2D Simpson's Integrator
Fast, fully vectorised version of the Simpson's method for 2D domains. This code avoids the use of any for loops etc. For a given level of accuracy it can be an order of magnitude or more faster than dblquad.
Examples are provided within the code.
Useage:
ans = simp2D('func',xs,xe,ys,ye,NX,NY)
Input parameters:
func - 2D function that accepts vector inputs (otherwise
incorrect results can occur)
xs, xe - x-limits of integration
ys, ye - y-limits of integration
NX - number of integration intervals in the x-direction (should be even)
NY - number of integration intervals in the y-direction (should be even)
Cite As
Whayne Padden (2024). 2D Simpson's Integrator (https://www.mathworks.com/matlabcentral/fileexchange/23204-2d-simpson-s-integrator), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Platform Compatibility
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Acknowledgements
Inspired by: 3D Simpson's Integrator
Inspired: 3D Simpson's Integrator, CMS Spread Caps Stochastic Local Volatility Libor Market Model
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Version | Published | Release Notes | |
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1.0.0.0 |