QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | List of all members
GaussGegenbauerIntegration Class Reference

Gauss-Gegenbauer integration. More...

#include <gaussianquadratures.hpp>

+ Inheritance diagram for GaussGegenbauerIntegration:
+ Collaboration diagram for GaussGegenbauerIntegration:

Public Member Functions

 GaussGegenbauerIntegration (Size n, Real lambda)
 
- Public Member Functions inherited from GaussianQuadrature
 GaussianQuadrature (Size n, const GaussianOrthogonalPolynomial &p)
 
template<class F >
Real operator() (const F &f) const
 
Size order () const
 
const Arrayweights ()
 
const Arrayx ()
 

Additional Inherited Members

- Protected Attributes inherited from GaussianQuadrature
Array x_
 
Array w_
 

Detailed Description

Gauss-Gegenbauer integration.

This class performs a 1-dimensional Gauss-Gegenbauer integration.

\[ \int_{-1}^{1} f(x) \mathrm{d}x \]

The weighting function is

\[ w(x)=(1-x^2)^{\lambda-1/2} \]

Definition at line 204 of file gaussianquadratures.hpp.

Constructor & Destructor Documentation

◆ GaussGegenbauerIntegration()

GaussGegenbauerIntegration ( Size  n,
Real  lambda 
)

Definition at line 206 of file gaussianquadratures.hpp.