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<div id="projectbrief">A free/open-source library for quantitative finance</div>
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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_bates_model.html">BatesModel</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">BatesModel Class Reference</div> </div>
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<p>Bates stochastic-volatility model.
<a href="class_quant_lib_1_1_bates_model.html#details">More...</a></p>
<p><code>#include <ql/models/equity/batesmodel.hpp></code></p>
<div id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for BatesModel:</div>
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<area shape="rect" title="Bates stochastic-volatility model." alt="" coords="18,155,109,181"/>
<area shape="rect" href="class_quant_lib_1_1_heston_model.html" title="Heston model for the stochastic volatility of an asset." alt="" coords="14,80,113,107"/>
<area shape="rect" href="class_quant_lib_1_1_calibrated_model.html" title="Calibrated model class." alt="" coords="5,5,121,32"/>
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<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:a56f0decb969032953e1a9b4ae32fed4b"><td class="memItemLeft" align="right" valign="top"><a id="a56f0decb969032953e1a9b4ae32fed4b"></a>
 </td><td class="memItemRight" valign="bottom"><b>BatesModel</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_bates_process.html">BatesProcess</a> > &process)</td></tr>
<tr class="separator:a56f0decb969032953e1a9b4ae32fed4b"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a8a996a137596be196f4d1b181db19add"><td class="memItemLeft" align="right" valign="top"><a id="a8a996a137596be196f4d1b181db19add"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>nu</b> () const</td></tr>
<tr class="separator:a8a996a137596be196f4d1b181db19add"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a397f8534c2b3d08642e5040c40426ab7"><td class="memItemLeft" align="right" valign="top"><a id="a397f8534c2b3d08642e5040c40426ab7"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>delta</b> () const</td></tr>
<tr class="separator:a397f8534c2b3d08642e5040c40426ab7"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a48c08d33f44bbcf1116a2e8750feddf1"><td class="memItemLeft" align="right" valign="top"><a id="a48c08d33f44bbcf1116a2e8750feddf1"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>lambda</b> () const</td></tr>
<tr class="separator:a48c08d33f44bbcf1116a2e8750feddf1"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_heston_model"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_heston_model')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_heston_model.html">HestonModel</a></td></tr>
<tr class="memitem:adcb041acb7bae7443b62d3570aff9f9f inherit pub_methods_class_quant_lib_1_1_heston_model"><td class="memItemLeft" align="right" valign="top"><a id="adcb041acb7bae7443b62d3570aff9f9f"></a>
 </td><td class="memItemRight" valign="bottom"><b>HestonModel</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_heston_process.html">HestonProcess</a> > &process)</td></tr>
<tr class="separator:adcb041acb7bae7443b62d3570aff9f9f inherit pub_methods_class_quant_lib_1_1_heston_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a211532127d83c15b17647a043e9efd36 inherit pub_methods_class_quant_lib_1_1_heston_model"><td class="memItemLeft" align="right" valign="top"><a id="a211532127d83c15b17647a043e9efd36"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>theta</b> () const</td></tr>
<tr class="separator:a211532127d83c15b17647a043e9efd36 inherit pub_methods_class_quant_lib_1_1_heston_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ad88e3ab524ca113ef0aed0c85918b1f2 inherit pub_methods_class_quant_lib_1_1_heston_model"><td class="memItemLeft" align="right" valign="top"><a id="ad88e3ab524ca113ef0aed0c85918b1f2"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>kappa</b> () const</td></tr>
<tr class="separator:ad88e3ab524ca113ef0aed0c85918b1f2 inherit pub_methods_class_quant_lib_1_1_heston_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a3bf7456c7feee4fc5c40c1ea775619de inherit pub_methods_class_quant_lib_1_1_heston_model"><td class="memItemLeft" align="right" valign="top"><a id="a3bf7456c7feee4fc5c40c1ea775619de"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>sigma</b> () const</td></tr>
<tr class="separator:a3bf7456c7feee4fc5c40c1ea775619de inherit pub_methods_class_quant_lib_1_1_heston_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a891ea127047dcd9acc1dff3dbf26e88e inherit pub_methods_class_quant_lib_1_1_heston_model"><td class="memItemLeft" align="right" valign="top"><a id="a891ea127047dcd9acc1dff3dbf26e88e"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>rho</b> () const</td></tr>
<tr class="separator:a891ea127047dcd9acc1dff3dbf26e88e inherit pub_methods_class_quant_lib_1_1_heston_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a8b9537c785da7b6872482fee29cfb731 inherit pub_methods_class_quant_lib_1_1_heston_model"><td class="memItemLeft" align="right" valign="top"><a id="a8b9537c785da7b6872482fee29cfb731"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>v0</b> () const</td></tr>
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ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_heston_process.html">HestonProcess</a> > </td><td class="memItemRight" valign="bottom"><b>process</b> () const</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_calibrated_model"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_calibrated_model')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_calibrated_model.html">CalibratedModel</a></td></tr>
<tr class="memitem:ab43067bd779206b1a734151bd62e9c5f inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top"><a id="ab43067bd779206b1a734151bd62e9c5f"></a>
 </td><td class="memItemRight" valign="bottom"><b>CalibratedModel</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> nArguments)</td></tr>
<tr class="separator:ab43067bd779206b1a734151bd62e9c5f inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
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<tr class="memitem:a2c63b37e0303ef53a2b4aabdf30f6616 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#a2c63b37e0303ef53a2b4aabdf30f6616">calibrate</a> (const std::vector< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_calibration_helper.html">CalibrationHelper</a> > > &, <a class="el" href="class_quant_lib_1_1_optimization_method.html">OptimizationMethod</a> &method, const <a class="el" href="class_quant_lib_1_1_end_criteria.html">EndCriteria</a> &<a class="el" href="class_quant_lib_1_1_calibrated_model.html#a689f17edf70f02c42a061798e1344cc6">endCriteria</a>, const <a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a> &constraint=<a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a>(), const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &weights=std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> >(), const std::vector< bool > &fixParameters=std::vector< bool >())</td></tr>
<tr class="memdesc:a2c63b37e0303ef53a2b4aabdf30f6616 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="mdescLeft"> </td><td class="mdescRight">Calibrate to a set of market instruments (usually caps/swaptions) <a href="class_quant_lib_1_1_calibrated_model.html#a2c63b37e0303ef53a2b4aabdf30f6616">More...</a><br /></td></tr>
