QuantLib_FilonIntegral man page

FilonIntegral — Integral of a one-dimensional function.


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

Inherits Integrator.

Public Types

enum Type { Sine, Cosine }

Public Member Functions

FilonIntegral (Type type, Real t, Size intervals)

Protected Member Functions

Real integrate (const boost::function< Real(Real)> &f, Real a, Real b) const

Detailed Description

Integral of a one-dimensional function.

Given a number $ N $ of intervals, the integral of a function $ f $ between $ a $ and $ b $ is calculated by means of Filon's sine and cosine integrals

References: Abramowitz, M. and Stegun, I. A. (Eds.). Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables, 9th printing. New York: Dover, pp. 890-891, 1972.


the correctness of the result is tested by checking it against known good values.


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Referenced By

FilonIntegral(3) and integrate(3) are aliases of QuantLib_FilonIntegral(3).

QuantLib Version 1.8.1 Fri Sep 23 2016