TrapezoidIntegral Class Template Reference

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

Inheritance diagram for TrapezoidIntegral:

List of all members.


Detailed Description

template<class IntegrationPolicy>
class QuantLib::TrapezoidIntegral< IntegrationPolicy >

Integral of a one-dimensional function.

Given a target accuracy $ \epsilon $, the integral of a function $ f $ between $ a $ and $ b $ is calculated by means of the trapezoid formula

\[ \int_{a}^{b} f \mathrm{d}x = \frac{1}{2} f(x_{0}) + f(x_{1}) + f(x_{2}) + \dots + f(x_{N-1}) + \frac{1}{2} f(x_{N}) \]

where $ x_0 = a $, $ x_N = b $, and $ x_i = a+i \Delta x $ with $ \Delta x = (b-a)/N $. The number $ N $ of intervals is repeatedly increased until the target accuracy is reached.

Tests:
the correctness of the result is tested by checking it against known good values.

Public Member Functions

 TrapezoidIntegral (Real accuracy, Size maxIterations)

Protected Member Functions

Real integrate (const boost::function< Real(Real)> &f, Real a, Real b) const