| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2007 François du Vignaud |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | #include <ql/math/integrals/integral.hpp> |
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| 21 | #include <ql/errors.hpp> |
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| 22 | |
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| 23 | namespace QuantLib { |
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| 24 | |
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| 25 | Integrator::Integrator(Real absoluteAccuracy, |
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| 26 | Size maxEvaluations) |
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| 27 | : absoluteAccuracy_(absoluteAccuracy), |
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| 28 | maxEvaluations_(maxEvaluations) { |
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| 29 | QL_REQUIRE(absoluteAccuracy > QL_EPSILON, |
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| 30 | std::scientific << "required tolerance (" << |
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| 31 | absoluteAccuracy << ") not allowed. It must be > " << |
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| 32 | QL_EPSILON); |
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| 33 | } |
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| 34 | |
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| 35 | void Integrator::setAbsoluteAccuracy(Real accuracy) { |
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| 36 | absoluteAccuracy_= accuracy; |
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| 37 | } |
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| 38 | |
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| 39 | void Integrator::setMaxEvaluations(Size maxEvaluations) { |
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| 40 | maxEvaluations_ = maxEvaluations; |
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| 41 | } |
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| 42 | |
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| 43 | Real Integrator::absoluteAccuracy() const { |
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| 44 | return absoluteAccuracy_; |
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| 45 | } |
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| 46 | |
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| 47 | Size Integrator::maxEvaluations() const { |
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| 48 | return maxEvaluations_; |
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| 49 | } |
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| 50 | |
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| 51 | Real Integrator::absoluteError() const { |
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| 52 | return absoluteError_; |
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| 53 | } |
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| 54 | |
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| 55 | void Integrator::setAbsoluteError(Real error) const { |
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| 56 | absoluteError_ = error; |
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| 57 | } |
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| 58 | |
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| 59 | Size Integrator::numberOfEvaluations() const { |
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| 60 | return evaluations_; |
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| 61 | } |
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| 62 | |
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| 63 | void Integrator::setNumberOfEvaluations(Size evaluations) const { |
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| 64 | evaluations_ = evaluations; |
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| 65 | } |
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| 66 | |
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| 67 | void Integrator::increaseNumberOfEvaluations(Size increase) const { |
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| 68 | evaluations_ += increase; |
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| 69 | } |
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| 70 | |
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| 71 | bool Integrator::integrationSuccess() const { |
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| 72 | return evaluations_ <= maxEvaluations_ |
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| 73 | && absoluteError_ <= absoluteAccuracy_; |
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| 74 | } |
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| 75 | |
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| 76 | Real Integrator::operator()(const ext::function<Real (Real)>& f, |
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| 77 | Real a, |
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| 78 | Real b) const { |
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| 79 | evaluations_ = 0; |
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| 80 | if (a == b) |
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| 81 | return 0.0; |
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| 82 | if (b > a) |
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| 83 | return integrate(f, a, b); |
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| 84 | else |
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| 85 | return -integrate(f, a: b, b: a); |
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| 86 | } |
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| 87 | |
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| 88 | } |
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| 89 | |
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