com.opengamma.strata.math.impl.integration

Class SimpsonIntegrator1D

java.lang.Object

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

com.opengamma.strata.math.impl.integration.SimpsonIntegrator1D

All Implemented Interfaces:

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

public class SimpsonIntegrator1D
extends Integrator1D<Double,Double>

Simpson's integration rule is a Newton-Cotes formula that approximates the function to be integrated with quadratic polynomials before performing the integration. For a function $f(x)$, if three points $x_1$, $x_2$ and $x_3$ are equally spaced on the abscissa with $x_2 - x_1 = h$ then $$ \begin{align*} \int^{x_3} _{x_1} f(x)dx \approx \frac{1}{3}h(f(x_1) + 4f(x_2) + f(x_3)) \end{align*} $$

This class is a wrapper for the Commons Math library implementation of Simpson integration.

Constructor Summary

Constructors

Constructor and Description
SimpsonIntegrator1D()

Method Summary

Modifier and Type	Method and Description
Double	integrate(Function<Double,Double> f, Double lower, Double upper) Simpson's integration method.

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

integrate

Methods inherited from class java.lang.Object

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

Constructor Detail

SimpsonIntegrator1D

public SimpsonIntegrator1D()

Method Detail

integrate

public Double integrate(Function<Double,Double> f,
                        Double lower,
                        Double upper)

Simpson's integration method.

Note that the Commons implementation fails if the lower bound is larger than the upper - in this case, the bounds are reversed and the result negated.

Specified by:

integrate in class Integrator1D<Double,Double>

Parameters:

f - The function to integrate, not null

lower - The lower bound, not null

upper - The upper bound, not null

Returns:

The result of the integration