/usr/include/ql/math/modifiedbessel.hpp is in libquantlib0-dev 1.7.1-1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2014 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file modifiedbessel.hpp
\brief modified Bessel functions of first and second kind
*/
#ifndef quantlib_modified_bessel_hpp
#define quantlib_modified_bessel_hpp
#include <ql/types.hpp>
#include <complex>
namespace QuantLib {
/* Compute modified Bessel functions I_nv(x) and K_nv(x)
Based on series expansion outlined in e.g.
http://www.mhtlab.uwaterloo.ca/courses/me755/web_chap4.pdf
The exponentially weighted versions return the function value
times exp(-x) resp exp(-z)
*/
Real modifiedBesselFunction_i(Real nu, Real x);
Real modifiedBesselFunction_k(Real nu, Real x);
Real modifiedBesselFunction_i_exponentiallyWeighted(Real nu, Real x);
Real modifiedBesselFunction_k_exponentiallyWeighted(Real nu, Real x);
std::complex<Real> modifiedBesselFunction_i(Real nu,
const std::complex<Real>& z);
std::complex<Real> modifiedBesselFunction_k(Real nu,
const std::complex<Real>& z);
std::complex<Real>
modifiedBesselFunction_i_exponentiallyWeighted(Real nu,
const std::complex<Real> &z);
std::complex<Real>
modifiedBesselFunction_k_exponentiallyWeighted(Real nu,
const std::complex<Real> &z);
}
#endif
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