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QuantLib_GaussianQuadrature
Langue: en
Version: 159333 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::GaussianQuadrature - Integral of a 1-dimensional function using the Gauss quadratures method.SYNOPSIS
#include <ql/math/integrals/gaussianquadratures.hpp>
Inherited by GaussChebyshev2thIntegration, GaussChebyshevIntegration, GaussGegenbauerIntegration, GaussHermiteIntegration, GaussHyperbolicIntegration, GaussJacobiIntegration, GaussLaguerreIntegration, and GaussLegendreIntegration.
Public Member Functions
GaussianQuadrature (Size n, const GaussianOrthogonalPolynomial &p)
template<class F > Real operator() (const F &f) const
Size order () const
Detailed Description
Integral of a 1-dimensional function using the Gauss quadratures method.
References: Gauss quadratures and orthogonal polynomials
G.H. Gloub and J.H. Welsch: Calculation of Gauss quadrature rule. Math. Comput. 23 (1986), 221-230
Tests
- the correctness of the result is tested by checking it against known good values.
Author
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