QuantLib: TwoDimensionalIntegral Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.20

Public Member Functions | List of all members
TwoDimensionalIntegral Class Reference

Integral of a two-dimensional function. More...

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

## Public Member Functions
| TwoDimensionalIntegral (const ext::shared_ptr< Integrator > &integratorX, const ext::shared_ptr< Integrator > &integratorY)
Real | operator() (const ext::function< Real(Real, Real)> &f, const std::pair< Real, Real > &a, const std::pair< Real, Real > &b) const

## Detailed Description

Integral of a two-dimensional function.

The integral of a two dimensional function \( f(x,y) \) between \( (a_x, a_y) \) and \( (b_x, b_y) \) is calculated by means of two nested integrations