QuantLib_TrapezoidIntegral man page

TrapezoidIntegral< IntegrationPolicy > — Integral of a one-dimensional function.

Synopsis

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

Inherits Integrator.

Public Member Functions

TrapezoidIntegral (Real accuracy, Size maxIterations)

Protected Member Functions

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

Detailed Description

template<class IntegrationPolicy>

class QuantLib::TrapezoidIntegral< IntegrationPolicy >" Integral of a one-dimensional function.

Given a target accuracy $ \psilon $, 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 $. The number $ N $ of intervals is repeatedly increased until the target accuracy is reached.

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

TrapezoidIntegral(3) is an alias of QuantLib_TrapezoidIntegral(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib