QuantLib 0.3.11
Getting started
Reference manual
GaussHermiteIntegration Class Reference
#include <ql/Math/gaussianquadratures.hpp>
Inheritance diagram for GaussHermiteIntegration:
Detailed Description
generalized Gauss-Hermite integrationThis class performs a 1-dimensional Gauss-Hermite integration.
![\[ \int_{-\inf}^{\inf} f(x) \mathrm{d}x \]](form_167.png)
The weighting function is
![\[ w(x;\mu)=|x|^{2\mu} \exp{-x*x} \]](form_168.png)
and
![\[ \mu > -0.5 \]](form_169.png)
Public Member Functions | |
| GaussHermiteIntegration (Size n, Real mu=0.0) | |
