Module net.finmath.lib

Package net.finmath.integration

Class TrapezoidalRealIntegrator

java.lang.Object

net.finmath.integration.AbstractRealIntegral

net.finmath.integration.TrapezoidalRealIntegrator

All Implemented Interfaces:

RealIntegral

public class TrapezoidalRealIntegrator
extends AbstractRealIntegral

A simple integrator using the trapezoidal rule.

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
TrapezoidalRealIntegrator(double lowerBound, double upperBound, double[] evaluationPoints)	Create an integrator using the trapezoidal rule.
TrapezoidalRealIntegrator(double lowerBound, double upperBound, int numberOfEvaluationPoints)	Create an integrator using the trapezoidal rule and an equi-distant grid of evaluation points.

Method Summary

Modifier and Type	Method	Description
double	integrate(DoubleUnaryOperator integrand)

Methods inherited from class net.finmath.integration.AbstractRealIntegral

getLowerBound, getUpperBound

Methods inherited from class java.lang.Object

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

Constructor Detail

TrapezoidalRealIntegrator

public TrapezoidalRealIntegrator(double lowerBound,
                                 double upperBound,
                                 double[] evaluationPoints)

Create an integrator using the trapezoidal rule.

Parameters:

lowerBound - Lower bound of the integral.

upperBound - Upper bound of the integral.

evaluationPoints - An ordered array of the inner evaluation points to use.

TrapezoidalRealIntegrator

public TrapezoidalRealIntegrator(double lowerBound,
                                 double upperBound,
                                 int numberOfEvaluationPoints)

Create an integrator using the trapezoidal rule and an equi-distant grid of evaluation points. The minimum number of evaluation points (numberOfEvaluationPoints) is 2, since the trapezoidal rule operates on intervals. That is, lowerBound and upperBound are always evaluated. For numberOfEvaluationPoints > 2 additional inner points will be evaluated.

Parameters:

lowerBound - Lower bound of the integral.

upperBound - Upper bound of the integral.

numberOfEvaluationPoints - Number of evaluation points (that is calls to the applyAsDouble of integrand). Has to be > 2;

Method Detail

integrate

public double integrate(DoubleUnaryOperator integrand)

Specified by:

integrate in interface RealIntegral

Specified by:

integrate in class AbstractRealIntegral