• All Implemented Interfaces:
Integrator<Double,​Double,​Function<Double,​Double>>

public class GaussLegendreQuadratureIntegrator1D
extends GaussianQuadratureIntegrator1D
Gauss-Legendre quadrature approximates the value of integrals of the form \begin{align*} \int_{-1}^{1} f(x) dx \end{align*} The weights and abscissas are generated by GaussLegendreWeightAndAbscissaFunction.

The function to integrate is scaled in such a way as to allow any values for the limits of the integrals.

• Constructor Summary

Constructors
Constructor Description
GaussLegendreQuadratureIntegrator1D​(int n)
• Method Summary

All Methods
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

public GaussLegendreQuadratureIntegrator1D​(int n)
Parameters:
n - The number of sample points to be used in the integration, not negative or zero
• 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. To evaluate an integral over $[a, b]$, a change of interval must be performed: \begin{align*} \int_a^b f(x)dx &= \frac{b - a}{2}\int_{-1}^1 f(\frac{b - a}{2} x + \frac{a + b}{2})dx\\ &\approx \frac{b - a}{2}\sum_{i=1}^n w_i f(\frac{b - a}{2} x + \frac{a + b}{2}) \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