QuantLib_GaussHermiteIntegration man page

GaussHermiteIntegration — generalized Gauss-Hermite integration


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

Inherits GaussianQuadrature.

Public Member Functions

GaussHermiteIntegration (Size n, Real mu=0.0)

Additional Inherited Members

Detailed Description

generalized Gauss-Hermite integration

This class performs a 1-dimensional Gauss-Hermite integration. [ int_{-inf}^{inf} f(x) mathrm{d}x ] The weighting function is [ w(x;mu)=|x|^{2mu} \xp{-x*x} ] and [ mu > -0.5 ]


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Referenced By

GaussHermiteIntegration(3) is an alias of QuantLib_GaussHermiteIntegration(3).

QuantLib Version 1.8.1 Fri Sep 23 2016