MomentBasedGaussianPolynomial< mp_real > Class Template Reference

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

Inheritance diagram for MomentBasedGaussianPolynomial< mp_real >:

Public Member Functions
Real	mu_0 () const override
Real	alpha (Size i) const override
Real	beta (Size i) const override
virtual mp_real	moment (Size i) const =0
Real	alpha (Size u) const
Real	beta (Size u) const
Real	mu_0 () const
Public Member Functions inherited from GaussianOrthogonalPolynomial
virtual Real	w (Real x) const =0
Real	value (Size i, Real x) const
Real	weightedValue (Size i, Real x) const

Detailed Description

template<class mp_real>
class QuantLib::MomentBasedGaussianPolynomial< mp_real >

References: Gauss quadratures and orthogonal polynomials

G.H. Gloub and J.H. Welsch: Calculation of Gauss quadrature rule. Math. Comput. 23 (1986), 221-230, http://web.stanford.edu/class/cme335/spr11/S0025-5718-69-99647-1.pdf

M. Morandi Cecchi and M. Redivo Zaglia, Computing the coefficients of a recurrence formula for numerical integration by moments and modified moments. http://ac.els-cdn.com/0377042793901522/1-s2.0-0377042793901522-main.pdf?_tid=643d5dca-a05d-11e6-9a56-00000aab0f27&acdnat=1478023545_cf7c87cba4cc9e37a136e68a2564d411

Member Function Documentation

mu_0() [1/2]

template<class mp_real>

Real mu_0 ( ) const

overridevirtual

Implements GaussianOrthogonalPolynomial.

alpha() [1/2]

template<class mp_real>

Real alpha ( Size i ) const

overridevirtual

Implements GaussianOrthogonalPolynomial.

beta() [1/2]

template<class mp_real>

Real beta ( Size i ) const

overridevirtual

Implements GaussianOrthogonalPolynomial.

alpha() [2/2]

Real alpha ( Size u ) const

virtual

Implements GaussianOrthogonalPolynomial.

beta() [2/2]

Real beta ( Size u ) const

virtual

Implements GaussianOrthogonalPolynomial.

mu_0() [2/2]

Real mu_0 ( ) const

virtual

Implements GaussianOrthogonalPolynomial.