Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class HestonProcess

java.lang.Object

org.quantlib.Observable

org.quantlib.StochasticProcess

org.quantlib.HestonProcess

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Direct Known Subclasses:

BatesProcess

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

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	HestonProcess.Discretization

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	HestonProcess(long cPtr, boolean cMemoryOwn)
	HestonProcess(YieldTermStructureHandle riskFreeTS, YieldTermStructureHandle dividendTS, QuoteHandle s0, double v0, double kappa, double theta, double sigma, double rho)
	HestonProcess(YieldTermStructureHandle riskFreeTS, YieldTermStructureHandle dividendTS, QuoteHandle s0, double v0, double kappa, double theta, double sigma, double rho, HestonProcess.Discretization d)

Method Summary

Modifier and Type	Method	Description
void	delete()
YieldTermStructureHandle	dividendYield()
protected void	finalize()
protected static long	getCPtr(HestonProcess 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

HestonProcess

protected HestonProcess(long cPtr,
                        boolean cMemoryOwn)

HestonProcess

public HestonProcess(YieldTermStructureHandle riskFreeTS,
                     YieldTermStructureHandle dividendTS,
                     QuoteHandle s0,
                     double v0,
                     double kappa,
                     double theta,
                     double sigma,
                     double rho,
                     HestonProcess.Discretization d)

HestonProcess

public HestonProcess(YieldTermStructureHandle riskFreeTS,
                     YieldTermStructureHandle dividendTS,
                     QuoteHandle s0,
                     double v0,
                     double kappa,
                     double theta,
                     double sigma,
                     double rho)

Method Detail

getCPtr

protected static long getCPtr(HestonProcess 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()