GaussJacobiIntegration Class Reference

Gauss-Jacobi integration. More...

#include <ql/math/integrals/gaussianquadratures.hpp>

Inheritance diagram for GaussJacobiIntegration:

List of all members.

Public Member Functions

 GaussJacobiIntegration (Size n, Real alpha, Real beta)

Detailed Description

Gauss-Jacobi integration.

This class performs a 1-dimensional Gauss-Jacobi integration.

\[ \int_{-1}^{1} f(x) \mathrm{d}x \]

The weighting function is

\[ w(x;\alpha,\beta)=(1-x)^\alpha (1+x)^\beta \]