- QuantLib
- GaussHermiteIntegration
generalized Gauss-Hermite integration More...
#include <ql/math/integrals/gaussianquadratures.hpp>
Public Member Functions | |
GaussHermiteIntegration (Size n, Real mu=0.0) |
generalized Gauss-Hermite integration
This class performs a 1-dimensional Gauss-Hermite integration.
The weighting function is
and