quantlib.models.equity.bates_model.

BatesModel

class BatesModel(BatesProcess process)

Bases: HestonModel

Attributes:
Lambda
delta
kappa

variance mean reversion speed

nu
rho

correlation

sigma

volatility of the volatility

theta

variance mean reversion level

v0

spot variance

Methods

calibrate(self, list helpers, ...)

process(self)

underlying process