com.opengamma.strata.math.impl.integration

Class GaussHermiteWeightAndAbscissaFunction

java.lang.Object

com.opengamma.strata.math.impl.integration.GaussHermiteWeightAndAbscissaFunction

All Implemented Interfaces:

QuadratureWeightAndAbscissaFunction

public class GaussHermiteWeightAndAbscissaFunction
extends Object
implements QuadratureWeightAndAbscissaFunction

Class that generates weights and abscissas for Gauss-Hermite quadrature. Orthonormal Hermite polynomials $H_N$ are used to generate the weights (see OrthonormalHermitePolynomialFunction) using the formula: $$ \begin{align*} w_i = \frac{2}{(H_n'(x_i))^2} \end{align*} $$ where $x_i$ is the $i^{th}$ root of the orthogonal polynomial and $H_i'$ is the first derivative of the $i^{th}$ polynomial.

Constructor Summary

Constructors

Constructor and Description
GaussHermiteWeightAndAbscissaFunction()

Method Summary

Modifier and Type	Method and Description
GaussianQuadratureData	generate(int n)

Methods inherited from class java.lang.Object

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

Constructor Detail

GaussHermiteWeightAndAbscissaFunction

public GaussHermiteWeightAndAbscissaFunction()

Method Detail

generate

public GaussianQuadratureData generate(int n)

Specified by:

generate in interface QuadratureWeightAndAbscissaFunction

Parameters:

n - The number of weights and abscissas to generate, not negative or zero

Returns:

An object containing the weights and abscissas