QuantLib: GaussLegendreIntegration Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.12

Public Member Functions | List of all members
GaussLegendreIntegration Class Reference

Gauss-Legendre integration. More...

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

Inheritance diagram for GaussLegendreIntegration:
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## Public Member Functions
| GaussLegendreIntegration (Size n)
Public Member Functions inherited from GaussianQuadrature
| GaussianQuadrature (Size n, const GaussianOrthogonalPolynomial &p)
template<class F >
Real | operator() (const F &f) const
Size | order () const
const Array & | weights ()
const Array & | x ()

## Additional Inherited Members
Protected Attributes inherited from GaussianQuadrature
Array | x_
Array | w_

## Detailed Description

Gauss-Legendre integration.

This class performs a 1-dimensional Gauss-Legendre integration.

\[ \int_{-1}^{1} f(x) \mathrm{d}x \]

The weighting function is

\[ w(x)=1 \]