com.github.vonrosen.quantlib

Class BatesProcess

java.lang.Object

com.github.vonrosen.quantlib.StochasticProcess

com.github.vonrosen.quantlib.HestonProcess

com.github.vonrosen.quantlib.BatesProcess

public class BatesProcess
extends HestonProcess

Field Summary

Fields inherited from class com.github.vonrosen.quantlib.StochasticProcess

swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
protected	BatesProcess(long cPtr, boolean cMemoryOwn)
	BatesProcess(YieldTermStructureHandle riskFreeRate, YieldTermStructureHandle dividendYield, QuoteHandle s0, double v0, double kappa, double theta, double sigma, double rho, double lambda, double nu, double delta)

Method Summary

Modifier and Type	Method and Description
void	delete()
protected void	finalize()
protected static long	getCPtr(BatesProcess obj)

Methods inherited from class com.github.vonrosen.quantlib.HestonProcess

dividendYield, getCPtr, riskFreeRate, s0

Methods inherited from class com.github.vonrosen.quantlib.StochasticProcess

__deref__, asObservable, covariance, diffusion, drift, evolve, expectation, factors, getCPtr, initialValues, isNull, size, stdDeviation

Methods inherited from class java.lang.Object

clone, equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

BatesProcess

protected BatesProcess(long cPtr,
                       boolean cMemoryOwn)

BatesProcess

public BatesProcess(YieldTermStructureHandle riskFreeRate,
                    YieldTermStructureHandle dividendYield,
                    QuoteHandle s0,
                    double v0,
                    double kappa,
                    double theta,
                    double sigma,
                    double rho,
                    double lambda,
                    double nu,
                    double delta)

Method Detail

getCPtr

protected static long getCPtr(BatesProcess obj)

finalize

protected void finalize()

Overrides:

finalize in class HestonProcess

delete

public void delete()

Overrides:

delete in class HestonProcess