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Practical C++ Financial Programming by Carlos Oliveira

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CHAPTER 10

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Numerical Integration

Integrating a function is a common step in many financial algorithms. However, in several of these algorithms you can find equations that have no known analytical solution, and need to be integrated numerically. Even if an equation can be integrated analytically, it may be more efficient to perform this task using numerical algorithms. For this purpose, this chapter explores some of the common ways of performing numerical integration. After reading this chapter you will have a better understanding of how these numerical integration algorithms work in practice and how to use them in your own projects.

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