- QuantLib
- GaussLobattoIntegral
 
Integral of a one-dimensional function. More...
#include <ql/math/integrals/gausslobattointegral.hpp>
Inherits Integrator.
| Public Member Functions | |
| GaussLobattoIntegral (Size maxIterations, Real absAccuracy, Real relAccuracy=Null< Real >(), bool useConvergenceEstimate=true) | |
| Protected Member Functions | |
| Real | integrate (const boost::function< Real(Real)> &f, Real a, Real b) const | 
| Real | adaptivGaussLobattoStep (const boost::function< Real(Real)> &f, Real a, Real b, Real fa, Real fb, Real is) const | 
| Real | calculateAbsTolerance (const boost::function< Real(Real)> &f, Real a, Real b) const | 
| Protected Attributes | |
| Real | relAccuracy_ | 
| const bool | useConvergenceEstimate_ | 
| Static Protected Attributes | |
| static const Real | alpha_ | 
| static const Real | beta_ | 
| static const Real | x1_ | 
| static const Real | x2_ | 
| static const Real | x3_ | 
Integral of a one-dimensional function.
Given a target accuracy  , the integral of a function
, the integral of a function  between
 between  and
 and  is calculated by means of the Gauss-Lobatto formula
 is calculated by means of the Gauss-Lobatto formula
References: This algorithm is a C++ implementation of the algorithm outlined in
W. Gander and W. Gautschi, Adaptive Quadrature - Revisited. BIT, 40(1):84-101, March 2000. CS technical report: ftp.inf.ethz.ch/pub/publications/tech-reports/3xx/306.ps.gz
The original MATLAB version can be downloaded here http://www.inf.ethz.ch/personal/gander/adaptlob.m