There are actually several ways.
One is to drawn the gradient in a simple rectangle, then to chop off the shape you need with a mask.
Another is to draw it in SVG, to load this file and to display it.
The first solution is more flexible...

Thanks for the reply.

Yeah, like you just said, I need flexibility. The shape will have to be flexible horizontally. My goal is to make a sliders for a GUI. It needs to be kinda clean so I'll sure need a smooth on my sketch. If I do the first solution, I won't be able to smooth the rounded corners.

Have any other idea? Maybe in jogl?

PImage img = createImage(100, 100, ARGB);

Thanks Makio135, but it's impossible to get smooth borders this way.
This is pretty much the #1 solution from PhiLho's post,

thank again for helping me out :)
any other solution for this tricky post ?

Proof-of-concept of another route...

I think this type of code would work quite well in a GLSL shader.

Code Example

1. color bgColor = color(0);
2. 
   
3. void setup() {
4.   size(500, 500);
5. }
6.  
7. void draw() {
8.   background(bgColor);
9.   loadPixels();
10.   for (int y=0; y<height; y++) {
11.     for (int x=0; x<width; x++) {
12.       float in = inSquircle(x, y, width/2, height/2, width/2-20);
13.       color c = color((x/2) % 255, (y/2) % 255, 255-(y/2) % 255);
14.       if (in<1) pixels[x+y*width] = lerpColor(c, bgColor, (in<0.95)?0:map(in,0.95,1,0,1));
15.     }
16.   }
17.   updatePixels();
18. }
19.  
20. float inSquircle(int x, int y, int cx, int cy, float r) {
21.   return (pow(x-cx, 4) + pow(y-cy, 4)) / pow(r, 4);
22. }

Thanks a lot, thats exactly it :)
You guys are RAD!

-- Edit

Here's the piece of code i needed to do :

1. PImage img;
2. PGraphics pg;
3. color c1;
4. color c2;
5. void setup() {
6.   size(500, 200);
7.   c1 = color(108, 122, 139);
8.   c2 = color(68, 82, 99);
9. }
10. void draw() { 
11.  
12.   background(171, 208, 57);
13.   if (mouseX != 0) {
14.     img = generateGradient(c1, c2, mouseX, 100);
15.     pg = createGraphics(mouseX, 100, JAVA2D);
16.     //create your mask in a PGraphics
17.     pg.beginDraw();
18.     pg.background(0);
19.     pg.smooth();
20.     pg.noStroke();
21.     pg.fill(255);
22.     pg.rect(0, 0, pg.width, pg.height, 5); //unreferenced rounded rect; use 30, 30 in 1.5.1
23.     pg.endDraw();
24.     img.mask(pg); // apply your mask
25.    
26.     image(img, 50, 50);
27.   }
28.   
29. }
30. // Generate a vertical gradient image
31. PImage generateGradient(color top, color bottom, int w, int h) {
32.   int tR = (top >> 16) & 0xFF;
33.   int tG = (top >> 8) & 0xFF;
34.   int tB = top & 0xFF;
35.   int bR = (bottom >> 16) & 0xFF;
36.   int bG = (bottom >> 8) & 0xFF;
37.   int bB = bottom & 0xFF;
38.   PImage bg = createImage(w, h, RGB);
39.   bg.loadPixels();
40.   for (int i=0; i < bg.pixels.length; i++) {
41.     int y = i/bg.width;
42.     float n = y/(float)bg.height;
43.     // for a horizontal gradient:
44.     // float n = x/(float)bg.width;
45.     bg.pixels[i] = color(
46.     lerp(tR, bR, n),
47.     lerp(tG, bG, n),
48.     lerp(tB, bB, n),
49.     255);
50.   }
51.   bg.updatePixels();
52.   return bg;
53. }