quantlib.models.equity.bates_model.

BatesModel

class BatesModel(BatesProcess process)

Bases: HestonModel

Attributes:

Lambda

delta

kappa

variance mean reversion speed

nu

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, ...)