GaussianQuadrature (3) Linux Manual Page
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.