QuantLib::GaussGegenbauerIntegration

GaussGegenbauerIntegration Class Reference

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

Inheritance diagram for GaussGegenbauerIntegration:

Inheritance graph

List of all members.

Detailed Description

Gauss-Gegenbauer integration.

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

$\int_{-1}^{1} f(x) \mathrm{d}x$

The weighting function is

$w(x)=(1-x^2)^{\lambda-1/2}$

Public Member Functions

GaussGegenbauerIntegration (Size n, Real lambda)