Last updated: 2023-03-16.

Module: tf_quant_finance.math.integration

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Numerical integration methods.

Classes

class IntegrationMethod: Specifies which algorithm to use for the numeric integration.

Functions

gauss_kronrod(...): Evaluates definite integral using adaptive Gauss-Kronrod quadrature.

gauss_legendre(...): Evaluates definite integral using Gauss-Legendre quadrature.

integrate(...): Evaluates definite integral.

simpson(...): Evaluates definite integral using composite Simpson’s 1/3 rule.