com.github.vonrosen.quantlib

Class BlackScholesMertonProcess

java.lang.Object

com.github.vonrosen.quantlib.StochasticProcess

com.github.vonrosen.quantlib.StochasticProcess1D

com.github.vonrosen.quantlib.GeneralizedBlackScholesProcess

com.github.vonrosen.quantlib.BlackScholesMertonProcess

public class BlackScholesMertonProcess
extends GeneralizedBlackScholesProcess

Field Summary

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

swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
protected	BlackScholesMertonProcess(long cPtr, boolean cMemoryOwn)
	BlackScholesMertonProcess(QuoteHandle s0, YieldTermStructureHandle dividendTS, YieldTermStructureHandle riskFreeTS, BlackVolTermStructureHandle volTS)

Method Summary

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

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

blackVolatility, dividendYield, getCPtr, riskFreeRate, stateVariable

Methods inherited from class com.github.vonrosen.quantlib.StochasticProcess1D

apply, diffusion, drift, evolve, expectation, getCPtr, stdDeviation, variance, x0

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

BlackScholesMertonProcess

protected BlackScholesMertonProcess(long cPtr,
                                    boolean cMemoryOwn)

BlackScholesMertonProcess

public BlackScholesMertonProcess(QuoteHandle s0,
                                 YieldTermStructureHandle dividendTS,
                                 YieldTermStructureHandle riskFreeTS,
                                 BlackVolTermStructureHandle volTS)

Method Detail

getCPtr

protected static long getCPtr(BlackScholesMertonProcess obj)

finalize

protected void finalize()

Overrides:

finalize in class GeneralizedBlackScholesProcess

delete

public void delete()

Overrides:

delete in class GeneralizedBlackScholesProcess