batesprocess.hpp File Reference

Bates stochastic process, Heston process plus compound Poisson process plus log-normal jump diffusion size. More...

#include <ql/processes/hestonprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>

Go to the source code of this file.

Classes
class	BatesProcess
	Square-root stochastic-volatility Bates process. More...

Namespaces
namespace	QuantLib

Detailed Description

Bates stochastic process, Heston process plus compound Poisson process plus log-normal jump diffusion size.

Definition in file batesprocess.hpp.