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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2014 Klaus Spanderen
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
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
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 discreteintegrals.hpp
\brief integrals on non uniform grids
*/
#ifndef quantlib_discrete_integrals_hpp
#define quantlib_discrete_integrals_hpp
#include <ql/math/array.hpp>
#include <ql/math/integrals/integral.hpp>
#include <ql/utilities/null.hpp>
namespace QuantLib {
/*! References:
Levy, D. Numerical Integration
http://www2.math.umd.edu/~dlevy/classes/amsc466/lecture-notes/integration-chap.pdf
*/
class DiscreteTrapezoidIntegral {
public:
Real operator()(const Array& x, const Array& f) const;
};
class DiscreteSimpsonIntegral {
public:
Real operator()(const Array& x, const Array& f) const;
};
class DiscreteTrapezoidIntegrator: public Integrator {
public:
explicit DiscreteTrapezoidIntegrator(Size evaluations)
: Integrator(Null<Real>(), evaluations) {}
protected:
Real integrate(const std::function<Real(Real)>& f, Real a, Real b) const override;
};
class DiscreteSimpsonIntegrator: public Integrator {
public:
explicit DiscreteSimpsonIntegrator(Size evaluations)
: Integrator(Null<Real>(), evaluations) {}
protected:
Real integrate(const std::function<Real(Real)>& f, Real a, Real b) const override;
};
}
#endif
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