TrapezoidIntegral Class Template Reference
#include <ql/math/integrals/trapezoidintegral.hpp>
Inheritance diagram for TrapezoidIntegral:

Detailed Description
template<class IntegrationPolicy>
class QuantLib::TrapezoidIntegral< IntegrationPolicy >
Integral of a one-dimensional function.
Given a target accuracy , the integral of a function
between
and
is calculated by means of the trapezoid formula
where ,
, and
with
. The number
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 |