com.opengamma.strata.math.impl.integration

Class GaussHermiteQuadratureIntegrator1D

java.lang.Object

com.opengamma.strata.math.impl.integration.Integrator1D<Double,Double>

com.opengamma.strata.math.impl.integration.GaussianQuadratureIntegrator1D

com.opengamma.strata.math.impl.integration.GaussHermiteQuadratureIntegrator1D

All Implemented Interfaces:

Integrator<Double,Double,Function<Double,Double>>

public class GaussHermiteQuadratureIntegrator1D
extends GaussianQuadratureIntegrator1D

Gauss-Hermite quadrature approximates the value of integrals of the form $$ \begin{align*} \int_{-\infty}^{\infty} e^{-x^2} g(x) dx \end{align*} $$ The weights and abscissas are generated by GaussHermiteWeightAndAbscissaFunction.

At present, this integrator can only be used for the limits $\pm\infty$. The function to integrate is scaled in such a way as to allow any values for the limits of integration.

Constructor Summary

Constructors

Constructor and Description
GaussHermiteQuadratureIntegrator1D(int n)

Method Summary

Modifier and Type	Method and Description
Function<Double,Double>	getIntegralFunction(Function<Double,Double> function, Double lower, Double upper) Returns a function that is valid for both the type of quadrature and the limits of integration.
Double[]	getLimits() Gets the limits.

Methods inherited from class com.opengamma.strata.math.impl.integration.GaussianQuadratureIntegrator1D

equals, hashCode, integrate, integrateFromPolyFunc

Methods inherited from class com.opengamma.strata.math.impl.integration.Integrator1D

integrate

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

GaussHermiteQuadratureIntegrator1D

public GaussHermiteQuadratureIntegrator1D(int n)

Parameters:

n - The number of sample points to use in the integration

Method Detail

getLimits

public Double[] getLimits()

Gets the limits.

Specified by:

getLimits in class GaussianQuadratureIntegrator1D

Returns:

The lower and upper limits for which the quadrature is valid

getIntegralFunction

public Function<Double,Double> getIntegralFunction(Function<Double,Double> function,
                                                   Double lower,
                                                   Double upper)

Returns a function that is valid for both the type of quadrature and the limits of integration. The function $f(x)$ that is to be integrated is transformed into a form suitable for this quadrature method using: $$ \begin{align*} \int_{-\infty}^{\infty} f(x) dx &= \int_{-\infty}^{\infty} f(x) e^{x^2} e^{-x^2} dx\\ &= \int_{-\infty}^{\infty} g(x) e^{-x^2} dx \end{align*} $$

Specified by:

getIntegralFunction in class GaussianQuadratureIntegrator1D

Parameters:

function - The function to be integrated, not null

lower - The lower integration limit, not null

upper - The upper integration limit, not null

Returns:

A function in the appropriate form for integration

Throws:

UnsupportedOperationException - If the lower limit is not $-\infty$ or the upper limit is not $\infty$