gausslobattointegral.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008 Klaus Spanderen
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_gauss_lobatto_integral_hpp
#define quantlib_gauss_lobatto_integral_hpp
 
#include <ql/errors.hpp>
#include <ql/utilities/null.hpp>
#include <ql/math/integrals/integral.hpp>
 
namespace QuantLib {
 
 
    class GaussLobattoIntegral : public Integrator {
      public:
        GaussLobattoIntegral(Size maxIterations,
                             Real absAccuracy,
                             Real relAccuracy = Null<Real>(),
                             bool useConvergenceEstimate = true);
 
      protected:
        Real integrate(const ext::function<Real(Real)>& f, Real a, Real b) const override;
 
        Real adaptivGaussLobattoStep(const ext::function<Real (Real)>& f,
                                     Real a, Real b, Real fa, Real fb,
                                     Real is) const;
        Real calculateAbsTolerance(const ext::function<Real (Real)>& f,
                                   Real a, Real b) const;
 
        Real relAccuracy_;
        const bool useConvergenceEstimate_;
        const static Real alpha_, beta_, x1_, x2_, x3_;
    };
}
#endif