QuantLib_MultidimIntegral man page

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

Synopsis

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

Inherited by IntegrationBase< MultidimIntegral >.

Public Member Functions

MultidimIntegral (const std::vector< boost::shared_ptr< Integrator > > &integrators)

Real operator() (const boost::function< Real(const std::vector< Real > &)> &f, const std::vector< Real > &a, const std::vector< Real > &b) const

Detailed Description

Integrates a vector or scalar function of vector domain.

Uses a collection of arbitrary 1D integrators along each of the dimensions. A template recursion along dimensions avoids calling depth test or virtual functions.

This class generalizes to an arbitrary number of dimensions the functionality in class TwoDimensionalIntegral

Member Function Documentation

Real operator() (const boost::function< Real(const std::vector< Real > &)> & f, const std::vector< Real > & a, const std::vector< Real > & b) const

Parameters:

f Integrand function.
a Lower integration limit domain for each dimension.
b Upper integration limit domain for each dimension.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

MultidimIntegral(3) is an alias of QuantLib_MultidimIntegral(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib