- QuantLib
- GaussChebyshevIntegration
Gauss-Chebyshev integration. More...
#include <ql/math/integrals/gaussianquadratures.hpp>
Public Member Functions | |
GaussChebyshevIntegration (Size n) |
Gauss-Chebyshev integration.
This class performs a 1-dimensional Gauss-Chebyshev integration.
The weighting function is