1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
|
/*
Copyright (C) 2000, 2001, 2002 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file segmentintegral.cpp
\brief Integral of a function over a segment
\fullpath
ql/Math/%segmentintegral.cpp
*/
// $Id: segmentintegral.cpp,v 1.8 2002/01/16 14:42:29 nando Exp $
#include <ql/Math/segmentintegral.hpp>
namespace QuantLib {
namespace Math {
SegmentIntegral::SegmentIntegral(Size intervals)
:intervals_(intervals){
QL_REQUIRE(intervals > 3,
"at least 4 intervals needed, given only "+
IntegerFormatter::toString(intervals));
}
double SegmentIntegral::operator()(
const ObjectiveFunction& f, double a, double b) const {
QL_REQUIRE(a < b,
"to compute an integral on [a,b] it must be a<b; a="+
DoubleFormatter::toString(a)+" b="+
DoubleFormatter::toString(b));
double dx = (b-a)/intervals_;
double sum = 0.5 * f(a + 0.5 * dx) * dx;
sum += 0.5 * f(b - 0.5 * dx) * dx;
for(double x = a + 1.5 * dx; x < b - 0.5 * dx; x += dx)
sum += f(x) * dx;
return sum;
}
}
}
|
