quantlib.processes.bates_process.
BatesProcess¶
- class BatesProcess(HandleYieldTermStructure risk_free_rate_ts=HandleYieldTermStructure(), HandleYieldTermStructure dividend_ts=HandleYieldTermStructure(), Quote s0=SimpleQuote(), Real v0=0, Real kappa=0, Real theta=0, Real sigma=0, Real rho=0, Real lambda_=0, Real nu=0, Real delta=0, Discretization d=FullTruncation)¶
Bases:
HestonProcess- Attributes:
- Lambda
- delta
- kappa
- nu
- rho
- s0
- sigma
- theta
- v0
Methods
factors(self)size(self)