QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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generalized Gauss-Hermite integration More...
#include <gaussianquadratures.hpp>
Public Member Functions | |
GaussHermiteIntegration (Size n, Real mu=0.0) | |
Public Member Functions inherited from GaussianQuadrature | |
GaussianQuadrature (Size n, const GaussianOrthogonalPolynomial &p) | |
template<class F > | |
Real | operator() (const F &f) const |
Size | order () const |
const Array & | weights () |
const Array & | x () |
Additional Inherited Members | |
Protected Attributes inherited from GaussianQuadrature | |
Array | x_ |
Array | w_ |
generalized Gauss-Hermite integration
This class performs a 1-dimensional Gauss-Hermite integration.
\[ \int_{-\inf}^{\inf} f(x) \mathrm{d}x \]
The weighting function is
\[ w(x;\mu)=|x|^{2\mu} \exp{-x*x} \]
and
\[ \mu > -0.5 \]
Definition at line 108 of file gaussianquadratures.hpp.
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explicit |
Definition at line 110 of file gaussianquadratures.hpp.