/usr/include/ql/math/integrals/segmentintegral.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.
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/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
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 segmentintegral.hpp
\brief Integral of a one-dimensional function using segment algorithm
*/
#ifndef quantlib_segment_integral_h
#define quantlib_segment_integral_h
#include <ql/math/integrals/integral.hpp>
#include <ql/errors.hpp>
namespace QuantLib {
//! Integral of a one-dimensional function
/*! Given a number \f$ N \f$ of intervals, the integral of
a function \f$ f \f$ between \f$ a \f$ and \f$ b \f$ is
calculated by means of the trapezoid formula
\f[
\int_{a}^{b} f \mathrm{d}x =
\frac{1}{2} f(x_{0}) + f(x_{1}) + f(x_{2}) + \dots
+ f(x_{N-1}) + \frac{1}{2} f(x_{N})
\f]
where \f$ x_0 = a \f$, \f$ x_N = b \f$, and
\f$ x_i = a+i \Delta x \f$ with
\f$ \Delta x = (b-a)/N \f$.
\test the correctness of the result is tested by checking it
against known good values.
*/
class SegmentIntegral : public Integrator {
public:
SegmentIntegral(Size intervals);
protected:
virtual Real integrate(const boost::function<Real (Real)>& f,
Real a,
Real b) const;
private:
Size intervals_;
};
// inline and template definitions
inline Real
SegmentIntegral::integrate(const boost::function<Real (Real)>& f,
Real a,
Real b) const {
Real dx = (b-a)/intervals_;
Real sum = 0.5*(f(a)+f(b));
Real end = b - 0.5*dx;
for (Real x = a+dx; x < end; x += dx)
sum += f(x);
return sum*dx;
}
}
#endif
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