quantlib-dev

[Quantlib-dev] multidimensional integration

[Warren C. <war...@al...>]

Does Quantlib have any multidimensional integration routines?

If not, do the 1-D integration routines lend themselves to multidimensional integration?

Thanks

Re: [Quantlib-dev] [Quantlib-users] multidimensional integration

[Luigi B. <lui...@gm...>]

On Sep 1, 2007, at 9:03 PM, Warren Chou wrote:
> Does Quantlib have any multidimensional integration routines?

No, it doesn't.

> If not, do the 1-D integration routines lend themselves to 
> multidimensional integration?

Possibly. For 2-D integration of a function f(x,y), you can use an 
intermediate function object to return the 1-D integral of f(x,y) along 
y for a fixed x---let's call this function F(x). Then you can integrate 
F(x). For 3-D integration, use the above to get the 2-D integral G(z) 
along x,y for a given z and integrate G(z). Recurse as many times as 
needed.

Later,
	Luigi