QuantLib_GaussianQuadMultidimIntegrator man page

GaussianQuadMultidimIntegrator — Integrates a vector or scalar function of vector domain.

Synopsis

#include <ql/experimental/math/multidimquadrature.hpp>

Inherited by IntegrationBase< GaussianQuadMultidimIntegrator >.

Public Member Functions

GaussianQuadMultidimIntegrator (Size dimension, Size quadOrder, Real mu=0.)

Size order () const
Integration quadrature order.
template<class RetType_T > RetType_T operator() (const boost::function< RetType_T(const std::vector< Real > &arg)> &f) const
Integrates function f over $ R^{dim} $.
template<class RetType_T > RetType_T integrate (const boost::function< RetType_T(const std::vector< Real > &v1)> &f) const

template<> Real operator() (const boost::function< Real(const std::vector< Real > &v1)> &f) const

template<> Real integrate (const boost::function< Real(const std::vector< Real > &v1)> &f) const

Detailed Description

Integrates a vector or scalar function of vector domain.

A template recursion along dimensions avoids calling depth test or virtual functions.

Constructor & Destructor Documentation

GaussianQuadMultidimIntegrator (Size dimension, Size quadOrder, Real mu = 0.)

Parameters:

dimension The number of dimensions of the argument of the function we want to integrate.
dimension Integration variable dimension.
mu Parameter in the Gauss Hermite weight (i.e. points load).

Author

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Referenced By

GaussianQuadMultidimIntegrator(3) and order(3) are aliases of QuantLib_GaussianQuadMultidimIntegrator(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib