BatesModel Class Reference

Bates stochastic-volatility model. More...

#include <ql/models/equity/batesmodel.hpp>

Inheritance diagram for BatesModel:

Public Member Functions

 BatesModel (const boost::shared_ptr< BatesProcess > &process)
 
Real nu () const
 
Real delta () const
 
Real lambda () const
 
- Public Member Functions inherited from HestonModel
 HestonModel (const boost::shared_ptr< HestonProcess > &process)
 
Real theta () const
 
Real kappa () const
 
Real sigma () const
 
Real rho () const
 
Real v0 () const
 
boost::shared_ptr< HestonProcessprocess () const
 
- Public Member Functions inherited from CalibratedModel
 CalibratedModel (Size nArguments)
 
void update ()
 
void calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())
 Calibrate to a set of market instruments (caps/swaptions)
 
Real value (const Array &params, const std::vector< boost::shared_ptr< CalibrationHelper > > &)
 
const boost::shared_ptr
< Constraint > & 
constraint () const
 
EndCriteria::Type endCriteria ()
 returns end criteria result
 
Disposable< Arrayparams () const
 Returns array of arguments on which calibration is done.
 
virtual void setParams (const Array &params)
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Protected Member Functions

void generateArguments ()
 
- Protected Member Functions inherited from HestonModel
void generateArguments ()
 

Additional Inherited Members

- Protected Attributes inherited from HestonModel
boost::shared_ptr< HestonProcessprocess_
 

Detailed Description

Bates stochastic-volatility model.

extended versions of Heston model for the stochastic volatility of an asset including jumps.

References: A. Sepp, Pricing European-Style Options under Jump Diffusion Processes with Stochastic Volatility: Applications of Fourier Transform (http://math.ut.ee/~spartak/papers/stochjumpvols.pdf)

Tests:
calibration is tested against known values.
Examples:
EquityOption.cpp.