#include <batesmodel.hpp>

Inheritance diagram for BatesDoubleExpDetJumpModel:

Collaboration diagram for BatesDoubleExpDetJumpModel:

Public Member Functions
	BatesDoubleExpDetJumpModel (const ext::shared_ptr< HestonProcess > &process, Real lambda=0.1, Real nuUp=0.1, Real nuDown=0.1, Real p=0.5, Real kappaLambda=1.0, Real thetaLambda=0.1)

Real	kappaLambda () const

Real	thetaLambda () const

Public Member Functions inherited from BatesDoubleExpModel
	BatesDoubleExpModel (const ext::shared_ptr< HestonProcess > &process, Real lambda=0.1, Real nuUp=0.1, Real nuDown=0.1, Real p=0.5)

Real	p () const

Real	nuDown () const

Real	nuUp () 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 ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from HestonModel
void	generateArguments () override

virtual void	generateArguments ()

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

Definition at line 80 of file batesmodel.hpp.

Constructor & Destructor Documentation

◆ BatesDoubleExpDetJumpModel()

BatesDoubleExpDetJumpModel	(	const ext::shared_ptr< HestonProcess > &	process,
		Real	lambda = `0.1`,
		Real	nuUp = `0.1`,
		Real	nuDown = `0.1`,
		Real	p = `0.5`,
		Real	kappaLambda = `1.0`,
		Real	thetaLambda = `0.1`
	)

explicit

Definition at line 73 of file batesmodel.cpp.

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Member Function Documentation

◆ kappaLambda()

Real kappaLambda ( ) const

Definition at line 87 of file batesmodel.hpp.

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◆ thetaLambda()

Real thetaLambda ( ) const

Definition at line 88 of file batesmodel.hpp.