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

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)
factors(self)
size(self)

Attributes

Lambda
delta
kappa
nu
rho
s0
sigma
theta
v0