QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces | Functions
multidimquadrature.hpp File Reference
#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