QuantLib: FilonIntegral Class Reference

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

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FilonIntegral Class Reference

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

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

Inherits Integrator.

## Public Types
enum | Type { Sine, Cosine }

## Public Member Functions
| FilonIntegral (Type type, Real t, Size intervals)

## Protected Member Functions
Real | integrate (const boost::function< Real(Real)> &f, Real a, Real b) const

## Detailed Description

Integral of a one-dimensional function.

Given a number \( N \) of intervals, the integral of a function \( f \) between \( a \) and \( b \) is calculated by means of Filon's sine and cosine integrals

References: Abramowitz, M. and Stegun, I. A. (Eds.). Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables, 9th printing. New York: Dover, pp. 890-891, 1972.

Tests:
  the correctness of the result is tested by checking it against known good values.