- java.lang.Object
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- org.quantlib.Observable
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- org.quantlib.StochasticProcess
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- org.quantlib.StochasticProcess1D
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- org.quantlib.GsrProcess
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- All Implemented Interfaces:
AutoCloseable,org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable
public class GsrProcess extends StochasticProcess1D implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable
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Constructor Summary
Constructors Modifier Constructor Description protectedGsrProcess(long cPtr, boolean cMemoryOwn)GsrProcess(Array times, Array vols, Array reversions)GsrProcess(Array times, Array vols, Array reversions, double T)
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Method Summary
All Methods Static Methods Instance Methods Concrete Methods Modifier and Type Method Description voiddelete()protected voidfinalize()doubleG(double t, double T, double x)protected static longgetCPtr(GsrProcess obj)doublereversion(double t)voidsetForwardMeasureTime(double t)doublesigma(double t)protected voidswigSetCMemOwn(boolean own)doubley(double t)-
Methods inherited from class org.quantlib.StochasticProcess1D
apply, diffusion, drift, evolve, expectation, getCPtr, stdDeviation, variance, x0
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Methods inherited from class org.quantlib.StochasticProcess
covariance, diffusion, drift, evolve, expectation, factors, getCPtr, initialValues, size, stdDeviation
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Methods inherited from class org.quantlib.Observable
getCPtr
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Constructor Detail
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GsrProcess
protected GsrProcess(long cPtr, boolean cMemoryOwn)
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GsrProcess
public GsrProcess(Array times, Array vols, Array reversions, double T)
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GsrProcess
public GsrProcess(Array times, Array vols, Array reversions)
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Method Detail
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getCPtr
protected static long getCPtr(GsrProcess obj)
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swigSetCMemOwn
protected void swigSetCMemOwn(boolean own)
- Overrides:
swigSetCMemOwnin classStochasticProcess1D
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finalize
protected void finalize()
- Overrides:
finalizein classStochasticProcess1D
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delete
public void delete()
- Specified by:
deletein interfaceorg.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable- Overrides:
deletein classStochasticProcess1D
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sigma
public double sigma(double t)
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reversion
public double reversion(double t)
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y
public double y(double t)
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G
public double G(double t, double T, double x)
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setForwardMeasureTime
public void setForwardMeasureTime(double t)
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