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Model[Vanilla_Option]__Integration

Integration refers to Corresponds to the QuantLib Integration subclass of the AnalyticHestonEngine.
Defines the algorithm used to carry out the Fourier integration.
Available Integration types:
DiscreteSimpson
Corresponds to the QuantLib DiscreteSimpson Fourier integration algorithm of the AnalyticHestonEngine.
Usually this routine has a poor convergence behavior.
DiscreteTrapezoid
Corresponds to the QuantLib DiscreteTrapezoid Fourier integration algorithm of the AnalyticHestonEngine.
Usually this routine has a poor convergence behavior.
GaussChebyshev
Corresponds to the QuantLib GaussChebyshev Fourier integration algorithm of the AnalyticHestonEngine.
Non adaptive integration algorithm based on Gaussian quadrature
GaussChebyshev2nd
Corresponds to the QuantLib GaussChebyshev2nd Fourier integration algorithm of the AnalyticHestonEngine.
Non adaptive integration algorithm based on Gaussian quadrature
GaussKronrod
Corresponds to the QuantLib GaussKronrod Fourier integration algorithm of the AnalyticHestonEngine.
Usually this routine has a poor convergence behavior.
GaussLaguerre
Corresponds to the QuantLib GaussLaguerre Fourier integration algorithm of the AnalyticHestonEngine.
Non adaptive integration algorithm based on Gaussian quadrature
GaussLegendre
Corresponds to the QuantLib GaussLegendre Fourier integration algorithm of the AnalyticHestonEngine.
Non adaptive integration algorithm based on Gaussian quadrature
GaussLobatto
Corresponds to the QuantLib GaussLobatto Fourier integration algorithm of the AnalyticHestonEngine.
For an adaptive integration algorithm, Gatheral's version must be used for the complex logarithm.
Be aware: Using a too large number for Max Evaluations might result in a stack overflow as the these integrations are based on recursive algorithms.
Simpson
Corresponds to the QuantLib Simpson Fourier integration algorithm of the AnalyticHestonEngine.
Usually this routine has a poor convergence behavior.
Trapezoid
Corresponds to the QuantLib Trapezoid Fourier integration algorithm of the AnalyticHestonEngine.
Usually this routine has a poor convergence behavior.