A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
|
Square-root stochastic-volatility Bates process. More...
#include <ql/processes/batesprocess.hpp>
Inheritance diagram for BatesProcess:Public Member Functions | |
| BatesProcess (const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > ÷ndYield, const Handle< Quote > &s0, Real v0, Real kappa, Real theta, Real sigma, Real rho, Real lambda, Real nu, Real delta, HestonProcess::Discretization d=HestonProcess::FullTruncation) | |
| Size | factors () const |
| returns the number of independent factors of the process | |
| Disposable< Array > | drift (Time t, const Array &x) const |
| returns the drift part of the equation, i.e., \( \mu(t, \mathrm{x}_t) \) | |
| Disposable< Array > | evolve (Time t0, const Array &x0, Time dt, const Array &dw) const |
| Real | lambda () const |
| Real | nu () const |
| Real | delta () const |
| Public Member Functions inherited from HestonProcess | |
| HestonProcess (const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > ÷ndYield, const Handle< Quote > &s0, Real v0, Real kappa, Real theta, Real sigma, Real rho, Discretization d=QuadraticExponentialMartingale) | |
| Size | size () const |
| returns the number of dimensions of the stochastic process | |
| Size | factors () const |
| returns the number of independent factors of the process | |
| Disposable< Array > | initialValues () const |
| returns the initial values of the state variables | |
| Disposable< Array > | drift (Time t, const Array &x) const |
| returns the drift part of the equation, i.e., \( \mu(t, \mathrm{x}_t) \) | |
| Disposable< Matrix > | diffusion (Time t, const Array &x) const |
| returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \) | |
| Disposable< Array > | apply (const Array &x0, const Array &dx) const |
| Disposable< Array > | evolve (Time t0, const Array &x0, Time dt, const Array &dw) const |
| Real | v0 () const |
| Real | rho () const |
| Real | kappa () const |
| Real | theta () const |
| Real | sigma () const |
| const Handle< Quote > & | s0 () const |
| const Handle< YieldTermStructure > & | dividendYield () const |
| const Handle< YieldTermStructure > & | riskFreeRate () const |
| Time | time (const Date &) const |
| Real | pdf (Real x, Real v, Time t, Real eps=1e-3) const |
| Public Member Functions inherited from StochasticProcess | |
| virtual Disposable< Array > | expectation (Time t0, const Array &x0, Time dt) const |
| virtual Disposable< Matrix > | stdDeviation (Time t0, const Array &x0, Time dt) const |
| virtual Disposable< Matrix > | covariance (Time t0, const Array &x0, Time dt) const |
| void | update () |
| Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
| Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Additional Inherited Members | |
| Public Types inherited from HestonProcess | |
| enum | Discretization { PartialTruncation, FullTruncation, Reflection, NonCentralChiSquareVariance, QuadraticExponential, QuadraticExponentialMartingale, BroadieKayaExactSchemeLobatto, BroadieKayaExactSchemeLaguerre, BroadieKayaExactSchemeTrapezoidal } |
| Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from StochasticProcess | |
| StochasticProcess () | |
| StochasticProcess (const ext::shared_ptr< discretization > &) | |
| Protected Attributes inherited from StochasticProcess | |
| ext::shared_ptr< discretization > | discretization_ |
Square-root stochastic-volatility Bates process.
This class describes the square root stochastic volatility process incl jumps governed by
\[ \begin{array}{rcl} dS(t, S) &=& (r-d-\lambda m) S dt +\sqrt{v} S dW_1 + (e^J - 1) S dN \\ dv(t, S) &=& \kappa (\theta - v) dt + \sigma \sqrt{v} dW_2 \\ dW_1 dW_2 &=& \rho dt \\ \omega(J) &=& \frac{1}{\sqrt{2\pi \delta^2}} \exp\left[-\frac{(J-\nu)^2}{2\delta^2}\right] \end{array} \]
returns the asset value after a time interval \( \Delta t \) according to the given discretization. By default, it returns
\[ E(\mathrm{x}_0,t_0,\Delta t) + S(\mathrm{x}_0,t_0,\Delta t) \cdot \Delta \mathrm{w} \]
where \( E \) is the expectation and \( S \) the standard deviation.
Reimplemented from StochasticProcess.
