantLib {
Integrator::Integrator(Real absoluteAccuracy,
Size maxEvaluations)
: absoluteAccuracy_(absoluteAccuracy),
maxEvaluations_(maxEvaluations) {
QL_REQUIRE(absoluteAccuracy > QL_EPSILON,
std::scientific << "required tolerance (" <<
absoluteAccuracy << ") not allowed. It must be > " <<
QL_EPSILON);
}
void Integrator::setAbsoluteAccuracy(Real accuracy) {
absoluteAccuracy_= accuracy;
}
void Integrator::setMaxEvaluations(Size maxEvaluations) {
maxEvaluations_ = maxEvaluations;
}
Real Integrator::absoluteAccuracy() const {
return absoluteAccuracy_;
}
Size Integrator::maxEvaluations() const {
return maxEvaluations_;
}
Real Integrator::absoluteError() const {
return absoluteError_;
}
void Integrator::setAbsoluteError(Real error) const {
absoluteError_ = error;
}
Size Integrator::numberOfEvaluations() const {
return evaluations_;
}
void Integrator::setNumberOfEvaluations(Size evaluations) const {
evaluations_ = evaluations;
}
void Integrator::increaseNumberOfEvaluations(Size increase) const {
evaluations_ += increase;
}
bool Integrator::integrationSuccess() const {
return evaluations_ <= maxEvaluations_
&& absoluteError_ <= absoluteAccuracy_;
}
Real Integrator::operator()(const ext::function<Real (Real)>& f,
Real a,
Real b) const {
evaluations_ = 0;
if (a == b)
return 0.0;
if (b > a)
return integrate(f, a, b);
else
return -integrate(f, b, a);
}
}
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