GaussHermiteIntegration (3) Linux Manual Page

QuantLib::GaussHermiteIntegration – generalized Gauss-Hermite integration

Synopsis

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

Inherits QuantLib::GaussianQuadrature.

Public Member Functions

GaussHermiteIntegration (Size n, Real mu=0.0)

Detailed Description

generalized Gauss-Hermite integration

This class performs a 1-dimensional Gauss-Hermite integration. [ int_{-inf}^{inf} f(x) mathrm{d}x ] The weighting function is [ w(x;mu)=|x|^{2mu} \xp{-x*x} ] and [ mu > -0.5 ]

Author

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