public double integratedCovariance(int i, int j, double t, Vector x)
{
if (corrModel_.isTimeIndependent())
{
try {
// if all objects support these methods
// thats by far the fastest way to get the
// integrated covariance
return(corrModel_.correlation(i, j, 0.0, x)
* volaModel_.integratedVariance(j, i, t, x));
//verifier la methode integratedVariance, qui bdoit etre implémenté
}
catch (System.Exception Error) {
// okay proceed with the
// slow numerical integration routine
}
}
//QL_REQUIRE(x.empty(), "can not handle given x here");
try {
if (x.empty() == false)
{
throw new ApplicationException("can not handle given x here");
}
}
catch { //OK x empty
}
double tmp = 0.0;
VarProxy_Helper helper = new VarProxy_Helper(this, i, j);
GaussKronrodAdaptive integrator = new GaussKronrodAdaptive(1e-10, 10000);
for (int k = 0; k < 64; ++k)
{
tmp += integrator.value(helper.value, k * t / 64.0, (k + 1) * t / 64.0);
}
return(tmp);
}
