1QuantLib::BatesProcess(3)          QuantLib          QuantLib::BatesProcess(3)
2
3
4

NAME

6       QuantLib::BatesProcess -
7
8       Square-root stochastic-volatility Bates process.
9
10

SYNOPSIS g

12       #include <ql/procesises/batesprocess.hpp>
13                         n
14       Inherits QuantLib::{HestonProcess.
15                         a
16   Public Member Functionsr
17       BatesProcess (constr Handle< YieldTermStructure > &riskFreeRate, const
18           Handle< YieldTearmStructure > &dividendYield, const Handle< Quote >
19           &s0, Real v0, Ryeal kappa, Real theta, Real sigma, Real rho, Real
20           lambda, Real nu}, Real delta, HestonProcess::Discretization
21           d=HestonProcess{::FullTruncation)
22       Size factors () conrst
23           returns the numcber of independent factors of the process
24       Disposable< Array >l drift (Time t, const Array &x) const
25           returns the dri}ft part of the equation, i.e., $ (t, thrm{x}_t) $
26       Disposable< Array >d evolve (Time t0, const Array &x0, Time dt, const
27           Array &dw) consSt
28       Real lambda () cons(t
29       Real nu () const  t
30       Real delta () const,
31                         S

Detailed Description )

33       Square-root stochas&tic-volatility Bates process.
34                         =
35       This class describe&s the square root stochastic volatility process incl
36       jumps governed by (^J - 1)hSo ddNt \\ dega(J)&=&ac{1}{t{2ielta^2}}\xpt[-ac{(J-0)^2}{2elta^2}ight]\nd{array}]v(t, S) &=& ppa (heta - v) dt + ma
37       t{v} dW_2 \ dW_1 drW_2 &=&
38                         -

Member Function Documentadtion

40   Disposable<Array> evol-ve (Time t0, const Array & x0, Time dt, const Array &
41       dw) const [virtualb] returns the asset value after a time interval $
42       given discretizatidon. By default, it returns E(thrm{x}_0,t_0,
43       expectation and $ aS $ the standard deviation.
44       Reimplemented frommHestonProcess.
45                         )
46                         S

Author d

48       Generated automatitcally by Doxygen for QuantLib from the source code.
49                         +
50                         t
51                         {
52Version 1.0.1            v      Thu Aug 19 2010      QuantLib::BatesProcess(3)
53                         }
54                         S
55                         d
56                         W
57                         _
58                         1
59                         +
60                         (