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finmath lib is a Mathematical Finance Library in Java. It provides algorithms and methodologies related to mathematical finance.

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/*
 * (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
 *
 * Created on 23.03.2014
 */

package net.finmath.integration;

import java.util.function.DoubleUnaryOperator;

import org.apache.commons.math3.analysis.UnivariateFunction;
import org.apache.commons.math3.analysis.integration.RombergIntegrator;

/**
 * Implements a Romberg integrator.
 *
 * The class is actually a wrapper to the Romberg integrator in commons-math.
 *
 * @author Christian Fries
 * @version 1.0
 */
public class RombergRealIntegration extends AbstractRealIntegral {

	private int numberOfEvaluationPoints;

	/**
	 * Create a Romberg integrator.
	 *
	 * @param lowerBound Lower bound of the integral.
	 * @param upperBound Upper bound of the integral.
	 * @param numberOfEvaluationPoints Maximum number of evaluation points to be used.
	 */
	public RombergRealIntegration(double lowerBound, double upperBound, int numberOfEvaluationPoints) {
		super(lowerBound, upperBound);
		this.numberOfEvaluationPoints = numberOfEvaluationPoints;
	}

	/* (non-Javadoc)
	 * @see net.finmath.integration.AbstractRealIntegral#integrate(java.util.function.DoubleUnaryOperator)
	 */
	@Override
	public double integrate(DoubleUnaryOperator integrand) {

		// We use commons-math RombergIntegrator
		return new RombergIntegrator().integrate(numberOfEvaluationPoints, new UnivariateFunction() {
			@Override
			public double value(double argument) {
				return integrand.applyAsDouble(argument);
			}
		}, getLowerBound(), getUpperBound());
	}

}