20#include <ql/processes/batesprocess.hpp>
21#include <ql/math/distributions/normaldistribution.hpp>
22#include <ql/math/distributions/poissondistribution.hpp>
35 s0, v0, kappa, theta, sigma, rho, d),
36 lambda_(lambda), delta_(delta), nu_(nu),
37 m_(
std::exp(nu+0.5*delta*delta)-1) {
1-D array used in linear algebra.
Array drift(Time t, const Array &x) const override
returns the drift part of the equation, i.e.,
Array evolve(Time t0, const Array &x0, Time dt, const Array &dw) const override
Size factors() const override
returns the number of independent factors of the process
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)
const CumulativeNormalDistribution cumNormalDist_
Shared handle to an observable.
Square-root stochastic-volatility Heston process.
Array drift(Time t, const Array &x) const override
returns the drift part of the equation, i.e.,
Array evolve(Time t0, const Array &x0, Time dt, const Array &dw) const override
Size factors() const override
returns the number of independent factors of the process
Inverse cumulative Poisson distribution function.
Real Time
continuous quantity with 1-year units
std::size_t Size
size of a container