Class BatesDetJumpModel

The Bates model with a deterministic jump intensity, mean-reverting at κ_λ to θ_λ: dλ(t) = κ_λ(θ_λ − λ) dt.

public sealed class BatesDetJumpModel : BatesModel, ICalibratedModel

Inheritance: object

CalibratedModel

HestonModel

BatesModel

BatesDetJumpModel

Inherited Members: BatesModel.Nu

BatesModel.Delta

BatesModel.Lambda

HestonModel.Theta

HestonModel.Kappa

HestonModel.Sigma

HestonModel.Rho

HestonModel.V0

HestonModel.Process

CalibratedModel.Params()

CalibratedModel.WithParams(Vector)

CalibratedModel.Arguments

CalibratedModel.Constraint

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Extension Methods: CalibratedModelExtensions.Calibrate<TModel>(TModel, IEnumerable<CalibrationHelper>, OptimizationMethod, EndCriteria, EvaluationContext, Constraint?, ReadOnlySpan<double>, ReadOnlySpan<bool>)

CalibratedModelExtensions.SetParams<TModel>(TModel, Vector)

CalibratedModelExtensions.Value(ICalibratedModel, Vector, IEnumerable<CalibrationHelper>, EvaluationContext)

Remarks

Its arguments are BatesModel's eight, then κ_λ and θ_λ, both positive; its process the Bates model's, as QuantLib's.

Initializes a new instance of the BatesDetJumpModel class.

public BatesDetJumpModel(BatesProcess process, double kappaLambda = 1, double thetaLambda = 0.1)

process BatesProcess: The process whose curves, spot and parameters the model starts from.
kappaLambda double: The intensity's mean-reversion speed κ_λ.
thetaLambda double: The intensity's long-run mean θ_λ.

Gets the intensity's mean-reversion speed κ_λ.

public double KappaLambda { get; }

Gets the intensity's long-run mean θ_λ.

public double ThetaLambda { get; }