GaussLobattoIntegral Class Reference
Integral of a one-dimensional function. More...
#include <ql/math/integrals/gausslobattointegral.hpp>
Inherits QuantLib::Integrator.
Detailed Description
Integral of a one-dimensional function.
Given a target accuracy , the integral of a function
between
and
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