BatesModel Class Reference

Bates stochastic-volatility model. More...

#include <batesmodel.hpp>

Inheritance diagram for BatesModel:

Collaboration diagram for BatesModel:

Public Member Functions
	BatesModel (const ext::shared_ptr< BatesProcess > &process)
Real	nu () const
Real	delta () const
Real	lambda () const
Public Member Functions inherited from HestonModel
	HestonModel (const ext::shared_ptr< HestonProcess > &process)
Real	theta () const
Real	kappa () const
Real	sigma () const
Real	rho () const
Real	v0 () const
ext::shared_ptr< HestonProcess >	process () const
Public Member Functions inherited from CalibratedModel
	CalibratedModel (Size nArguments)
void	update () override
virtual void	calibrate (const std::vector< ext::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >())
	Calibrate to a set of market instruments (usually caps/swaptions) More...
Real	value (const Array &params, const std::vector< ext::shared_ptr< CalibrationHelper > > &)
const ext::shared_ptr< Constraint > &	constraint () const
EndCriteria::Type	endCriteria () const
	Returns end criteria result. More...
const Array &	problemValues () const
	Returns the problem values. More...
Array	params () const
	Returns array of arguments on which calibration is done. More...
virtual void	setParams (const Array &params)
Integer	functionEvaluation () const
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()

Protected Member Functions
void	generateArguments () override
Protected Member Functions inherited from HestonModel
void	generateArguments () override
virtual void	generateArguments ()

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from HestonModel
ext::shared_ptr< HestonProcess >	process_
Protected Attributes inherited from CalibratedModel
std::vector< Parameter >	arguments_
ext::shared_ptr< Constraint >	constraint_
EndCriteria::Type	shortRateEndCriteria_ = EndCriteria::None
Array	problemValues_
Integer	functionEvaluation_

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.

Definition at line 43 of file batesmodel.hpp.

Constructor & Destructor Documentation

BatesModel()

BatesModel ( const ext::shared_ptr< BatesProcess > &  process )

explicit

Definition at line 25 of file batesmodel.cpp.

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Member Function Documentation

nu()

Real nu

(

)

const

Definition at line 47 of file batesmodel.hpp.

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delta()

Real delta

(

)

const

Definition at line 48 of file batesmodel.hpp.

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lambda()

Real lambda

(

)

const

Definition at line 49 of file batesmodel.hpp.

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generateArguments()

void generateArguments ( )

overrideprotectedvirtual

Reimplemented from CalibratedModel.

Definition at line 39 of file batesmodel.cpp.

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