void init_gauss(int nbpts)
{
ngauss = nbpts;
xi = (double*)malloc(sizeof(double)*(ngauss+1));
wi = (double*)malloc(sizeof(double)*(ngauss+1));
gauleg(0.,1.,xi,wi,ngauss);
}
void Infinite::TA_calculateE0(int nA, double (Infinite::*func)(), double (Infinite::*ref)())
{
double refValue = (this->*ref)();
double SP_diff = abs(refValue);
SP_deltaE = 0.0;
TA_deltaE = 0.0;
twisted_x.resize(nA);
twisted_w.resize(nA);
gauleg(0,M_PI,twisted_x,twisted_w);
for (int x = 0; x < twisted_x.size(); x++)
for (int y = 0; y < twisted_x.size(); y++)
for (int z = 0; z < twisted_x.size(); z++)
{
setTheta(twisted_x[x],twisted_x[y],twisted_x[z]);
double value = (this->*func)();
TA_deltaE += twisted_w[x] * twisted_w[y] * twisted_w[z] * value;
if (abs(value/A - refValue) < SP_diff)
{
SP_diff = abs(value/A - refValue);
SP_x = x;
SP_y = y;
SP_z = z;
SP_deltaE = value;
}
}
TA_deltaE /= pow(M_PI,3);
setTheta(0.0,0.0,0.0);
}
void psht_make_gauss_geom_info_2 (int nrings, int nphi, int stride_lon,
int stride_lat, psht_geom_info **geom_info)
{
const double pi=3.141592653589793238462643383279502884197;
double *theta=RALLOC(double,nrings);
double *weight=RALLOC(double,nrings);
int *nph=RALLOC(int,nrings);
double *phi0=RALLOC(double,nrings);
ptrdiff_t *ofs=RALLOC(ptrdiff_t,nrings);
int *stride_=RALLOC(int,nrings);
int m;
gauleg(-1,1,theta,weight,nrings);
for (m=0; m<nrings; ++m)
{
theta[m] = acos(theta[m]);
nph[m]=nphi;
phi0[m]=0;
ofs[m]=(ptrdiff_t)m*stride_lat;
stride_[m]=stride_lon;
weight[m]*=2*pi/nphi;
}
psht_make_geom_info (nrings, nph, ofs, stride_, phi0, theta, weight,
geom_info);
DEALLOC(theta);
DEALLOC(weight);
DEALLOC(nph);
DEALLOC(phi0);
DEALLOC(ofs);
DEALLOC(stride_);
}
void testGauleg(){
// declare variables
int n;
double *X, *W;
printf("N = ");
scanf("%u",&n);
// note: have to make sure the range of integration is from -1 to 1, see Numerical Recipes p. 207 (p. 184 on pdf)
// allocate memory
X = (double*) calloc(n,sizeof(double));
W = (double*) calloc(n,sizeof(double));
gauleg(n, X, W);
// print abscissas and weights
int i;
printf("\nX = ");
for (i = 0; i < n; i++)
printf("%.6f ",X[i]);
printf("\n");
printf("\nW = ");
for (i = 0; i < n; i++)
printf("%.6f ",W[i]);
printf("\n");
}
/*We use the Cauchy Gourat theorem to compute the derivatives of the double(Mellin+Laplace) transform */
static dcomplex dermellin(dcomplex l, double sg, double r, int nummom)
{
dcomplex term, cv, mu;
int i;
double r0,sumr, sumi/*,x[NPOINTS_FUSAITAGL+1],w[NPOINTS_FUSAITAGL+1]*/;
double v;
double *x,*w;
x=malloc((NPOINTS_FUSAITAGL+1)*sizeof(double));
w=malloc((NPOINTS_FUSAITAGL+1)*sizeof(double));
sumr=0.0;
sumi=0.0;
gauleg(0, 2*M_PI, x, w,NPOINTS_FUSAITAGL);
v = 2*r/(sg*sg)-1.0;
cv = Complex(v,0.0);
mu = Csqrt(Cadd(Complex(v*v,0), RCmul(2.0,l)));
r0 = Creal(RCmul(0.5,Csub(mu,cv)));
if(r0>1.0) r0=0.25;
for (i=1;i<=NPOINTS_FUSAITAGL;i++)
{
term = RCmul(pow(r0,nummom), Cexp(Complex(0.0, nummom*x[i])));
sumr += w[i]*Creal(Cdiv(mellintransform(l, RCmul(r0, Cexp(Complex(0.0, x[i]))), sg, r), term));
sumi += w[i]*Cimag(Cdiv(mellintransform(l, RCmul(r0, Cexp(Complex(0.0, x[i]))), sg, r), term));
}
free(x);
free(w);
return Complex(exp(factln(nummom))*sumr/(2.0*M_PI),exp(factln(nummom))*sumi/(2.0*M_PI));
}
