- QuantLib
- GaussHermiteIntegration
 
generalized Gauss-Hermite integration More...
#include <ql/math/integrals/gaussianquadratures.hpp>

| Public Member Functions | |
| GaussHermiteIntegration (Size n, Real mu=0.0) | |
generalized Gauss-Hermite integration
This class performs a 1-dimensional Gauss-Hermite integration.
![\[ \int_{-\inf}^{\inf} f(x) \mathrm{d}x \]](form_193.png) 
The weighting function is
![\[ w(x;\mu)=|x|^{2\mu} \exp{-x*x} \]](form_194.png) 
and
![\[ \mu > -0.5 \]](form_195.png)