Issues with Gauss Hermite Integration

Posted by Lapin on
URL: http://quantlib.414.s1.nabble.com/Issues-with-Gauss-Hermite-Integration-tp6680.html

Hi,

I have added a model that requires FFT for price vanillas.
The integral needs for be computed from -inf to inf, so the choice of GaussHermiteIntegration.
I have seen that increasing the integration order leads to very high weights which give totaly wrong numbers.
I have found that the optimal number should be around 40. If we go to 64 or 128, the results are negative due to the heavy weights.
Does it make sense to you? Is there something I am missing?

Cheers