QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <momentbasedgaussianpolynomial.hpp>
Public Member Functions | |
MomentBasedGaussianPolynomial () | |
Real | mu_0 () const override |
Real | alpha (Size i) const override |
Real | beta (Size i) const override |
virtual mp_real | moment (Size i) const =0 |
Real | alpha (Size u) const |
Real | beta (Size u) const |
Real | mu_0 () const |
Public Member Functions inherited from GaussianOrthogonalPolynomial | |
virtual | ~GaussianOrthogonalPolynomial ()=default |
virtual Real | mu_0 () const =0 |
virtual Real | alpha (Size i) const =0 |
virtual Real | beta (Size i) const =0 |
virtual Real | w (Real x) const =0 |
Real | value (Size i, Real x) const |
Real | weightedValue (Size i, Real x) const |
Private Member Functions | |
mp_real | alpha_ (Size i) const |
mp_real | beta_ (Size i) const |
mp_real | z (Integer k, Integer i) const |
Private Attributes | |
std::vector< mp_real > | b_ |
std::vector< mp_real > | c_ |
std::vector< std::vector< mp_real > > | z_ |
References: Gauss quadratures and orthogonal polynomials
G.H. Gloub and J.H. Welsch: Calculation of Gauss quadrature rule. Math. Comput. 23 (1986), 221-230, http://web.stanford.edu/class/cme335/spr11/S0025-5718-69-99647-1.pdf
M. Morandi Cecchi and M. Redivo Zaglia, Computing the coefficients of a recurrence formula for numerical integration by moments and modified moments. http://ac.els-cdn.com/0377042793901522/1-s2.0-0377042793901522-main.pdf?_tid=643d5dca-a05d-11e6-9a56-00000aab0f27&acdnat=1478023545_cf7c87cba4cc9e37a136e68a2564d411
Definition at line 48 of file momentbasedgaussianpolynomial.hpp.
Definition at line 70 of file momentbasedgaussianpolynomial.hpp.
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overridevirtual |
Implements GaussianOrthogonalPolynomial.
Definition at line 167 of file momentbasedgaussianpolynomial.hpp.
Implements GaussianOrthogonalPolynomial.
Definition at line 143 of file momentbasedgaussianpolynomial.hpp.
Implements GaussianOrthogonalPolynomial.
Definition at line 153 of file momentbasedgaussianpolynomial.hpp.
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pure virtual |
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private |
Definition at line 103 of file momentbasedgaussianpolynomial.hpp.
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private |
Definition at line 122 of file momentbasedgaussianpolynomial.hpp.
Definition at line 74 of file momentbasedgaussianpolynomial.hpp.
Implements GaussianOrthogonalPolynomial.
Definition at line 138 of file momentbasedgaussianpolynomial.hpp.
Implements GaussianOrthogonalPolynomial.
Definition at line 148 of file momentbasedgaussianpolynomial.hpp.
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virtual |
Implements GaussianOrthogonalPolynomial.
Definition at line 159 of file momentbasedgaussianpolynomial.hpp.
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mutableprivate |
Definition at line 65 of file momentbasedgaussianpolynomial.hpp.
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private |
Definition at line 65 of file momentbasedgaussianpolynomial.hpp.
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mutableprivate |
Definition at line 66 of file momentbasedgaussianpolynomial.hpp.