QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <ql/qldefines.hpp>
#include <ql/math/integrals/gaussianquadratures.hpp>
#include <ql/functional.hpp>
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Classes | |
class | GaussianQuadMultidimIntegrator |
Integrates a vector or scalar function of vector domain. More... | |
class | GaussianQuadMultidimIntegrator::VectorIntegrator |
Namespaces | |
namespace | QuantLib |
Functions | |
template<> | |
std::vector< Real > | GaussianQuadMultidimIntegrator::integrate< std::vector< Real > > (const ext::function< std::vector< Real >(const std::vector< Real > &v1)> &f) const |