QuantLib_GaussLegendreIntegration

Langue: en

Autres versions - même langue

Version: 375492 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::GaussLegendreIntegration -

Gauss-Legendre integration.

SYNOPSIS


#include <ql/math/integrals/gaussianquadratures.hpp>

Inherits QuantLib::GaussianQuadrature.

Public Member Functions


GaussLegendreIntegration (Size n)

Detailed Description

Gauss-Legendre integration.

This class performs a 1-dimensional Gauss-Legendre integration. [ int_{-1}^{1} f(x) mathrm{d}x ] The weighting function is [ w(x)=1 ]

Author

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