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.
quadOrder Quadrature order.
mu Parameter in the Gauss Hermite weight (i.e. points load).
Author
Generated automatically by Doxygen for QuantLib from the source code.
Referenced By
The man pages GaussianQuadMultidimIntegrator(3) and order(3) are aliases of QuantLib_GaussianQuadMultidimIntegrator(3).