GaussGegenbauerIntegration (3) Linux Manual Page
QuantLib::GaussGegenbauerIntegration – Gauss-Gegenbauer integration.
Synopsis
#include <ql/math/integrals/gaussianquadratures.hpp>Inherits QuantLib::GaussianQuadrature.
Public Member Functions
GaussGegenbauerIntegration (Size n, Real lambda)Detailed Description
Gauss-Gegenbauer integration.This class performs a 1-dimensional Gauss-Gegenbauer integration. [ int_{-1}^{1} f(x) mathrm{d}x ] The weighting function is [ w(x)=(1-x^2)^{
-1/2} ]