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
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