QuantLib_GaussHermiteIntegration (3) - Linux Manuals
QuantLib_GaussHermiteIntegration: generalized Gauss-Hermite integration
NAME
QuantLib::GaussHermiteIntegration - generalized Gauss-Hermite integration
SYNOPSIS
#include <ql/math/integrals/gaussianquadratures.hpp>
Inherits QuantLib::GaussianQuadrature.
Public Member Functions
GaussHermiteIntegration (Size n, Real mu=0.0)
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|^{2mu} \xp{-x*x} ] and [ mu > -0.5 ]
Author
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