QuantLib_GaussGegenbauerIntegration

Langue: en

Autres versions - même langue

Version: 373374 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::GaussGegenbauerIntegration -

Gauss-Gegenbauer integration.

SYNOPSIS


#include <ql/math/integrals/gaussianquadratures.hpp>

Inherits QuantLib::GaussianQuadrature.

Public Member Functions


GaussGegenbauerIntegration (Size n, Real lambda)

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)^{

-1/2} ]

Author

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