| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2013 Klaus Spanderen |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | /*! \file twodimensionalintegral.hpp |
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| 21 | \brief two dimensional integration |
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| 22 | */ |
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| 23 | |
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| 24 | #ifndef quantlib_two_dimensional_integral_2d_hpp |
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| 25 | #define quantlib_two_dimensional_integral_2d_hpp |
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| 26 | |
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| 27 | #include <ql/math/integrals/integral.hpp> |
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| 28 | #include <ql/shared_ptr.hpp> |
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| 29 | #include <ql/functional.hpp> |
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| 30 | #include <utility> |
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| 31 | |
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| 32 | namespace QuantLib { |
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| 33 | |
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| 34 | //! Integral of a two-dimensional function |
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| 35 | /*! The integral of a two dimensional function\f$ f(x,y) \f$ |
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| 36 | * between \f$ (a_x, a_y) \f$ and \f$ (b_x, b_y) \f$ |
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| 37 | is calculated by means of two nested integrations |
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| 38 | */ |
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| 39 | |
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| 40 | class TwoDimensionalIntegral { |
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| 41 | public: |
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| 42 | TwoDimensionalIntegral(ext::shared_ptr<Integrator> integratorX, |
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| 43 | ext::shared_ptr<Integrator> integratorY) |
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| 44 | : integratorX_(std::move(integratorX)), integratorY_(std::move(integratorY)) {} |
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| 45 | |
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| 46 | Real operator()(const ext::function<Real (Real, Real)>& f, |
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| 47 | const std::pair<Real, Real>& a, |
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| 48 | const std::pair<Real, Real>& b) const { |
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| 49 | return (*integratorX_)([&](Real x) { return g(f, x, a: a.second, b: b.second); }, |
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| 50 | a.first, b.first); |
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| 51 | } |
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| 52 | |
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| 53 | private: |
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| 54 | Real g(const ext::function<Real (Real, Real)>& f, |
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| 55 | Real x, Real a, Real b) const { |
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| 56 | return (*integratorY_)([&](Real y) { return f(x, y); }, a, b); |
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| 57 | } |
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| 58 | |
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| 59 | const ext::shared_ptr<Integrator> integratorX_, integratorY_; |
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| 60 | }; |
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| 61 | } |
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| 62 | #endif |
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| 63 | |
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