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

process

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

rho

correlation

sigma

volatility of the volatility

theta

variance mean reversion level

v0

spot variance

Methods

calibrate(self, list helpers, ...)