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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
/*
* (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 final 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(final double lowerBound, final double upperBound, final int numberOfEvaluationPoints) {
super(lowerBound, upperBound);
this.numberOfEvaluationPoints = numberOfEvaluationPoints;
}
@Override
public double integrate(final DoubleUnaryOperator integrand) {
// We use commons-math RombergIntegrator
return new RombergIntegrator().integrate(numberOfEvaluationPoints, new UnivariateFunction() {
@Override
public double value(final double argument) {
return integrand.applyAsDouble(argument);
}
}, getLowerBound(), getUpperBound());
}
}