QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | List of all members
GaussHermiteIntegration Class Reference

generalized Gauss-Hermite integration More...

#include <gaussianquadratures.hpp>

+ Inheritance diagram for GaussHermiteIntegration:
+ Collaboration diagram for GaussHermiteIntegration:

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 Arrayweights ()
 
const Arrayx ()
 

Additional Inherited Members

- Protected Attributes inherited from GaussianQuadrature
Array x_
 
Array w_
 

Detailed Description

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.

Constructor & Destructor Documentation

◆ GaussHermiteIntegration()

GaussHermiteIntegration ( Size  n,
Real  mu = 0.0 
)
explicit

Definition at line 110 of file gaussianquadratures.hpp.