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 Array &	weights ()
const Array &	x ()

Additional Inherited Members
Protected Attributes inherited from GaussianQuadrature
Array	x_
Array	w_

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

\[ \mu > -0.5 \]