QuantLib_GaussLegendreIntegration man page

GaussLegendreIntegration — Gauss-Legendre integration.


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

Inherits GaussianQuadrature.

Public Member Functions

GaussLegendreIntegration (Size n)

Additional Inherited Members

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 ]


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Referenced By

GaussLegendreIntegration(3) is an alias of QuantLib_GaussLegendreIntegration(3).

QuantLib Version 1.8.1 Fri Sep 23 2016