com.github.vonrosen.quantlib

Class VarianceGammaProcess

java.lang.Object

com.github.vonrosen.quantlib.StochasticProcess

com.github.vonrosen.quantlib.StochasticProcess1D

com.github.vonrosen.quantlib.VarianceGammaProcess

public class VarianceGammaProcess
extends StochasticProcess1D

Field Summary

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

swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
protected	VarianceGammaProcess(long cPtr, boolean cMemoryOwn)
	VarianceGammaProcess(QuoteHandle s0, YieldTermStructureHandle dividendYield, YieldTermStructureHandle riskFreeRate, double sigma, double nu, double theta)

Method Summary

Modifier and Type	Method and Description
void	delete()
protected void	finalize()
protected static long	getCPtr(VarianceGammaProcess obj)

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

VarianceGammaProcess

protected VarianceGammaProcess(long cPtr,
                               boolean cMemoryOwn)

VarianceGammaProcess

public VarianceGammaProcess(QuoteHandle s0,
                            YieldTermStructureHandle dividendYield,
                            YieldTermStructureHandle riskFreeRate,
                            double sigma,
                            double nu,
                            double theta)

Method Detail

getCPtr

protected static long getCPtr(VarianceGammaProcess obj)

finalize

protected void finalize()

Overrides:

finalize in class StochasticProcess1D

delete

public void delete()

Overrides:

delete in class StochasticProcess1D