Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class FdmHestonHullWhiteSolver

java.lang.Object

org.quantlib.FdmHestonHullWhiteSolver

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

public class FdmHestonHullWhiteSolver
extends Object
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	FdmHestonHullWhiteSolver(long cPtr, boolean cMemoryOwn)
	FdmHestonHullWhiteSolver(HestonProcess hestonProcess, HullWhiteProcess hwProcess, double corrEquityShortRate, FdmSolverDesc solverDesc)
	FdmHestonHullWhiteSolver(HestonProcess hestonProcess, HullWhiteProcess hwProcess, double corrEquityShortRate, FdmSolverDesc solverDesc, FdmSchemeDesc schemeDesc)

Method Summary

Modifier and Type	Method	Description
void	delete()
double	deltaAt(double s, double v, double r, double eps)
protected void	finalize()
double	gammaAt(double s, double v, double r, double eps)
protected static long	getCPtr(FdmHestonHullWhiteSolver obj)
protected void	swigSetCMemOwn(boolean own)
double	thetaAt(double s, double v, double r)
double	valueAt(double s, double v, double r)

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

close

Constructor Detail

FdmHestonHullWhiteSolver

protected FdmHestonHullWhiteSolver(long cPtr,
                                   boolean cMemoryOwn)

FdmHestonHullWhiteSolver

public FdmHestonHullWhiteSolver(HestonProcess hestonProcess,
                                HullWhiteProcess hwProcess,
                                double corrEquityShortRate,
                                FdmSolverDesc solverDesc,
                                FdmSchemeDesc schemeDesc)

FdmHestonHullWhiteSolver

public FdmHestonHullWhiteSolver(HestonProcess hestonProcess,
                                HullWhiteProcess hwProcess,
                                double corrEquityShortRate,
                                FdmSolverDesc solverDesc)

Method Detail

getCPtr

protected static long getCPtr(FdmHestonHullWhiteSolver obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

finalize

protected void finalize()

Overrides:

finalize in class Object

delete

public void delete()

Specified by:

delete in interface org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

valueAt

public double valueAt(double s,
                      double v,
                      double r)

thetaAt

public double thetaAt(double s,
                      double v,
                      double r)

deltaAt

public double deltaAt(double s,
                      double v,
                      double r,
                      double eps)

gammaAt

public double gammaAt(double s,
                      double v,
                      double r,
                      double eps)