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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:
<wb>DiscreteSimpson</wb>
Corresponds to the QuantLib DiscreteSimpson Fourier integration algorithm of the AnalyticHestonEngine.
Usually this routine has a poor convergence behavior.
<wb>DiscreteTrapezoid</wb>
Corresponds to the QuantLib DiscreteTrapezoid Fourier integration algorithm of the AnalyticHestonEngine.
Usually this routine has a poor convergence behavior.
<wb>GaussChebyshev</wb>
Corresponds to the QuantLib GaussChebyshev Fourier integration algorithm of the AnalyticHestonEngine.
Non adaptive integration algorithm based on Gaussian quadrature
<wb>GaussChebyshev2nd</wb>
Corresponds to the QuantLib GaussChebyshev2nd Fourier integration algorithm of the AnalyticHestonEngine.
Non adaptive integration algorithm based on Gaussian quadrature
<wb>GaussKronrod</wb>
Corresponds to the QuantLib GaussKronrod Fourier integration algorithm of the AnalyticHestonEngine.
Usually this routine has a poor convergence behavior.
<wb>GaussLaguerre</wb>
Corresponds to the QuantLib GaussLaguerre Fourier integration algorithm of the AnalyticHestonEngine.
Non adaptive integration algorithm based on Gaussian quadrature
<wb>GaussLegendre</wb>
Corresponds to the QuantLib GaussLegendre Fourier integration algorithm of the AnalyticHestonEngine.
Non adaptive integration algorithm based on Gaussian quadrature
<wb>GaussLobatto</wb>
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.
<wb>Simpson</wb>
Corresponds to the QuantLib Simpson Fourier integration algorithm of the AnalyticHestonEngine.
Usually this routine has a poor convergence behavior.
<wb>Trapezoid</wb>
Corresponds to the QuantLib Trapezoid Fourier integration algorithm of the AnalyticHestonEngine.
Usually this routine has a poor convergence behavior.