![]() QuantLib 0.3.11Getting startedReference manual |
GaussianQuadrature Class Reference#include <ql/Math/gaussianquadratures.hpp>
Inheritance diagram for GaussianQuadrature: ![]() Detailed DescriptionIntegral of a 1-dimensional function using the Gauss quadratures method.References: Gauss quadratures and orthogonal polynomials G.H. Gloub and J.H. Welsch: Calculation of Gauss quadrature rule. Math. Comput. 23 (1986), 221-230 "Numerical Recipes in C", 2nd edition, Press, Teukolsky, Vetterling, Flannery,
|
QuantLib.org![]() |
Hosted by![]() |
Documentation generated by![]() |