QuantLib: a free/open-source library for quantitative finance
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fdmmesherintegral.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2014 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file fdmmesherintegral.hpp
21 \brief mesher based integral over target function.
22*/
23
24#ifndef quantlib_fdm_mesher_integral_hpp
25#define quantlib_fdm_mesher_integral_hpp
26
28#include <ql/functional.hpp>
29
30namespace QuantLib {
32 public:
34 const ext::shared_ptr<FdmMesherComposite>& mesher,
35 const ext::function<Real(const Array&, const Array&)>&
36 integrator1d);
37
38 Real integrate(const Array& f) const;
39
40 private:
41 const std::vector<ext::shared_ptr<Fdm1dMesher> > meshers_;
42 const ext::function<Real(const Array&, const Array&)>& integrator1d_;
43 };
44}
45#endif
1-D array used in linear algebra.
Definition: array.hpp:52
const ext::function< Real(const Array &, const Array &)> & integrator1d_
Real integrate(const Array &f) const
const std::vector< ext::shared_ptr< Fdm1dMesher > > meshers_
FdmMesher which is a composite of Fdm1dMesher.
Maps function, bind and cref to either the boost or std implementation.
QL_REAL Real
real number
Definition: types.hpp:50
Definition: any.hpp:35