1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2014 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file discreteintegrals.hpp
21 \brief integrals on non uniform grids
22*/
23
24#ifndef quantlib_discrete_integrals_hpp
25#define quantlib_discrete_integrals_hpp
26
27#include <ql/math/array.hpp>
28#include <ql/math/integrals/integral.hpp>
29#include <ql/utilities/null.hpp>
30
31namespace QuantLib {
32
33 /*! References:
34 Levy, D. Numerical Integration
35 http://www2.math.umd.edu/~dlevy/classes/amsc466/lecture-notes/integration-chap.pdf
36 */
37 class DiscreteTrapezoidIntegral {
38 public:
39 Real operator()(const Array& x, const Array& f) const;
40 };
41
42 class DiscreteSimpsonIntegral {
43 public:
44 Real operator()(const Array& x, const Array& f) const;
45 };
46
47 class DiscreteTrapezoidIntegrator: public Integrator {
48 public:
49 explicit DiscreteTrapezoidIntegrator(Size evaluations)
50 : Integrator(Null<Real>(), evaluations) {}
51
52 protected:
53 Real integrate(const ext::function<Real(Real)>& f, Real a, Real b) const override;
54 };
55
56 class DiscreteSimpsonIntegrator: public Integrator {
57 public:
58 explicit DiscreteSimpsonIntegrator(Size evaluations)
59 : Integrator(Null<Real>(), evaluations) {}
60
61 protected:
62 Real integrate(const ext::function<Real(Real)>& f, Real a, Real b) const override;
63 };
64}
65#endif
66

source code of quantlib/ql/math/integrals/discreteintegrals.hpp