QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
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GaussianQuadMultidimIntegrator Class Reference

Integrates a vector or scalar function of vector domain. More...

#include <ql/experimental/math/multidimquadrature.hpp>

Inherited by IntegrationBase< GaussianQuadMultidimIntegrator >.

Public Member Functions

 GaussianQuadMultidimIntegrator (Size dimension, Size quadOrder, Real mu=0.)
 
Size order () const
 Integration quadrature order.
 
template<class RetType_T >
RetType_T operator() (const boost::function< RetType_T(const std::vector< Real > &arg)> &f) const
 Integrates function f over \( R^{dim} \).
 
template<class RetType_T >
RetType_T integrate (const boost::function< RetType_T(const std::vector< Real > &v1)> &f) const
 
template<>
Real operator() (const boost::function< Real(const std::vector< Real > &v1)> &f) const
 
template<>
Real integrate (const boost::function< Real(const std::vector< Real > &v1)> &f) const
 

Detailed Description

Integrates a vector or scalar function of vector domain.

A template recursion along dimensions avoids calling depth test or virtual functions.

Constructor & Destructor Documentation

GaussianQuadMultidimIntegrator ( Size  dimension,
Size  quadOrder,
Real  mu = 0. 
)
Parameters
dimensionThe number of dimensions of the argument of the function we want to integrate.
dimensionIntegration variable dimension.
muParameter in the Gauss Hermite weight (i.e. points load).