Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class GJRGARCHProcess

java.lang.Object

org.quantlib.Observable

org.quantlib.StochasticProcess

org.quantlib.GJRGARCHProcess

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

public class GJRGARCHProcess
extends StochasticProcess
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	GJRGARCHProcess.Discretization

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	GJRGARCHProcess(long cPtr, boolean cMemoryOwn)
	GJRGARCHProcess(YieldTermStructureHandle riskFreeRate, YieldTermStructureHandle dividendYield, QuoteHandle s0, double v0, double omega, double alpha, double beta, double gamma, double lambda)
	GJRGARCHProcess(YieldTermStructureHandle riskFreeRate, YieldTermStructureHandle dividendYield, QuoteHandle s0, double v0, double omega, double alpha, double beta, double gamma, double lambda, double daysPerYear)
	GJRGARCHProcess(YieldTermStructureHandle riskFreeRate, YieldTermStructureHandle dividendYield, QuoteHandle s0, double v0, double omega, double alpha, double beta, double gamma, double lambda, double daysPerYear, GJRGARCHProcess.Discretization d)

Method Summary

Modifier and Type	Method	Description
void	delete()
YieldTermStructureHandle	dividendYield()
protected void	finalize()
protected static long	getCPtr(GJRGARCHProcess obj)
YieldTermStructureHandle	riskFreeRate()
QuoteHandle	s0()
protected void	swigSetCMemOwn(boolean own)

Methods inherited from class org.quantlib.StochasticProcess

covariance, diffusion, drift, evolve, expectation, factors, getCPtr, initialValues, size, stdDeviation

Methods inherited from class org.quantlib.Observable

getCPtr

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

GJRGARCHProcess

protected GJRGARCHProcess(long cPtr,
                          boolean cMemoryOwn)

GJRGARCHProcess

public GJRGARCHProcess(YieldTermStructureHandle riskFreeRate,
                       YieldTermStructureHandle dividendYield,
                       QuoteHandle s0,
                       double v0,
                       double omega,
                       double alpha,
                       double beta,
                       double gamma,
                       double lambda,
                       double daysPerYear,
                       GJRGARCHProcess.Discretization d)

GJRGARCHProcess

public GJRGARCHProcess(YieldTermStructureHandle riskFreeRate,
                       YieldTermStructureHandle dividendYield,
                       QuoteHandle s0,
                       double v0,
                       double omega,
                       double alpha,
                       double beta,
                       double gamma,
                       double lambda,
                       double daysPerYear)

GJRGARCHProcess

public GJRGARCHProcess(YieldTermStructureHandle riskFreeRate,
                       YieldTermStructureHandle dividendYield,
                       QuoteHandle s0,
                       double v0,
                       double omega,
                       double alpha,
                       double beta,
                       double gamma,
                       double lambda)

Method Detail

getCPtr

protected static long getCPtr(GJRGARCHProcess obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

Overrides:

swigSetCMemOwn in class StochasticProcess

finalize

protected void finalize()

Overrides:

finalize in class StochasticProcess

delete

public void delete()

Specified by:

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

Overrides:

delete in class StochasticProcess

s0

public QuoteHandle s0()

dividendYield

public YieldTermStructureHandle dividendYield()

riskFreeRate

public YieldTermStructureHandle riskFreeRate()