Class Integration

Hierarchy

Integration

Index

Enumerations

Algorithm

Properties

Methods

Properties

_gaussianQuadrature

_gaussianQuadrature: GaussianQuadrature

_intAlgo

_intAlgo: Algorithm

_integrator

_integrator: Integrator

Methods

calculate

calculate(c_inf: Real, f: UnaryFunction<Real, Real>, maxBound?: Real): Real

- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:449
Parameters
- c_inf: Real
- f: UnaryFunction<Real, Real>
- Default value maxBound: Real = QL_NULL_REAL
Returns Real

init1

init1(intAlgo: Algorithm, gaussianQuadrature: GaussianQuadrature): Integration

- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:341
Parameters
- intAlgo: Algorithm
- gaussianQuadrature: GaussianQuadrature
Returns Integration

init2

init2(intAlgo: Algorithm, integrator: Integrator): Integration

- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:350
Parameters
- intAlgo: Algorithm
- integrator: Integrator
Returns Integration

isAdaptiveIntegration

isAdaptiveIntegration(): boolean

- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:499
Returns boolean

numberOfEvaluations

numberOfEvaluations(): Size

- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:489
Returns Size

Static andersenPiterbargIntegrationLimit

andersenPiterbargIntegrationLimit(c_inf: Real, epsilon: Real, v0: Real, t: Real): Real

- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:431
Parameters
- c_inf: Real
- epsilon: Real
- v0: Real
- t: Real
Returns Real

Static discreteSimpson

discreteSimpson(evaluations?: Size): Integration

- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:419
Parameters
- Default value evaluations: Size = 1000
Returns Integration

Static discreteTrapezoid

discreteTrapezoid(evaluations?: Size): Integration

- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:425
Parameters
- Default value evaluations: Size = 1000
Returns Integration

Static gaussChebyshev

gaussChebyshev(intOrder?: Size): Integration

- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:372
Parameters
- Default value intOrder: Size = 128
Returns Integration

Static gaussChebyshev2nd

gaussChebyshev2nd(intOrder?: Size): Integration

- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:378
Parameters
- Default value intOrder: Size = 128
Returns Integration

Static gaussKronrod

gaussKronrod(absTolerance: Real, maxEvaluations?: Size): Integration

- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:398
Parameters
- absTolerance: Real
- Default value maxEvaluations: Size = 1000
Returns Integration

Static gaussLaguerre

gaussLaguerre(intOrder?: Size): Integration

- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:357
Parameters
- Default value intOrder: Size = 128
Returns Integration

Static gaussLegendre

gaussLegendre(intOrder?: Size): Integration

- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:366
Parameters
- Default value intOrder: Size = 128
Returns Integration

Static gaussLobatto

gaussLobatto(relTolerance: Real, absTolerance: Real, maxEvaluations?: Size): Integration

- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:388
Parameters
- relTolerance: Real
- absTolerance: Real
- Default value maxEvaluations: Size = 1000
Returns Integration

Static simpson

simpson(absTolerance: Real, maxEvaluations?: Size): Integration

- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:405
Parameters
- absTolerance: Real
- Default value maxEvaluations: Size = 1000
Returns Integration

Static trapezoid

trapezoid(absTolerance: Real, maxEvaluations?: Size): Integration

- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:412
Parameters
- absTolerance: Real
- Default value maxEvaluations: Size = 1000
Returns Integration