Module net.finmath.lib

Package net.finmath.integration

Provides algorithms for numerical integration and wrappers to libraries with algorithms for numerical integration.

Author:

Christian Fries

Interface Summary

Interface	Description
RealIntegral	Interface for real integral.

Class Summary

Class	Description
AbstractRealIntegral	A real integral with lower and upper integration bounds.
MonteCarloIntegrator	A simple integrator using Monte-Carlo integration.
PiecewiseContantDoubleUnaryOperator	A piecewise constant DoubleUnaryOperator \( f : \mathbb{R} \rightarrow \mathbb{R} \) with exact calculation of the integral \( \int_{a}^{b} f(x) dx \) for given bounds \( a, b \).
RombergRealIntegration	Implements a Romberg integrator.
SimpsonRealIntegrator	A simple integrator using Simpson's rule.
TrapezoidalRealIntegrator	A simple integrator using the trapezoidal rule.