QuantLib_SegmentIntegral man page

SegmentIntegral — Integral of a one-dimensional function.

Synopsis

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

Inherits Integrator.

Public Member Functions

SegmentIntegral (Size intervals)

Protected Member Functions

virtual Real integrate (const boost::function< Real(Real)> &f, Real a, Real b) const

Detailed Description

Integral of a one-dimensional function.

Given a number $ N $ of intervals, the integral of a function $ f $ between $ a $ and $ b $ is calculated by means of the trapezoid formula [ int_{a}^{b} f mathrm{d}x = ac{1}{2} f(x_{0}) + f(x_{1}) + f(x_{2}) + ots + f(x_{N-1}) + ac{1}{2} f(x_{N}) ] where $ x_0 = a $, $ x_N = b $, and $ x_i = a+i Delta x $ with $ Delta x = (b-a)/N $.

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

SegmentIntegral(3) is an alias of QuantLib_SegmentIntegral(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib