com.github.vonrosen.quantlib

Class GeneralizedBlackScholesProcess

java.lang.Object

com.github.vonrosen.quantlib.StochasticProcess

com.github.vonrosen.quantlib.StochasticProcess1D

com.github.vonrosen.quantlib.GeneralizedBlackScholesProcess

Direct Known Subclasses:

BlackProcess, BlackScholesMertonProcess, BlackScholesProcess, GarmanKohlagenProcess

public class GeneralizedBlackScholesProcess
extends StochasticProcess1D

Field Summary

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

swigCMemOwn

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method and Description
BlackVolTermStructureHandle	blackVolatility()
void	delete()
YieldTermStructureHandle	dividendYield()
protected void	finalize()
protected static long	getCPtr(GeneralizedBlackScholesProcess obj)
YieldTermStructureHandle	riskFreeRate()
QuoteHandle	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

GeneralizedBlackScholesProcess

protected GeneralizedBlackScholesProcess(long cPtr,
                                         boolean cMemoryOwn)

GeneralizedBlackScholesProcess

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

Method Detail

getCPtr

protected static long getCPtr(GeneralizedBlackScholesProcess obj)

finalize

protected void finalize()

Overrides:

finalize in class StochasticProcess1D

delete

public void delete()

Overrides:

delete in class StochasticProcess1D

stateVariable

public QuoteHandle stateVariable()

dividendYield

public YieldTermStructureHandle dividendYield()

riskFreeRate

public YieldTermStructureHandle riskFreeRate()

blackVolatility

public BlackVolTermStructureHandle blackVolatility()