Heston Model: Support for Angled Contour Shift Integrals #1826
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| #include <cmath> | ||
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| namespace QuantLib { | ||
| std::complex<Real> expm1(const std::complex<Real>& z) { |
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These implementations are for real arguments. Without further proof I'd be rather cautious to use the Pde-approximations in the complex plane.
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You are correct.
I found this stackoverflow answer giving the same formula. Regard this thread as void if you want.
| Size numberOfEvaluations() const; | ||
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| static void doCalculation(Real riskFreeDiscount, |
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Hi Klaus, apologies for the delay. Just to be paranoid, do you think it's possible to implement this method in terms of the new stuff and keep it around for a bit as deprecated? Unfortunately it was a public one.
| @@ -58,20 +58,25 @@ namespace QuantLib { | |||
| AndersenPiterbargOptCV, | |||
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Do you think it makes sense to declare this enumeration once and use it both here and in the analytic engine? If some of the choices are not supported by an engine, I suppose it can throw.
| QL_REQUIRE(cv_ == ControlVariate::Gatheral | ||
| || ControlVariate::BranchCorrection, | ||
| "Gather and Branch-Correction are not supported as control-variate"); |
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Should this be != ? Also, after the || there's no condition, just an enum (which is probably why this passes)
| Real priceVanillaPayoff( | ||
| const ext::shared_ptr<PlainVanillaPayoff>& payoff, | ||
| const Date& maturity) const; | ||
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| Real priceVanillaPayoff( | ||
| const ext::shared_ptr<PlainVanillaPayoff>& payoff, Time maturity) const; | ||
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I think we need something to put doCalcuation() users off till later. It is also used in a market model test case.
and improved exponentially fitted Gauss-Laguerre quadrature