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BatesProcess − Square-root stochastic-volatility Bates process.


#include <ql/processes/batesprocess.hpp>

Inherits HestonProcess.

Public Member Functions

BatesProcess (const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > &dividendYield, const Handle< Quote > &s0, Real v0, Real kappa, Real theta, Real sigma, Real rho, Real lambda, Real nu, Real delta, HestonProcess::Discretization d=HestonProcess::FullTruncation)
Size factors
() const
returns the number of independent factors of the process
< Array > drift (Time t, const Array &x) const
returns the drift part of the equation, i.e., $ (t, thrm{x}_t) $
< Array > evolve (Time t0, const Array &x0, Time dt, const Array &dw) const
Real lambda
() const
Real nu
() const
Real delta
() const

Additional Inherited Members

Detailed Description

Square-root stochastic-volatility Bates process.

This class describes the square root stochastic volatility process incl g i n { a r r a y } { r c l } d S ( t , S ) & = & jumps governed by (^J - 1) S dN \ dv(t, S) &=& ppa (heta - v) dt + ma r - d - b d a m ) S d t + t { v } S d W _ 1 + ( ho dt \ ] t{v} dW_2 \ dW_1 dW_2 &=&



Member Function Documentation

Disposable<Array> evolve (Time t0, const Array & x0, Time dt, const Array & dw) const [virtual]
returns the asset value after a time interval $ given discretization. By default, it returns E(thrm{x}_0,t_0, expectation and $ S $ the standard deviation.

Reimplemented from StochasticProcess.


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