QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Integral of a one-dimensional function. More...
#include <filonintegral.hpp>
Public Types | |
enum | Type { Sine , Cosine } |
Public Member Functions | |
FilonIntegral (Type type, Real t, Size intervals) | |
Public Member Functions inherited from Integrator | |
Integrator (Real absoluteAccuracy, Size maxEvaluations) | |
virtual | ~Integrator ()=default |
Real | operator() (const ext::function< Real(Real)> &f, Real a, Real b) const |
void | setAbsoluteAccuracy (Real) |
void | setMaxEvaluations (Size) |
Real | absoluteAccuracy () const |
Size | maxEvaluations () const |
Real | absoluteError () const |
Size | numberOfEvaluations () const |
virtual bool | integrationSuccess () const |
Protected Member Functions | |
Real | integrate (const ext::function< Real(Real)> &f, Real a, Real b) const override |
Protected Member Functions inherited from Integrator | |
void | setAbsoluteError (Real error) const |
void | setNumberOfEvaluations (Size evaluations) const |
void | increaseNumberOfEvaluations (Size increase) const |
Private Attributes | |
const Type | type_ |
const Real | t_ |
const Size | intervals_ |
const Size | n_ |
Integral of a one-dimensional function.
Given a number \( N \) of intervals, the integral of a function \( f \) between \( a \) and \( b \) is calculated by means of Filon's sine and cosine integrals
References: Abramowitz, M. and Stegun, I. A. (Eds.). Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables, 9th printing. New York: Dover, pp. 890-891, 1972.
Definition at line 46 of file filonintegral.hpp.
enum Type |
Enumerator | |
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Sine | |
Cosine |
Definition at line 48 of file filonintegral.hpp.
FilonIntegral | ( | Type | type, |
Real | t, | ||
Size | intervals | ||
) |
Definition at line 33 of file filonintegral.cpp.
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overrideprotectedvirtual |
Implements Integrator.
Definition at line 42 of file filonintegral.cpp.
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private |
Definition at line 55 of file filonintegral.hpp.
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private |
Definition at line 56 of file filonintegral.hpp.
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private |
Definition at line 57 of file filonintegral.hpp.
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private |
Definition at line 57 of file filonintegral.hpp.