quantlib.models.equity.bates_model.

BatesDetJumpModel

class BatesDetJumpModel(BatesProcess process, kappaLambda=1.0, thetaLambda=0.1)

Bases: BatesModel

Attributes:

Lambda

delta

kappa

variance mean reversion speed

kappaLambda

nu

process

:class:`~quantlib.processes.heston_process.HestonProcess: unnderlying process

rho

correlation

sigma

volatility of the volatility

theta

variance mean reversion level

thetaLambda

v0

spot variance

Methods

calibrate(self, list helpers, ...)