1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2021 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file tanhsinhintegral.hpp
21*/
22
23#ifndef quantlib_tanh_sinh_integral_hpp
24#define quantlib_tanh_sinh_integral_hpp
25
26#include <ql/types.hpp>
27#include <ql/utilities/null.hpp>
28#include <ql/math/integrals/integral.hpp>
29
30#if BOOST_VERSION >= 106900
31#define QL_BOOST_HAS_TANH_SINH
32
33#include <boost/math/quadrature/tanh_sinh.hpp>
34#include <limits>
35
36namespace QuantLib {
37 using tanh_sinh = boost::math::quadrature::tanh_sinh<Real>;
38
39 /*! The tanh-sinh quadrature routine provided by boost is a rapidly convergent
40 numerical integration scheme for holomorphic integrands. The tolerance
41 is used against the error estimate for the L1 norm of the integral.
42 */
43 class TanhSinhIntegral : public Integrator {
44 public:
45 TanhSinhIntegral(
46 Real relTolerance = std::sqrt(x: std::numeric_limits<Real>::epsilon()),
47 Size maxRefinements = 15,
48 Real minComplement = std::numeric_limits<Real>::min() * 4
49 )
50 : Integrator(QL_MAX_REAL, Null<Size>()),
51 relTolerance_(relTolerance),
52 tanh_sinh_(maxRefinements, minComplement) {}
53
54 protected:
55 Real integrate(const ext::function<Real(Real)>& f, Real a, Real b)
56 const override {
57 Real error;
58 Real value = tanh_sinh_.integrate(f, a, b, tolerance: relTolerance_, error: &error);
59 setAbsoluteError(error);
60
61 return value;
62 }
63
64 private:
65 const Real relTolerance_;
66 mutable tanh_sinh tanh_sinh_;
67 };
68}
69
70#else
71
72namespace QuantLib {
73
74 class TanhSinhIntegral : public Integrator {
75 public:
76 TanhSinhIntegral(Real relTolerance = 0, Size maxRefinements = 0, Real minComplement = 0)
77 : Integrator(Null<Real>(), Null<Size>()) {
78 QL_FAIL("boost version 1.69 or higher is required in order to use TanhSinhIntegral");
79 }
80
81 protected:
82 Real integrate(const ext::function<Real(Real)>& f, Real a, Real b)
83 const override { return 0.0; }
84 };
85
86}
87
88#endif
89
90#endif
91

source code of quantlib/ql/math/integrals/tanhsinhintegral.hpp