QuantLib 0.3.11

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QuantLib::GaussLaguerreIntegration

GaussLaguerreIntegration Class Reference

#include <ql/Math/gaussianquadratures.hpp>

Inheritance diagram for GaussLaguerreIntegration:

Inheritance graph

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Detailed Description

generalized Gauss-Laguerre integration

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

$\int_{0}^{\inf} f(x) \mathrm{d}x$

The weighting function is

$w(x;s)=x^s \exp{-x}$

and

$s > -1$

Public Member Functions

GaussLaguerreIntegration (Size n, Real s=0.0)

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