QuantLib: MultidimIntegral Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.6

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MultidimIntegral Class Reference

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

`#include <ql/experimental/math/multidimintegrator.hpp>`

Inherited by IntegrationBase< MultidimIntegral >.

## Public Member Functions
| MultidimIntegral (const std::vector< boost::shared_ptr< Integrator > > &integrators)
Real | operator() (const boost::function< Real(const std::vector< Real > &)> &f, const std::vector< Real > &a, const std::vector< Real > &b) const

## Detailed Description

Integrates a vector or scalar function of vector domain.

Uses a collection of arbitrary 1D integrators along each of the dimensions. A template recursion along dimensions avoids calling depth test or virtual functions.

  This class generalizes to an arbitrary number of dimensions the functionality in class TwoDimensionalIntegral

## Member Function Documentation

Real operator() | ( | const boost::function< Real(const std::vector< Real > &)> & | f,
|  | const std::vector< Real > & | a,
|  | const std::vector< Real > & | b
| ) |  | const

Parameters

  f | Integrand function.
  a | Lower integration limit domain for each dimension.
  b | Upper integration limit domain for each dimension.