quantlib.models.equity.bates_model.

BatesDoubleExpModel

class BatesDoubleExpModel(HestonProcess process, Lambda=0.1, nuUp=0.1, nuDown=0.1, p=0.5)

Bases: HestonModel

Attributes:
Lambda
kappa

variance mean reversion speed

nuDown
nuUp
p
rho

correlation

sigma

volatility of the volatility

theta

variance mean reversion level

v0

spot variance

Methods

calibrate(self, list helpers, ...)

process(self)

underlying process