1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2023 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.
*/
/*! \file expsinhintegral.hpp
*/
#ifndef quantlib_exp_sinh_integral_hpp
#define quantlib_exp_sinh_integral_hpp
#include <ql/types.hpp>
#include <ql/utilities/null.hpp>
#include <ql/math/integrals/integral.hpp>
#if BOOST_VERSION >= 106900
#define QL_BOOST_HAS_EXP_SINH
#include <boost/math/quadrature/exp_sinh.hpp>
#include <limits>
namespace QuantLib {
/*! The exp-sinh quadrature routine provided by boost is a rapidly convergent
numerical integration scheme for holomorphic integrands. The tolerance
is used against the error estimate for the L1 norm of the integral.
*/
class ExpSinhIntegral : public Integrator {
public:
explicit ExpSinhIntegral(
Real relTolerance = std::sqrt(std::numeric_limits<Real>::epsilon()),
Size maxRefinements = 9)
: Integrator(QL_MAX_REAL, Null<Size>()),
relTolerance_(relTolerance),
exp_sinh_(maxRefinements) {}
// For half-infinite interval [0, \inf), the exp-sinh quadrature is provided by
Real integrate(const std::function<Real(Real)>& f) const {
setNumberOfEvaluations(0);
Real error;
Real value = exp_sinh_.integrate(
[this, &f](Real x) -> Real { increaseNumberOfEvaluations(1); return f(x); },
relTolerance_, &error);
setAbsoluteError(error);
return value;
}
protected:
Real integrate(const std::function<Real(Real)>& f, Real a, Real b)
const override {
Real error;
Real value = exp_sinh_.integrate(
[this, &f](Real x) -> Real {
increaseNumberOfEvaluations(1);
return f(x);
},
a, b, relTolerance_, &error);
setAbsoluteError(error);
return value;
}
private:
const Real relTolerance_;
mutable boost::math::quadrature::exp_sinh<Real> exp_sinh_;
};
}
#else
namespace QuantLib {
class ExpSinhIntegral : public Integrator {
public:
explicit ExpSinhIntegral( Real relTolerance = 0, Size maxRefinements = 0)
: Integrator(Null<Real>(), Null<Size>()) {
QL_FAIL("boost version 1.69 or higher is required in order to use ExpSinhIntegral");
}
Real integrate(const std::function<Real(Real)>& f) const {
QL_FAIL("boost version 1.69 or higher is required in order to use ExpSinhIntegral");
}
protected:
Real integrate(const std::function<Real(Real)>& f, Real a, Real b) const override {
QL_FAIL("boost version 1.69 or higher is required in order to use ExpSinhIntegral");
}
};
}
#endif
#endif
|
