quantlib.models.equity.bates_model.

BatesDoubleExpDetJumpModel

class BatesDoubleExpDetJumpModel(HestonProcess process, Lambda=0.1, nuUp=0.1, nuDown=0.1, p=0.5, kappaLambda=1.0, thetaLambda=.1)

Bases: BatesDoubleExpModel

Attributes:

Lambda

kappa

variance mean reversion speed

kappaLambda

nuDown

nuUp

p

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