public double integrate(double a, double b, ConundrumIntegrand integrand)
{
double result = .0;
// we use the non adaptive algorithm only for semi infinite interval
if (a > 0)
{
// we estimate the actual boudary by testing integrand values
double upperBoundary = 2 * a;
while (integrand.value(upperBoundary) > precision_)
{
upperBoundary *= 2.0;
}
// sometimes b < a because of a wrong estimation of b based on stdev
if (b > a)
{
upperBoundary = Math.Min(upperBoundary, b);
}
GaussKronrodNonAdaptive gaussKronrodNonAdaptive = new GaussKronrodNonAdaptive(precision_, 1000000, 1.0);
// if the integration intervall is wide enough we use the
// following change variable x -> a + (b-a)*(t/(a-b))^3
upperBoundary = Math.Max(a, Math.Min(upperBoundary, hardUpperLimit_));
if (upperBoundary > 2 * a)
{
VariableChange variableChange = new VariableChange(integrand.value, a, upperBoundary, 3);
result = gaussKronrodNonAdaptive.value(variableChange.value, .0, 1.0);
}
else
{
result = gaussKronrodNonAdaptive.value(integrand.value, a, upperBoundary);
}
// if the expected precision has not been reached we use the old algorithm
if (!gaussKronrodNonAdaptive.integrationSuccess())
{
GaussKronrodAdaptive integrator = new GaussKronrodAdaptive(precision_, 100000);
b = Math.Max(a, Math.Min(b, hardUpperLimit_));
result = integrator.value(integrand.value, a, b);
}
} // if a < b we use the old algorithm
else
{
b = Math.Max(a, Math.Min(b, hardUpperLimit_));
GaussKronrodAdaptive integrator = new GaussKronrodAdaptive(precision_, 100000);
result = integrator.value(integrand.value, a, b);
}
return(result);
}
public LinearTsrPricer(Handle <SwaptionVolatilityStructure> swaptionVol,
Handle <Quote> meanReversion,
Handle <YieldTermStructure> couponDiscountCurve = null,
Settings settings = null,
Integrator integrator = null)
: base(swaptionVol)
{
meanReversion_ = meanReversion;
couponDiscountCurve_ = couponDiscountCurve ?? new Handle <YieldTermStructure>();
settings_ = settings ?? new Settings();
volDayCounter_ = swaptionVol.link.dayCounter();
integrator_ = integrator;
if (!couponDiscountCurve_.empty())
{
couponDiscountCurve_.registerWith(update);
}
if (integrator_ == null)
{
integrator_ = new GaussKronrodNonAdaptive(1E-10, 5000, 1E-10);
}
}