public virtual Matrix integratedCovariance(double t, Vector x = null)
{
// this implementation is not intended for production.
// because it is too slow and too inefficient.
// This method is useful for testing and R&D.
// Please overload the method within derived classes.
Utils.QL_REQUIRE(x == null, () => "can not handle given x here");
Matrix tmp = new Matrix(size_, size_, 0.0);
for (int i = 0; i < size_; ++i)
{
for (int j = 0; j <= i; ++j)
{
Var_Helper helper = new Var_Helper(this, i, j);
GaussKronrodAdaptive integrator = new GaussKronrodAdaptive(1e-10, 10000);
for (int k = 0; k < 64; ++k)
{
tmp[i, j] += integrator.value(helper.value, k * t / 64.0, (k + 1) * t / 64.0);
}
tmp[j, i] = tmp[i, j];
}
}
return(tmp);
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(GaussKronrodAdaptive obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(GaussKronrodAdaptive obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}