GaussLobatto

Subtype of Method

Corresponds to the QuantLib GaussLobattoIntegral integration algorithm.
For an adaptive integration algorithm, Gatheral's version must be used for the complex logarithm.
Be aware: Using a too large number for Max Evals might result in a stack overflow as the these integrations are based on recursive algorithms.
This algorithm is a C++ implementation of the algorithm outlined in W. Gander and W. Gautschi, Adaptive Quadrature - Revisited. BIT, 40(1):84-101, March 2000. CS technical report: ftp.inf.ethz.ch/pub/publications/tech-reports/3xx/306.ps.gz
The original MATLAB version can be downloaded at http://www.inf.ethz.ch/personal/gander/adaptlob.m