QuantLib_GaussianQuadrature man page

GaussianQuadrature — Integral of a 1-dimensional function using the Gauss quadratures method.

Synopsis

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

Inherited by GaussChebyshev2ndIntegration, GaussChebyshevIntegration, GaussGegenbauerIntegration, GaussHermiteIntegration, GaussHyperbolicIntegration, GaussJacobiIntegration, GaussLaguerreIntegration, and GaussLegendreIntegration.

Public Member Functions

GaussianQuadrature (Size n, const GaussianOrthogonalPolynomial &p)

template<class F > Real operator() (const F &f) const

Size order () const

const Array & weights ()

const Array & x ()

Protected Attributes

Array x_

Array w_

Detailed Description

Integral of a 1-dimensional function using the Gauss quadratures method.

References: Gauss quadratures and orthogonal polynomials

G.H. Gloub and J.H. Welsch: Calculation of Gauss quadrature rule. Math. Comput. 23 (1986), 221-230

'Numerical Recipes in C', 2nd edition, Press, Teukolsky, Vetterling, Flannery,

Tests

the correctness of the result is tested by checking it against known good values.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

xboxdrv(1).

GaussianQuadrature(3), w_(3) and x(3) are aliases of QuantLib_GaussianQuadrature(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib