GaussChebyshev2nd
Subtype of IntegrationCorresponds to the QuantLib GaussChebyshev2nd Fourier integration algorithm of the AnalyticHestonEngine.
Non adaptive integration algorithm based on Gaussian quadrature
Corresponds to the QuantLib GaussChebyshev2nd Fourier integration algorithm of the AnalyticHestonEngine.
Non adaptive integration algorithm based on Gaussian quadrature