com.github.vonrosen.quantlib

Class StochasticProcess1D

java.lang.Object

com.github.vonrosen.quantlib.StochasticProcess

com.github.vonrosen.quantlib.StochasticProcess1D

Direct Known Subclasses:

GeneralizedBlackScholesProcess, GeometricBrownianMotionProcess, GsrProcess, HullWhiteProcess, Merton76Process, VarianceGammaProcess

public class StochasticProcess1D
extends StochasticProcess

Field Summary

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

swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
protected	StochasticProcess1D(long cPtr, boolean cMemoryOwn)

Method Summary

Modifier and Type	Method and Description
double	apply(double x0, double dx)
void	delete()
double	diffusion(double t, double x)
double	drift(double t, double x)
double	evolve(double t0, double x0, double dt, double dw)
double	expectation(double t0, double x0, double dt)
protected void	finalize()
protected static long	getCPtr(StochasticProcess1D obj)
double	stdDeviation(double t0, double x0, double dt)
double	variance(double t0, double x0, double dt)
double	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

StochasticProcess1D

protected StochasticProcess1D(long cPtr,
                              boolean cMemoryOwn)

Method Detail

getCPtr

protected static long getCPtr(StochasticProcess1D obj)

finalize

protected void finalize()

Overrides:

finalize in class StochasticProcess

delete

public void delete()

Overrides:

delete in class StochasticProcess

x0

public double x0()

drift

public double drift(double t,
                    double x)

diffusion

public double diffusion(double t,
                        double x)

expectation

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

stdDeviation

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

variance

public double variance(double t0,
                       double x0,
                       double dt)

evolve

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

apply

public double apply(double x0,
                    double dx)