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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2013 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 twodimensionalintegral.hpp
\brief two dimensional integration
*/
#ifndef quantlib_two_dimensional_integral_2d_hpp
#define quantlib_two_dimensional_integral_2d_hpp
#include <ql/math/integrals/integral.hpp>
#include <ql/shared_ptr.hpp>
#include <ql/functional.hpp>
#include <utility>
namespace QuantLib {
//! Integral of a two-dimensional function
/*! The integral of a two dimensional function\f$ f(x,y) \f$
* between \f$ (a_x, a_y) \f$ and \f$ (b_x, b_y) \f$
is calculated by means of two nested integrations
*/
class TwoDimensionalIntegral {
public:
TwoDimensionalIntegral(ext::shared_ptr<Integrator> integratorX,
ext::shared_ptr<Integrator> integratorY)
: integratorX_(std::move(integratorX)), integratorY_(std::move(integratorY)) {}
Real operator()(const std::function<Real (Real, Real)>& f,
const std::pair<Real, Real>& a,
const std::pair<Real, Real>& b) const {
return (*integratorX_)([&](Real x) { return g(f, x, a.second, b.second); },
a.first, b.first);
}
private:
Real g(const std::function<Real (Real, Real)>& f,
Real x, Real a, Real b) const {
return (*integratorY_)([&](Real y) { return f(x, y); }, a, b);
}
const ext::shared_ptr<Integrator> integratorX_, integratorY_;
};
}
#endif
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