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

rho

correlation

sigma

volatility of the volatility

theta

variance mean reversion level

thetaLambda

v0

spot variance

Methods

calibrate(self, list helpers, ...)
process(self)	underlying process