GaussHermiteIntegration Class Reference

#include <ql/math/integrals/gaussianquadratures.hpp>

Inheritance diagram for GaussHermiteIntegration:

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Detailed Description

generalized Gauss-Hermite integration

This class performs a 1-dimensional Gauss-Hermite integration.

\[ \int_{-\inf}^{\inf} f(x) \mathrm{d}x \]

The weighting function is

\[ w(x;\mu)=|x|^{2\mu} \exp{-x*x} \]

and

\[ \mu > -0.5 \]


Public Member Functions

 GaussHermiteIntegration (Size n, Real mu=0.0)