Package org.jquantlib.math.integrals

Examples of org.jquantlib.math.integrals.SegmentIntegral.op()

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        final SegmentIntegral integrator = new SegmentIntegral(5000);

        final double infinity = 10.0*Math.sqrt(variance);
        r.value =
            process.riskFreeRate().currentLink().discount(a.exercise.lastDate()) /
            Math.sqrt(2.0*Math.PI*variance) * integrator.op(f, drift-infinity, drift+infinity);
    }


    //
    // private inner classes
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        final SegmentIntegral integrator = new SegmentIntegral(5000);

        final double infinity = 10.0*Math.sqrt(variance);
        r.value =
            process.riskFreeRate().currentLink().discount(a.exercise.lastDate()) /
            Math.sqrt(2.0*Math.PI*variance) * integrator.op(f, drift-infinity, drift+infinity);
    }


    //
    // private inner classes
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