GaussHermiteIntegration Class Reference

generalized Gauss-Hermite integration More...

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

Inheritance diagram for GaussHermiteIntegration:

Public Member Functions

 GaussHermiteIntegration (Size n, Real mu=0.0)
 
- Public Member Functions inherited from GaussianQuadrature
 GaussianQuadrature (Size n, const GaussianOrthogonalPolynomial &p)
 
template<class F >
Real operator() (const F &f) const
 
Size order () const
 
const Arrayweights ()
 
const Arrayx ()
 

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

\[ w(x;\mu)=|x|^{2\mu} \exp{-x*x} \]

and

\[ \mu > -0.5 \]