QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
Integral of a 1-dimensional function using the Gauss quadratures method. More...
#include <gaussianquadratures.hpp>
Public Member Functions | |
GaussianQuadrature (Size n, const GaussianOrthogonalPolynomial &p) | |
template<class F > | |
Real | operator() (const F &f) const |
Size | order () const |
const Array & | weights () |
const Array & | x () |
Protected Attributes | |
Array | x_ |
Array | w_ |
Integral of a 1-dimensional function using the Gauss quadratures method.
References: Gauss quadratures and orthogonal polynomials
G.H. Gloub and J.H. Welsch: Calculation of Gauss quadrature rule. Math. Comput. 23 (1986), 221-230
"Numerical Recipes in C", 2nd edition, Press, Teukolsky, Vetterling, Flannery,
Definition at line 48 of file gaussianquadratures.hpp.
GaussianQuadrature | ( | Size | n, |
const GaussianOrthogonalPolynomial & | p | ||
) |
Size order | ( | ) | const |
Definition at line 71 of file gaussianquadratures.hpp.
const Array & weights | ( | ) |
const Array & x | ( | ) |
|
protected |
Definition at line 76 of file gaussianquadratures.hpp.
|
protected |
Definition at line 76 of file gaussianquadratures.hpp.