Model[Vanilla_Option]__Integration

Defines the algorithm used to carry out the Fourier integration.

Available

<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

<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.