Struct MultiDimGaussianIntegration 

pub struct MultiDimGaussianIntegration { /* private fields */ }

Multi-dimensional Gaussian quadrature as the tensor product of one-dimensional rules.

Port of QuantLib’s MultiDimGaussianIntegration (same C++ file): ns[j] is the number of points in dimension j and gen_quad builds the one-dimensional rule for a given order; rules for repeated orders are built once and shared.

Implementations

impl MultiDimGaussianIntegration

pub fn new<G>(ns: &[Size], gen_quad: G) -> QlResult<Self>

where G: Fn(Size) -> QlResult<GaussianQuadrature>,

Builds the tensor-product rule over ns.len() dimensions.

Errors

Propagates any error from gen_quad.

pub fn integrate<F: FnMut(&Array) -> Real>(&self, f: F) -> Real

Integrates f over the product of the one-dimensional supports.

pub fn weights(&self) -> &Array

The tensor-product quadrature weights.

pub fn abscissas(&self) -> &[Array]

The tensor-product abscissas (QuantLib’s x()), one point per entry.