QuantLib_GaussJacobiIntegration man page

GaussJacobiIntegration — Gauss-Jacobi integration.


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

Inherits GaussianQuadrature.

Public Member Functions

GaussJacobiIntegration (Size n, Real alpha, Real beta)

Additional Inherited Members

Detailed Description

Gauss-Jacobi integration.

This class performs a 1-dimensional Gauss-Jacobi integration. [ int_{-1}^{1} f(x) mathrm{d}x ] The weighting function is [ w(x;alpha,beta)=(1-x)^alpha (1+x)^beta ]


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Referenced By

GaussJacobiIntegration(3) is an alias of QuantLib_GaussJacobiIntegration(3).

QuantLib Version 1.8.1 Fri Sep 23 2016