NAME

QuantLib::BatesProcess - Square-root stochastic-volatility Bates process.

SYNOPSIS


#include <ql/processes/batesprocess.hpp>

Inherits QuantLib::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
Disposable< Array > drift (Time t, const Array &x) const
returns the drift part of the equation, i.e., $ mu(t, mathrm{x}_t) $
Disposable< Array > evolve (Time t0, const Array &x0, Time dt, const Array &dw) const

Real lambda () const

Real nu () const

Real delta () const

Detailed Description

Square-root stochastic-volatility Bates process.

This class describes the square root stochastic volatility process incl jumps governed by [ ^J - 1) S dN \ dv(t, S) &=& ppa ( heta - v) dt + igma qrt{v} dW_2 \ dW_1 dW_2 &=& ho dt \ ber 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 $ Delta t $ according to the given discretization. By default, it returns [ E(mathrm{x}_0,t_0,Delta t) + S(mathrm{x}_0,t_0,Delta t) dot Delta mathrm{w} ] where $ E $ is the expectation and $ S $ the standard deviation.

Reimplemented from HestonProcess.

Author

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