GaussLegendreIntegration (3) Linux Manual Page
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 ]