QuantLib
: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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ql
methods
finitedifferences
utilities
fdmmesherintegral.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) 2014 Klaus Spanderen
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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_fdm_mesher_integral_hpp
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#define quantlib_fdm_mesher_integral_hpp
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#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
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#include <ql/functional.hpp>
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namespace
QuantLib
{
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class
FdmMesherIntegral
{
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public
:
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FdmMesherIntegral
(
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const
ext::shared_ptr<FdmMesherComposite>& mesher,
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const
ext::function<
Real
(
const
Array
&,
const
Array
&)>&
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integrator1d);
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Real
integrate
(
const
Array
& f)
const
;
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private
:
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const
std::vector<ext::shared_ptr<Fdm1dMesher> >
meshers_
;
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const
ext::function<
Real
(
const
Array
&,
const
Array
&)>&
integrator1d_
;
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};
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}
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#endif
QuantLib::Array
1-D array used in linear algebra.
Definition:
array.hpp:52
QuantLib::FdmMesherIntegral
Definition:
fdmmesherintegral.hpp:31
QuantLib::FdmMesherIntegral::integrator1d_
const ext::function< Real(const Array &, const Array &)> & integrator1d_
Definition:
fdmmesherintegral.hpp:42
QuantLib::FdmMesherIntegral::integrate
Real integrate(const Array &f) const
Definition:
fdmmesherintegral.cpp:33
QuantLib::FdmMesherIntegral::meshers_
const std::vector< ext::shared_ptr< Fdm1dMesher > > meshers_
Definition:
fdmmesherintegral.hpp:41
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib
Definition:
any.hpp:35
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