/usr/include/ql/math/integrals/filonintegral.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
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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 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2014 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 filonintegral.hpp
\brief Filon's formulae for sine and cosine Integrals
*/
#ifndef quantlib_filon_integral_h
#define quantlib_filon_integral_h
#include <ql/math/integrals/integral.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 Filon's sine and cosine integrals
*/
/*! References:
Abramowitz, M. and Stegun, I. A. (Eds.).
Handbook of Mathematical Functions with Formulas, Graphs,
and Mathematical Tables, 9th printing. New York: Dover,
pp. 890-891, 1972.
\test the correctness of the result is tested by checking it
against known good values.
*/
class FilonIntegral : public Integrator {
public:
enum Type { Sine, Cosine };
FilonIntegral(Type type, Real t, Size intervals);
protected:
Real integrate(const boost::function<Real (Real)>& f,
Real a, Real b) const;
private:
const Type type_;
const Real t_;
const Size intervals_, n_;
};
}
#endif
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