You can take a look of

numerical integration with SAS/IML call quad routine
with the following link,

http://www.pinggu.org/bbs/thread-692735-1-1.html

看来还是要用IML

2# bobguy

It depends how big is your problem and how accuracy you expect. You can wrote your only integration yourself.  One dimensional is really simple.

You can easily do it without IML  if you know
1. MC method
2. the definition of definite integral

Matlab...........