QuantLib
: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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ql
math
integrals
segmentintegral.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
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Copyright (C) 2015 Peter Caspers
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#ifndef quantlib_segment_integral_h
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#define quantlib_segment_integral_h
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#include <ql/math/integrals/integral.hpp>
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#include <ql/math/comparison.hpp>
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#include <ql/errors.hpp>
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namespace
QuantLib
{
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class
SegmentIntegral
:
public
Integrator
{
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public
:
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explicit
SegmentIntegral
(
Size
intervals);
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protected
:
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Real
integrate
(
const
ext::function<
Real
(
Real
)>& f,
Real
a,
Real
b)
const override
;
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private
:
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Size
intervals_
;
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};
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// inline and template definitions
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inline
Real
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SegmentIntegral::integrate
(
const
ext::function<
Real
(
Real
)>& f,
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Real
a,
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Real
b)
const
{
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if
(
close_enough
(a,b))
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return
0.0;
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Real
dx = (b-a)/
intervals_
;
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Real
sum = 0.5*(f(a)+f(b));
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Real
end = b - 0.5*dx;
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for
(
Real
x = a+dx; x < end; x += dx)
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sum += f(x);
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return
sum*dx;
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}
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}
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#endif
QuantLib::Integrator
Definition:
integral.hpp:30
QuantLib::SegmentIntegral
Integral of a one-dimensional function.
Definition:
segmentintegral.hpp:50
QuantLib::SegmentIntegral::integrate
Real integrate(const ext::function< Real(Real)> &f, Real a, Real b) const override
Definition:
segmentintegral.hpp:64
QuantLib::SegmentIntegral::intervals_
Size intervals_
Definition:
segmentintegral.hpp:57
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib::Size
std::size_t Size
size of a container
Definition:
types.hpp:58
QuantLib
Definition:
any.hpp:35
QuantLib::close_enough
bool close_enough(const Quantity &m1, const Quantity &m2, Size n)
Definition:
quantity.cpp:182
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