com.github.vonrosen.quantlib

Class GsrProcess

java.lang.Object

com.github.vonrosen.quantlib.StochasticProcess

com.github.vonrosen.quantlib.StochasticProcess1D

com.github.vonrosen.quantlib.GsrProcess

public class GsrProcess
extends StochasticProcess1D

Field Summary

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

swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
	GsrProcess(Array times, Array vols, Array reversions)
	GsrProcess(Array times, Array vols, Array reversions, double T)
protected	GsrProcess(long cPtr, boolean cMemoryOwn)

Method Summary

Modifier and Type	Method and Description
void	delete()
protected void	finalize()
double	G(double t, double T, double x)
protected static long	getCPtr(GsrProcess obj)
double	reversion(double t)
void	setForwardMeasureTime(double t)
double	sigma(double t)
double	y(double t)

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

GsrProcess

protected GsrProcess(long cPtr,
                     boolean cMemoryOwn)

GsrProcess

public GsrProcess(Array times,
                  Array vols,
                  Array reversions,
                  double T)

GsrProcess

public GsrProcess(Array times,
                  Array vols,
                  Array reversions)

Method Detail

getCPtr

protected static long getCPtr(GsrProcess obj)

finalize

protected void finalize()

Overrides:

finalize in class StochasticProcess1D

delete

public void delete()

Overrides:

delete in class StochasticProcess1D

sigma

public double sigma(double t)

reversion

public double reversion(double t)

y

public double y(double t)

G

public double G(double t,
                double T,
                double x)

setForwardMeasureTime

public void setForwardMeasureTime(double t)