GaussLegendreIntegration (3) - Linux Man Pages

GaussLegendreIntegration: Gauss-Legendre integration.

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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