GaussianQuadrature (3) - Linux Manuals

GaussianQuadrature: Integral of a 1-dimensional function using the Gauss quadratures method.

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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