Infinite::Infinite(int _A, int _g_s, double _rho, int _nMax)
: System(_A), g_s(_g_s), nMax(_nMax), gauss_x(100), gauss_w(100)
{
thetaX = 0.0;
thetaY = 0.0;
thetaZ = 0.0;
setRho(_rho);
gauleg(-1,1,gauss_x,gauss_w);
}
double quadsingint(func&& f, unsigned int n) {
double I = 0.;
#if METHOD == 1 // s = sqrt(1 \pm t)
QuadRule Q = gauleg(n);
for(unsigned int i = 0; i < n; ++i) {
double x = (Q.nodes(i) + 1.) / 2.;
double w = Q.weights(i) * x * x * std::sqrt(2. - x * x);
I += w * (f(x*x - 1) + f(-x*x + 1));
}
return I;
#elif METHOD == 2 // t = cos(s)
QuadRule Q = gauleg(2*n);
for(unsigned int i = 0; i < 2*n; ++i) {
double x = sin(Q.nodes(i) * M_PI_2);
double w = Q.weights(i) * cos(Q.nodes(i) * M_PI_2) * cos(Q.nodes(i) * M_PI_2);
I += w * f(x) * M_PI_2;
}
return I;
#endif
}
main(int argc, char *argv[])
{ int iq,nq;
double wq[NN],xq[NN],x1,x2;
void gauleg(double *x1,double *x2, int *n, double x[], double w[]);
x1=0.; x2=1.;
scanf("%d", &nq);
while(nq>0)
{ gauleg(&x1,&x2,&nq,xq,wq);
printf("\nnq=%d\n", nq);
printf("iq xq wq\n");
for(iq=1;iq<=nq;iq++)
printf("%d %.15f %.15e\n", iq,xq[iq],wq[iq]);
scanf("%d", &nq);
}
}
void NR::fred2(const DP a, const DP b, Vec_O_DP &t, Vec_O_DP &f, Vec_O_DP &w,
DP g(const DP), DP ak(const DP, const DP))
{
int i,j;
DP d;
int n=t.size();
Mat_DP omk(n,n);
Vec_INT indx(n);
gauleg(a,b,t,w);
for (i=0;i<n;i++) {
for (j=0;j<n;j++)
omk[i][j]=DP(i == j)-ak(t[i],t[j])*w[j];
f[i]=g(t[i]);
}
ludcmp(omk,indx,d);
lubksb(omk,indx,f);
}
/// Number of haloes with mass greater than or equal to M
double cosmology::Nplus(double M, double z)
{
//Int_{10^9}^{10^{16}} n(M) dM
double result=0;
const int N=100;
double x[N],w[N];
gauleg(log10(M),17.0,x,w,N);
result=0;
for (int i=0;i<N;i++)
{
double m=pow(10.,x[i]);
result=result+w[i]*nofm(m,z)*m*log(10.);
}
return result;
}
//------------------------------------------------------------------------------
GaussLaguerreIntegrator::GaussLaguerreIntegrator(Config *cfg, WaveFunction *wf) : SpatialIntegrator(cfg, wf)
{
try {
cfg->lookupValue("spatialIntegration.GaussLaguerre.samples", N);
cfg->lookupValue("spatialIntegration.L", L);
dim = cfg->lookup("systemSettings.dim");
} catch (const SettingNotFoundException &nfex) {
cerr << "Basis::Basis(Config *cfg)::Error reading from 'systemSettings' object setting." << endl;
}
x_ = zeros(dim);
y_ = zeros(dim);
x = new double[N];
w1 = new double[N];
gauleg(-L, L, x, w1, N);
#if DEBUG
cout << "GaussLaguerreIntegrator(Setting* systemSettings)" << endl;
cout << "N = " << N << endl;
cout << "L = " << L << endl;
#endif
}
void fred2(int n, float a, float b, float t[], float f[], float w[],
float (*g)(float), float (*ak)(float, float))
{
void gauleg(float x1, float x2, float x[], float w[], int n);
void lubksb(float **a, int n, int *indx, float b[]);
void ludcmp(float **a, int n, int *indx, float *d);
int i,j,*indx;
float d,**omk;
indx=ivector(1,n);
omk=matrix(1,n,1,n);
gauleg(a,b,t,w,n);
for (i=1;i<=n;i++) {
for (j=1;j<=n;j++)
omk[i][j]=(float)(i == j)-(*ak)(t[i],t[j])*w[j];
f[i]=(*g)(t[i]);
}
ludcmp(omk,n,indx,&d);
lubksb(omk,n,indx,f);
free_matrix(omk,1,n,1,n);
free_ivector(indx,1,n);
}
double GaussianQuad_N(double func(const double), const double a2, const double b2, int NptGQ)
{
double s=0.0;
