Class GaussLegendreIntegrator

Namespace

NanoQL.Numerics

Assembly

NanoQL.dll

The integral over [a, b] by the Gauss-Legendre quadrature of a given order, mapped from [−1, 1]: QuantLib's detail::GaussianQuadratureIntegrator<GaussLegendreIntegration>. It counts no evaluation, as QuantLib's doesn't.

public sealed class GaussLegendreIntegrator : Integrator

Inheritance

object

Integrator

GaussLegendreIntegrator

Inherited Members

Integrator.SetAbsoluteAccuracy(double)

Integrator.SetMaxEvaluations(int)

Integrator.Integrate(Func<double, double>, double, double)

Integrator.IntegrateWithStatistics(Func<double, double>, double, double)

Integrator.IntegrationSuccess(IntegrationResult)

Integrator.AbsoluteAccuracy

Integrator.MaxEvaluations

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Constructors

GaussLegendreIntegrator(int)

Initializes a new instance of the GaussLegendreIntegrator class.

public GaussLegendreIntegrator(int n)

Parameters

n int

The order, positive; QuantLib's maximum number of evaluations too.

Exceptions

ArgumentOutOfRangeException

n is negative.

ArgumentException

n is zero.

Methods

GetIntegration()

The quadrature.

public GaussLegendreIntegration GetIntegration()

Returns

GaussLegendreIntegration

The quadrature, immutable.

IntegrateCore(Func<double, double>, double, double)

The rule's integral over [a, b], a below b, with the number of evaluations it made and its error estimate, if it computes one.

protected override IntegrationResult IntegrateCore(Func<double, double> f, double a, double b)

Parameters

f Func<double, double>

The integrand.

a double

The lower limit.

b double

The upper limit.

Returns

IntegrationResult

The integral, the number of evaluations and the error estimate, or null for none.