Examples of org.jquantlib.math.integrals.SegmentIntegral

org.jquantlib.math.integrals.SegmentIntegral
Integral of a one-dimensional function
Given a number {@latex$ N } of intervals, the integral of a function {@latex$ f } between {@latex$ a } and {@latex$ b }is calculated by means of the trapezoid formula \int_ a}^{b} f \mathrm{d}x = \frac{1}{2} f(x_{0}) + f(x_{1}) + f(x_{2}) + \dots + f(x_{N-1}) + \frac{1}{2} f(x_{N}) } where {@latex$ x_0 = a }, {@latex$ x_N = b }, and {@latex$ x_i = a+i \Delta x } with{@latex$ \Delta x = (b-a)/N }. @author Richard Gomes




    @Test
    public void testSegment() {
        QL.info("Testing segment integration...");
        testSeveral(new SegmentIntegral(10000));
    }

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        final double /* @DiscountFactor */dividendDiscount = process.dividendYield().currentLink().discount(a.exercise.lastDate());
        final double /* @DiscountFactor */riskFreeDiscount = process.riskFreeRate().currentLink().discount(a.exercise.lastDate());
        final double /* @Rate */drift = Math.log(dividendDiscount / riskFreeDiscount) - 0.5 * variance;


        final Integrand f = new Integrand(a.payoff, process.stateVariable().currentLink().value(), drift, variance);
        final SegmentIntegral integrator = new SegmentIntegral(5000);


        final double infinity = 10.0*Math.sqrt(variance);
        r.value =
            process.riskFreeRate().currentLink().discount(a.exercise.lastDate()) /
            Math.sqrt(2.0*Math.PI*variance) * integrator.op(f, drift-infinity, drift+infinity);
    }

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        final double /* @DiscountFactor */dividendDiscount = process.dividendYield().currentLink().discount(a.exercise.lastDate());
        final double /* @DiscountFactor */riskFreeDiscount = process.riskFreeRate().currentLink().discount(a.exercise.lastDate());
        final double /* @Rate */drift = Math.log(dividendDiscount / riskFreeDiscount) - 0.5 * variance;


        final Integrand f = new Integrand(a.payoff, process.stateVariable().currentLink().value(), drift, variance);
        final SegmentIntegral integrator = new SegmentIntegral(5000);


        final double infinity = 10.0*Math.sqrt(variance);
        r.value =
            process.riskFreeRate().currentLink().discount(a.exercise.lastDate()) /
            Math.sqrt(2.0*Math.PI*variance) * integrator.op(f, drift-infinity, drift+infinity);
    }

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    @Test
    public void testSegment() {
        QL.info("Testing segment integration...");
        testSeveral(new SegmentIntegral(10000));
    }

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Related Classes of org.jquantlib.math.integrals.SegmentIntegral

org.jquantlib.pricingengines.vanilla.IntegralEngine

org.jquantlib.testsuite.math.integrals.IntegralsTest

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