double x[NptGQ], w[NptGQ];
// double dh=(b2-a2)/double(divs);
gauleg(a2, b2, x, w, NptGQ);
for (int j=1; j<=NptGQ; j++) {
s += w[j]*func(x[j]);
}
/*
for (i=1; i<=divs; i++)
{
a0 = a2 + (i-1)*dh;
b0 = a0 + dh;
gauleg(a0, b0, x, w, NptGQ);
for (j=1; j<=NptGQ; j++)
{
s += w[j]*func(x[j]);
}
}
*/
return s;
}
double DiscreteAsian(int model, //modello
double spot,
double strike,
double rf,
double dt,
int ndates,
double lowlim,
double uplim,
int npoints, //n. of quadrature points
long nfft, //n. of points for the fft inversion
double ModelParameters[], //the parameters of the model
double price[],
double solution[],double *delta) //OUTPUT: Contains the solution
{
int i, j, k;
double inter_dens=0.;
double upperdens,b;
//parameters for spline interpolation
int ier;
double dfb,ddfb,arg;
//vectors where to store the outputs of the FFT inversion
double *inv, *logk;
//abscissa and weights for Gaussian quadrature with npoints
double *abscissa,*weights, *temp;
double** c,** kernelmatrix;
double optprice,optdelta;
double gamma_price;
inv=dvector(0, nfft-1); //contains the density
logk=dvector(0, nfft-1); //contains the abscissa of the density
c = dmatrix(0, nfft-1, 0, 2);
kernelmatrix= dmatrix(0, npoints-1, 0, npoints-1);
abscissa=dvector(1,npoints);
weights=dvector(1,npoints);
temp=dvector(0,npoints-1);
//Generate abscissa and weights for quadrature
gauleg(lowlim, uplim, abscissa, weights, npoints);
b=MAX(fabs(lowlim - log(exp(uplim) + 1)),fabs(uplim - log(exp(lowlim) + 1)));
b=b*1.1;
upperdens=b;
TableIFRT(1, model, rf, dt, nfft, b, 1.5, ModelParameters, inv, logk);
//spline interpolation
i=spline(logk, inv, nfft ,c);
if(i>100) return i;
//construct the kernel matrix
for(i=1;i<=npoints;i++){
for(j=1;j<=npoints;j++){
// argument of the density
arg=abscissa[i] - log(exp(abscissa[j]) + 1);
if(arg>-upperdens)
{
if(arg<upperdens)
{
inter_dens=MAX(splevl(arg, nfft, logk, inv, c, &dfb, &ddfb, &ier),0.0);
}
}
if(arg<-upperdens) inter_dens=0.0;
if(arg>upperdens) inter_dens=0.0;
//construct the kernel
kernelmatrix[i-1][ j-1] = weights[j] * MAX(inter_dens,0.0);
/*printf("%d %d %d %f\n",npoints,i-1,j-1,kernelmatrix[i-1][ j-1]);*/
}
//construct the initial condition
arg=abscissa[i];
if(arg>-upperdens)
{
if(arg<upperdens)
{
solution[i-1] = MAX(splevl(abscissa[i], nfft, logk, inv, c, &dfb, &ddfb, &ier),0);
}
}
if(arg<-upperdens) solution[i-1]=0.0;
if(arg>upperdens) solution[i-1]=0.0;
}
//iterations over the monitoring dates
for(k = 1;k< ndates;k++){
//compute K*v_n
matvec(kernelmatrix, npoints, npoints, solution, temp);
//update v_n+1
for( i = 0;i<= npoints-1;i++){ solution[i]=temp[i]; }
}
optprice=0.0,optdelta=0.0;
gamma_price=log(strike*((double)(ndates + 1))/spot-1.);
for( i = 0;i<= npoints-1;i++){
//spot price
price[i] = spot * exp(abscissa[i+1]);
///option price
optprice=optprice+weights[i+1]*MAX(spot*(1 + exp(abscissa[i+1]))/(ndates + 1) - strike, 0)*solution[i]*exp(-rf*dt*ndates);
if(abscissa[i+1]>gamma_price)
optdelta=optdelta+weights[i+1]*MAX((1 + exp(abscissa[i+1])), 0)*solution[i]*exp(-rf*dt*ndates)/(ndates + 1);
}
*delta=optdelta;
free_dvector(abscissa,1,npoints);
free_dvector(weights,1,npoints);
free_dvector(temp,0,npoints-1);
free_dvector(inv,0,nfft-1);
free_dvector(logk,0,nfft-1);
free_dmatrix(c, 0, nfft-1, 0, 2);
free_dmatrix(kernelmatrix, 0, npoints-1, 0, npoints-1);
return optprice;
}
static int FusaiTagliani_FixedAsian(double pseudo_stock,double pseudo_strike,NumFunc_2 *po,double t,double r,double divid,double sigma,double *ptprice,double *ptdelta)
{
int i;
double sum=0.0,sum_delta=0.;
/* double area =0.0;*/
int nnodi=NPOINTS_FUSAITAGL;
double CTtK,PTtK,Dlt,Plt;
double k2, k3, k4, m1,m2,m3,m4;
double k2a, k3a, k4a, m1a,m2a,m3a,m4a, var,m;
double term1, term2, term3, term4, edgedens ;
double aa;
int terms,totterms;
double *x,*w;
/*Set parameters for Laplace inversion*/
aa=18.4;
terms=15;
totterms=25;
x= malloc((NPOINTS_FUSAITAGL+1)*sizeof(double));
w=malloc((NPOINTS_FUSAITAGL+1)*sizeof(double));
/*Computation of the first four logarithmic moments*/
m1 = MomentiLnAbWh(t, sigma, r-divid, aa, terms, totterms, 1);
m2 = MomentiLnAbWh(t, sigma, r-divid, aa, terms, totterms, 2);
m3 = MomentiLnAbWh(t, sigma, r-divid, aa, terms, totterms, 3);
m4 = MomentiLnAbWh(t, sigma, r-divid, aa, terms, totterms, 4);
/*Fit the parameters m,var of normal density*/
var= m2-m1*m1;
m=m1;
/*Computation of the cumulants of the logarithm of the arithmetic average*/
k2 = m2 - m1 *m1;
k3 = m3 - 3 * m1 * m2 +3*m2*m1*m1 -3 * m1 * m1 * m1;
k4 = m4 - 4 * m3 * m1 - 3*m2*m2+12*m2*m1*m1-6 * m1 * m1 * m1 * m1;
/*k4 = m4 - 4 * m3 * m1 + 6 * m2 * m1 * m1 - 3 * m1 * m1 * m1 * m1 - 3 * k2 * k2;*/
/*Edgeworth Adjustment : Computation of theoretical moments of the
normal density*/
m1a = m;
m2a = m2;
m3a = m*m*m+3*m*var;
m4a = m*m*m*m+6*m*m*var+3*var*var;
/*Edgeworth Adjustment : Computation of theoretical cumulants of the
normal density*/
k2a = m2a - m1a * m1a ;
k3a = m3a - 3 * m1a * m2a + 3*m2a*m1a*m1a-3*m1a*m1a*m1a;
/*k4a = m4a - 4 * m3a * m1a + 6 * m2a * m1a * m1a - 3 * m1a *m1a *m1a *m1a - 3 * k2a * k2a;*/
k4a = m4a - 4 * m3a * m1a - 3*m2a*m2a+12*m2a*m1a*m1a-6 * m1a * m1a * m1a * m1a;
/*Integrate, using the Laguerre quadrature, for obtaining the call price */
gauleg(log(pseudo_strike*t/pseudo_stock),log(pseudo_strike*t/pseudo_stock)+10., x, w, nnodi);
sum=0.0;
sum_delta=0.;
for (i=1;i<=NPOINTS_FUSAITAGL;i++)
{
/*Density construction using Edgeworth Expansion*/
term1= Normdens(x[i], m, pow(var,0.5));
term2= (k2-k2a)*Der2Normdens(x[i], m, pow(var,0.5))/2.;
term3= -(k3-k3a)*Der3Normdens(x[i], m, pow(var,0.5))/6.;
term4= ((k4-k4a)+3*(k2-k2a))*Der4Normdens(x[i], m, pow(var,0.5))/24.;
edgedens = term1+term2+term3+term4;
/*Integration with to respect to payoff for obtaining the call price
and delta*/
sum += w[i]*(exp(x[i])*pseudo_stock/t-pseudo_strike)*edgedens;
sum_delta += w[i]*exp(x[i])/t*edgedens;
}
/* Call Price */
CTtK= exp(-r*t)*sum;
/* Put Price from Parity*/
if(r==divid)
PTtK=CTtK+pseudo_strike*exp(-r*t)-pseudo_stock*exp(-r*t);
else
PTtK=CTtK+pseudo_strike*exp(-r*t)-pseudo_stock*exp(-r*t)*(exp((r-divid)*t)-1.)/(t*(r-divid));
/*Delta for call option*/
Dlt=exp(-r*t)*sum_delta;
/*Delta for put option*/
if(r==divid)
Plt=Dlt-exp(-r*t);
else
Plt=Dlt-exp(-r*t)*(exp((r-divid)*t)-1.0)/(t*(r-divid));
/*Price*/
if ((po->Compute)==&Call_OverSpot2)
*ptprice=CTtK;
else
*ptprice=PTtK;
/*Delta */
if ((po->Compute)==&Call_OverSpot2)
*ptdelta=Dlt;
else
*ptdelta=Plt;
free(x);
free(w);
return OK;
}
