Convert quadl function in Matlab to C++

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Jon
Jon 2012-3-13
Hi there.
As a part of my calculations in Matlab I am solving an integral with the quadl function and need to implement this in C++. How can I handle the quadl function in C++? Any help would be appreciated!
value=quadl(@function,epsilon,time(i),[],[],r,mu,kappa,rho,sigmac,sigmax,chi,xi);

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