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