- QuantLib
- BatesProcess
Square-root stochastic-volatility Bates process. More...
#include <ql/processes/batesprocess.hpp>

Public Member Functions | |
| BatesProcess (const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > ÷ndYield, 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., | |
| Disposable< Array > | evolve (Time t0, const Array &x0, Time dt, const Array &dw) const |
| Real | lambda () const |
| Real | nu () const |
| Real | delta () const |
Square-root stochastic-volatility Bates process.
This class describes the square root stochastic volatility process incl jumps governed by
returns the asset value after a time interval
according to the given discretization. By default, it returns
where
is the expectation and
the standard deviation.
Reimplemented from HestonProcess.