Square-root stochastic-volatility Bates process. More...

#include <ql/processes/batesprocess.hpp>

Inheritance diagram for BatesProcess:

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

Public Member Functions inherited from HestonProcess
	HestonProcess (const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > &dividendYield, const Handle< Quote > &s0, Real v0, Real kappa, Real theta, Real sigma, Real rho, Discretization d=QuadraticExponentialMartingale)

Size	size () const
	returns the number of dimensions of the stochastic process

Disposable< Array >	initialValues () const
	returns the initial values of the state variables

Disposable< Array >	drift (Time t, const Array &x) const
	returns the drift part of the equation, i.e., $\mu(t, \mathrm{x}_t)$

Disposable< Matrix >	diffusion (Time t, const Array &x) const
	returns the diffusion part of the equation, i.e. $\sigma(t, \mathrm{x}_t)$

Disposable< Array >	apply (const Array &x0, const Array &dx) const

Disposable< Array >	evolve (Time t0, const Array &x0, Time dt, const Array &dw) const

Real	v0 () const

Real	rho () const

Real	kappa () const

Real	theta () const

Real	sigma () const

const Handle< Quote > &	s0 () const

const Handle < YieldTermStructure > &	dividendYield () const

const Handle < YieldTermStructure > &	riskFreeRate () const

Time	time (const Date &) const

Public Member Functions inherited from StochasticProcess
virtual Disposable< Array >	expectation (Time t0, const Array &x0, Time dt) const

virtual Disposable< Matrix >	stdDeviation (Time t0, const Array &x0, Time dt) const

virtual Disposable< Matrix >	covariance (Time t0, const Array &x0, Time dt) const

void	update ()

Public Member Functions inherited from Observer
	Observer (const Observer &)

Observer &	operator= (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 &)

Observable &	operator= (const Observable &)

void	notifyObservers ()

Additional Inherited Members
Public Types inherited from HestonProcess
enum	Discretization { PartialTruncation, FullTruncation, Reflection, NonCentralChiSquareVariance, QuadraticExponential, QuadraticExponentialMartingale }

Protected Member Functions inherited from StochasticProcess
	StochasticProcess (const boost::shared_ptr< discretization > &)

Protected Attributes inherited from StochasticProcess
boost::shared_ptr< discretization >	discretization_

Detailed Description

Square-root stochastic-volatility Bates process.

This class describes the square root stochastic volatility process incl jumps governed by

$\begin{array}{rcl} dS(t, S) &=& (r-d-\lambda m) S dt +\sqrt{v} S dW_1 + (e^J - 1) S dN \\ dv(t, S) &=& \kappa (\theta - v) dt + \sigma \sqrt{v} dW_2 \\ dW_1 dW_2 &=& \rho dt \\ \omega(J) &=& \frac{1}{\sqrt{2\pi \delta^2}} \exp\left[-\frac{(J-\nu)^2}{2\delta^2}\right] \end{array}$