com.github.vonrosen.quantlib

Class StochasticProcess

java.lang.Object

com.github.vonrosen.quantlib.StochasticProcess

Direct Known Subclasses:

HestonProcess, StochasticProcess1D, StochasticProcessArray

public class StochasticProcess
extends Object

Field Summary

Fields

Modifier and Type	Field and Description
protected boolean	swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
	StochasticProcess()
protected	StochasticProcess(long cPtr, boolean cMemoryOwn)

Method Summary

Modifier and Type	Method and Description
SWIGTYPE_p_StochasticProcess	__deref__()
Observable	asObservable()
Matrix	covariance(double t0, Array x0, double dt)
void	delete()
Matrix	diffusion(double t, Array x)
Array	drift(double t, Array x)
Array	evolve(double t0, Array x0, double dt, Array dw)
Array	expectation(double t0, Array x0, double dt)
long	factors()
protected void	finalize()
protected static long	getCPtr(StochasticProcess obj)
Array	initialValues()
boolean	isNull()
long	size()
Matrix	stdDeviation(double t0, Array x0, double dt)

Methods inherited from class java.lang.Object

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

Field Detail

swigCMemOwn

protected transient boolean swigCMemOwn

Constructor Detail

StochasticProcess

protected StochasticProcess(long cPtr,
                            boolean cMemoryOwn)

StochasticProcess

public StochasticProcess()

Method Detail

getCPtr

protected static long getCPtr(StochasticProcess obj)

finalize

protected void finalize()

Overrides:

finalize in class Object

delete

public void delete()

__deref__

public SWIGTYPE_p_StochasticProcess __deref__()

isNull

public boolean isNull()

asObservable

public Observable asObservable()

size

public long size()

factors

public long factors()

initialValues

public Array initialValues()

drift

public Array drift(double t,
                   Array x)

diffusion

public Matrix diffusion(double t,
                        Array x)

expectation

public Array expectation(double t0,
                         Array x0,
                         double dt)

stdDeviation

public Matrix stdDeviation(double t0,
                           Array x0,
                           double dt)

covariance

public Matrix covariance(double t0,
                         Array x0,
                         double dt)

evolve

public Array evolve(double t0,
                    Array x0,
                    double dt,
                    Array dw)