- 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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- All Implemented Interfaces:
AutoCloseable,org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable
- Direct Known Subclasses:
ExtendedOrnsteinUhlenbeckProcess,GeneralizedBlackScholesProcess,GeometricBrownianMotionProcess,GsrProcess,HullWhiteForwardProcess,HullWhiteProcess,Merton76Process,OrnsteinUhlenbeckProcess,VarianceGammaProcess
public class StochasticProcess1D extends StochasticProcess implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable
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Constructor Summary
Constructors Modifier Constructor Description protectedStochasticProcess1D(long cPtr, boolean cMemoryOwn)
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Method Summary
All Methods Static Methods Instance Methods Concrete Methods Modifier and Type Method Description doubleapply(double x0, double dx)voiddelete()doublediffusion(double t, double x)doubledrift(double t, double x)doubleevolve(double t0, double x0, double dt, double dw)doubleexpectation(double t0, double x0, double dt)protected voidfinalize()protected static longgetCPtr(StochasticProcess1D obj)doublestdDeviation(double t0, double x0, double dt)protected voidswigSetCMemOwn(boolean own)doublevariance(double t0, double x0, double dt)doublex0()-
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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StochasticProcess1D
protected StochasticProcess1D(long cPtr, boolean cMemoryOwn)
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Method Detail
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getCPtr
protected static long getCPtr(StochasticProcess1D obj)
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swigSetCMemOwn
protected void swigSetCMemOwn(boolean own)
- Overrides:
swigSetCMemOwnin classStochasticProcess
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finalize
protected void finalize()
- Overrides:
finalizein classStochasticProcess
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delete
public void delete()
- Specified by:
deletein interfaceorg.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable- Overrides:
deletein classStochasticProcess
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x0
public double x0()
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drift
public double drift(double t, double x)
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diffusion
public double diffusion(double t, double x)
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expectation
public double expectation(double t0, double x0, double dt)
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stdDeviation
public double stdDeviation(double t0, double x0, double dt)
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variance
public double variance(double t0, double x0, double dt)
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evolve
public double evolve(double t0, double x0, double dt, double dw)
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apply
public double apply(double x0, double dx)
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