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

Integral of a two-dimensional function. More...

#include <twodimensionalintegral.hpp>

+ Collaboration diagram for TwoDimensionalIntegral:

Public Member Functions

 TwoDimensionalIntegral (ext::shared_ptr< Integrator > integratorX, ext::shared_ptr< Integrator > integratorY)
 
Real operator() (const ext::function< Real(Real, Real)> &f, const std::pair< Real, Real > &a, const std::pair< Real, Real > &b) const
 

Private Member Functions

Real g (const ext::function< Real(Real, Real)> &f, Real x, Real a, Real b) const
 

Private Attributes

const ext::shared_ptr< IntegratorintegratorX_
 
const ext::shared_ptr< IntegratorintegratorY_
 

Detailed Description

Integral of a two-dimensional function.

The integral of a two dimensional function \( f(x,y) \) between \( (a_x, a_y) \) and \( (b_x, b_y) \) is calculated by means of two nested integrations

Definition at line 40 of file twodimensionalintegral.hpp.

Constructor & Destructor Documentation

◆ TwoDimensionalIntegral()

TwoDimensionalIntegral ( ext::shared_ptr< Integrator integratorX,
ext::shared_ptr< Integrator integratorY 
)

Definition at line 42 of file twodimensionalintegral.hpp.

Member Function Documentation

◆ operator()()

Real operator() ( const ext::function< Real(Real, Real)> &  f,
const std::pair< Real, Real > &  a,
const std::pair< Real, Real > &  b 
) const

Definition at line 46 of file twodimensionalintegral.hpp.

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◆ g()

Real g ( const ext::function< Real(Real, Real)> &  f,
Real  x,
Real  a,
Real  b 
) const
private

Definition at line 54 of file twodimensionalintegral.hpp.

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Member Data Documentation

◆ integratorX_

const ext::shared_ptr<Integrator> integratorX_
private

Definition at line 59 of file twodimensionalintegral.hpp.

◆ integratorY_

const ext::shared_ptr<Integrator> integratorY_
private

Definition at line 59 of file twodimensionalintegral.hpp.