/usr/include/ql/math/integrals/gausslobattointegral.hpp is in libquantlib0-dev 1.1-2build1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file gausslobattointegral.hpp
\brief integral of a one-dimensional function using the adaptive
Gauss-Lobatto integral
*/
#ifndef quantlib_gauss_lobatto_integral_hpp
#define quantlib_gauss_lobatto_integral_hpp
#include <ql/errors.hpp>
#include <ql/utilities/null.hpp>
#include <ql/math/integrals/integral.hpp>
namespace QuantLib {
//! Integral of a one-dimensional function
/*! Given a target accuracy \f$ \epsilon \f$, the integral of
a function \f$ f \f$ between \f$ a \f$ and \f$ b \f$ is
calculated by means of the Gauss-Lobatto formula
*/
/*! References:
This algorithm is a C++ implementation of the algorithm outlined in
W. Gander and W. Gautschi, Adaptive Quadrature - Revisited.
BIT, 40(1):84-101, March 2000. CS technical report:
ftp.inf.ethz.ch/pub/publications/tech-reports/3xx/306.ps.gz
The original MATLAB version can be downloaded here
http://www.inf.ethz.ch/personal/gander/adaptlob.m
*/
class GaussLobattoIntegral : public Integrator {
public:
GaussLobattoIntegral(Size maxIterations,
Real absAccuracy,
Real relAccuracy = Null<Real>(),
bool useConvergenceEstimate = true);
protected:
Real integrate (const boost::function<Real (Real)>& f,
Real a, Real b) const;
Real adaptivGaussLobattoStep(const boost::function<Real (Real)>& f,
Real a, Real b, Real fa, Real fb,
Real is) const;
Real calculateAbsTolerance(const boost::function<Real (Real)>& f,
Real a, Real b) const;
Real relAccuracy_;
const bool useConvergenceEstimate_;
const static Real alpha_, beta_, x1_, x2_, x3_;
};
}
#endif
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