QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Types | Public Member Functions | List of all members
GaussNonCentralChiSquaredPolynomial Class Reference

Gauss polynomial for the non central chi squared distribution. More...

#include <ql/experimental/math/gaussiannoncentralchisquaredpolynomial.hpp>

+ Inheritance diagram for GaussNonCentralChiSquaredPolynomial:

Public Types

typedef Real mp_float
 

Public Member Functions

 GaussNonCentralChiSquaredPolynomial (Real nu, Real lambda)
 
Real mu_0 () const
 
Real alpha (Size i) const
 
Real beta (Size i) const
 
Real w (Real x) const
 
- Public Member Functions inherited from GaussianOrthogonalPolynomial
Real value (Size i, Real x) const
 
Real weightedValue (Size i, Real x) const
 

Detailed Description

Gauss polynomial for the non central chi squared distribution.

References: Gauss quadratures and orthogonal polynomials

G.H. Gloub and J.H. Welsch: Calculation of Gauss quadrature rule. Math. Comput. 23 (1986), 221-230, http://web.stanford.edu/class/cme335/spr11/S0025-5718-69-99647-1.pdf

M. Morandi Cecchi and M. Redivo Zaglia, Computing the coefficients of a recurrence formula for numerical integration by moments and modified moments. http://ac.els-cdn.com/0377042793901522/1-s2.0-0377042793901522-main.pdf?_tid=643d5dca-a05d-11e6-9a56-00000aab0f27&acdnat=1478023545_cf7c87cba4cc9e37a136e68a2564d411