com.github.vonrosen.quantlib

Class HestonProcess

java.lang.Object

com.github.vonrosen.quantlib.StochasticProcess

com.github.vonrosen.quantlib.HestonProcess

Direct Known Subclasses:

BatesProcess

public class HestonProcess
extends StochasticProcess

Field Summary

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

swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
protected	HestonProcess(long cPtr, boolean cMemoryOwn)
	HestonProcess(YieldTermStructureHandle riskFreeTS, YieldTermStructureHandle dividendTS, QuoteHandle s0, double v0, double kappa, double theta, double sigma, double rho)

Method Summary

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

HestonProcess

protected HestonProcess(long cPtr,
                        boolean cMemoryOwn)

HestonProcess

public HestonProcess(YieldTermStructureHandle riskFreeTS,
                     YieldTermStructureHandle dividendTS,
                     QuoteHandle s0,
                     double v0,
                     double kappa,
                     double theta,
                     double sigma,
                     double rho)

Method Detail

getCPtr

protected static long getCPtr(HestonProcess obj)

finalize

protected void finalize()

Overrides:

finalize in class StochasticProcess

delete

public void delete()

Overrides:

delete in class StochasticProcess

s0

public QuoteHandle s0()

dividendYield

public YieldTermStructureHandle dividendYield()

riskFreeRate

public YieldTermStructureHandle riskFreeRate()