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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2021 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 tanhsinhintegral.hpp
*/
#ifndef quantlib_tanh_sinh_integral_hpp
#define quantlib_tanh_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_TANH_SINH
#include <boost/math/quadrature/tanh_sinh.hpp>
#include <limits>
namespace QuantLib {
/*! The tanh-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 TanhSinhIntegral : public Integrator {
public:
TanhSinhIntegral(
Real relTolerance = std::sqrt(std::numeric_limits<Real>::epsilon()),
Size maxRefinements = 15,
Real minComplement = std::numeric_limits<Real>::min() * 4
)
: Integrator(QL_MAX_REAL, Null<Size>()),
relTolerance_(relTolerance),
tanh_sinh_(maxRefinements, minComplement) {}
protected:
Real integrate(const std::function<Real(Real)>& f, Real a, Real b)
const override {
Real error;
Real value = tanh_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::tanh_sinh<Real> tanh_sinh_;
};
}
#else
namespace QuantLib {
class TanhSinhIntegral : public Integrator {
public:
TanhSinhIntegral(Real relTolerance = 0, Size maxRefinements = 0, Real minComplement = 0)
: Integrator(Null<Real>(), Null<Size>()) {
QL_FAIL("boost version 1.69 or higher is required in order to use TanhSinhIntegral");
}
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 TanhSinhIntegral");
}
};
}
#endif
#endif
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