[Quantlib-dev] class AnalyticHestonEngine / AnalyticHestonEngine::Integration

[Toyin A. <toy...@ho...>]

Hi all,
 
I have been looking at the class AnalyticHestonEngine::Integration and I find that there are two variables that seem to be declared but never used (AnalyticHestonEngine.hpp).
 
mutable Real c_inf_;
mutable boost::function1<Real, Real> f_;
 

Also line 231 within the file AnalyticHestonEngine.cpp returns an expression, but the two (const std::complex<Real>) computed local expressions above it are never used in the return value. Am I missing something?
 
Finally, can someone verify the following (Line 537 of AnalyticHestonEngine.cpp)
 
 
            (
                boost::function1<Real, Real>(
                    if_then_else_return ( (_1+1.0)*c_inf> QL_EPSILON,
                        bind(f, -bind(std::ptr_fun<Real,Real>(std::log),
                                      0.5*_1+0.5 )/c_inf )/((_1+1.0)*c_inf),
                        bind(constant<Real, Real>(0.0), _1))));

is basically the same as
 
                double dRes = 0.0;
                if ((_1 + 1.0) * c_inf> QL_EPSILON)
                {
                    dRes = (-std::log(0.5 * _1 + 0.5) / c_inf);
                    dRes = f(dRes) / ((_1 + 1.0) * c_inf);
                }
                else
                {
                    dRes = 0.0;
                }
                return dRes;

AND (Line 548 of AnalyticHestonEngine.cpp)

 
            (
                boost::function1<Real, Real>(
                    if_then_else_return ( _1*c_inf> QL_EPSILON,
                        bind(f,-bind(std::ptr_fun<Real,Real>(std::log), _1)
                             /c_inf) /(_1*c_inf),
                        bind(constant<Real, Real>(0.0), _1))),
                0.0, 1.0);

is bascically the same as
 
                double dRes = 0.0;
                if (_1 * c_inf> QL_EPSILON)
                {
                    dRes = (-std::log(_1) / c_inf);
                    dRes = f(dRes) / (_1 * c_inf);
                }
                else
                {
                    dRes = 0.0;
                }
                return dRes;

 
Best Regards and thanks,
Toyin Akin.
  		 	   		  
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