GaussianQuadMultidimIntegrator Class Reference

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

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

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 std::function< RetType_T(const std::vector< Real > &arg)> &f) const
	Integrates function f over \( R^{dim} \).
template<class RetType_T>
RetType_T	integrate (const std::function< RetType_T(const std::vector< Real > &v1)> &f) const
template<>
Real	operator() (const std::function< Real(const std::vector< Real > &v1)> &f) const
template<>
Real	integrate (const std::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.

Examples

MultidimIntegral.cpp.

Constructor & Destructor Documentation

GaussianQuadMultidimIntegrator()

GaussianQuadMultidimIntegrator	(	Size	dimension,
		Size	quadOrder,
		Real	mu = 0. )

Parameters

dimension	The number of dimensions of the argument of the function we want to integrate.
quadOrder	Quadrature order.
mu	Parameter in the Gauss Hermite weight (i.e. points load).