Class BatesDoubleExpDetJumpModel

Namespace

NanoQL.Models

Assembly

NanoQL.dll

The Heston model with double-exponential jumps at a deterministic intensity, mean-reverting at κ_λ to θ_λ.

public sealed class BatesDoubleExpDetJumpModel : BatesDoubleExpModel, ICalibratedModel

Inheritance

object

CalibratedModel

HestonModel

BatesDoubleExpModel

BatesDoubleExpDetJumpModel

Implements

ICalibratedModel

Inherited Members

BatesDoubleExpModel.P

BatesDoubleExpModel.NuDown

BatesDoubleExpModel.NuUp

BatesDoubleExpModel.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 BatesDoubleExpModel's nine, then κ_λ and θ_λ, both positive; its process the Heston model's, as QuantLib's; η_u in (0, 1).

Constructors

BatesDoubleExpDetJumpModel(HestonProcess, double, double, double, double, double, double)

Initializes a new instance of the BatesDoubleExpDetJumpModel class.

public BatesDoubleExpDetJumpModel(HestonProcess process, double lambda = 0.1, double nuUp = 0.1, double nuDown = 0.1, double p = 0.5, double kappaLambda = 1, double thetaLambda = 0.1)

Parameters

process HestonProcess

The process whose curves, spot and parameters the model starts from.

lambda double

The jumps' intensity λ.

nuUp double

The up-jumps' mean size η_u, in (0, 1).

nuDown double

The down-jumps' mean size η_d.

p double

The probability of an up-jump.

kappaLambda double

The intensity's mean-reversion speed κ_λ.

thetaLambda double

The intensity's long-run mean θ_λ.

Exceptions

ArgumentNullException

process is null.

ArgumentException

A parameter is outside its constraint.

Properties

KappaLambda

Gets the intensity's mean-reversion speed κ_λ.

public double KappaLambda { get; }

Property Value

double

ThetaLambda

Gets the intensity's long-run mean θ_λ.

public double ThetaLambda { get; }

Property Value

double