Package com.opengamma.strata.math.impl.integration

Class GaussLaguerreQuadratureIntegrator1D

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.GaussLaguerreQuadratureIntegrator1D

All Implemented Interfaces:

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

public class GaussLaguerreQuadratureIntegrator1D
extends GaussianQuadratureIntegrator1D

Gauss-Laguerre quadrature approximates the value of integrals of the form $$ \begin{align*} \int_{0}^{\infty} e^{-x}f(x) dx \end{align*} $$ The weights and abscissas are generated by GaussLaguerreWeightAndAbscissaFunction.

The function to integrate is scaled in such a way as to allow any values for the limits of integration. At present, this integrator can only be used for the limits $[0, \infty]$.

Constructor Summary

Constructors

Constructor	Description
GaussLaguerreQuadratureIntegrator1D(int n)	Creates an instance.
GaussLaguerreQuadratureIntegrator1D(int n, double alpha)	Creates an instance.

Method Summary

Modifier and Type	Method	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

GaussLaguerreQuadratureIntegrator1D

public GaussLaguerreQuadratureIntegrator1D(int n)

Creates an instance.

Parameters:

n - the value

GaussLaguerreQuadratureIntegrator1D

public GaussLaguerreQuadratureIntegrator1D(int n,
                                           double alpha)

Creates an instance.

Parameters:

n - the value

alpha - the alpha

Method Detail

getLimits

public Double[] getLimits()

Description copied from class: GaussianQuadratureIntegrator1D

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: $$ \begin{align*} \int_{0}^{\infty} f(x) dx &= \int_{0}^{\infty} f(x) e^x e^{-x} dx\\ &= \int_{0}^{\infty} g(x) e^{-x} dx \end{align*} $$

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 $\infty$