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<tr class="memitem:ac664da62fe7dddfe57529764aaca5187 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top">virtual QL_DEPRECATED void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac664da62fe7dddfe57529764aaca5187">calibrate</a> (const std::vector< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_black_calibration_helper.html">BlackCalibrationHelper</a> > > &, <a class="el" href="class_quant_lib_1_1_optimization_method.html">OptimizationMethod</a> &method, const <a class="el" href="class_quant_lib_1_1_end_criteria.html">EndCriteria</a> &<a class="el" href="class_quant_lib_1_1_calibrated_model.html#a689f17edf70f02c42a061798e1344cc6">endCriteria</a>, const <a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a> &constraint=<a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a>(), const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &weights=std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> >(), const std::vector< bool > &fixParameters=std::vector< bool >())</td></tr>
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<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>value</b> (const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &<a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac8c77215168957e035ff1f8eba542910">params</a>, const std::vector< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_calibration_helper.html">CalibrationHelper</a> > > &)</td></tr>
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<tr class="memitem:ab6af309e095da49d254389268b488373 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top">QL_DEPRECATED <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#ab6af309e095da49d254389268b488373">value</a> (const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &<a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac8c77215168957e035ff1f8eba542910">params</a>, const std::vector< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_black_calibration_helper.html">BlackCalibrationHelper</a> > > &)</td></tr>
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const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a> > & </td><td class="memItemRight" valign="bottom"><b>constraint</b> () const</td></tr>
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EndCriteria::Type </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#a689f17edf70f02c42a061798e1344cc6">endCriteria</a> () const</td></tr>
<tr class="memdesc:a689f17edf70f02c42a061798e1344cc6 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="mdescLeft"> </td><td class="mdescRight">Returns end criteria result. <br /></td></tr>
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const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#aacc31e5f4aa4d15a3f33fd81b916897a">problemValues</a> () const</td></tr>
<tr class="memdesc:aacc31e5f4aa4d15a3f33fd81b916897a inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="mdescLeft"> </td><td class="mdescRight">Returns the problem values. <br /></td></tr>
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<a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac8c77215168957e035ff1f8eba542910">params</a> () const</td></tr>
<tr class="memdesc:ac8c77215168957e035ff1f8eba542910 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="mdescLeft"> </td><td class="mdescRight">Returns array of arguments on which calibration is done. <br /></td></tr>
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virtual void </td><td class="memItemRight" valign="bottom"><b>setParams</b> (const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &<a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac8c77215168957e035ff1f8eba542910">params</a>)</td></tr>
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<a class="el" href="group__types.html#gab9c87440c314438e51a899a03d2442d0">Integer</a> </td><td class="memItemRight" valign="bottom"><b>functionEvaluation</b> () const</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:af6a9d3ca0b7f388f3b7ccb1eccf11f63 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="af6a9d3ca0b7f388f3b7ccb1eccf11f63"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observer</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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<a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> & </td><td class="memItemRight" valign="bottom"><b>operator=</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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std::pair< iterator, bool > </td><td class="memItemRight" valign="bottom"><b>registerWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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<tr class="memitem:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a51d57eb97a3a57312a47bda29235f182">registerWithObservables</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> > &)</td></tr>
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<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>unregisterWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>unregisterWithAll</b> ()</td></tr>
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<tr class="memitem:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a3d53f9669c128dadc74a5d044a7c8e68">deepUpdate</a> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observable"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observable')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a></td></tr>
<tr class="memitem:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a id="a840dd96e33a304cbf681d357de7f48d0"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observable</b> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
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<tr class="memitem:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a522aacdd0f2408fe5e46527a6db999b4">operator=</a> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
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<tr class="memitem:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a397546715bfc5aedd1d16dd202a19d4c">notifyObservers</a> ()</td></tr>
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<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>generateArguments</b> ()</td></tr>
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<tr class="inherit_header pro_methods_class_quant_lib_1_1_heston_model"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_heston_model')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_heston_model.html">HestonModel</a></td></tr>
<tr class="memitem:a4d8a7e8e132cf1dd8d1d9eac02f2bfae inherit pro_methods_class_quant_lib_1_1_heston_model"><td class="memItemLeft" align="right" valign="top"><a id="a4d8a7e8e132cf1dd8d1d9eac02f2bfae"></a>
void </td><td class="memItemRight" valign="bottom"><b>generateArguments</b> ()</td></tr>
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</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pub_types_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_types_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Types inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a78de5f2b6bce96d718e3c18b9f52d67c"></a>
typedef boost::unordered_set< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > > </td><td class="memItemRight" valign="bottom"><b>set_type</b></td></tr>
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typedef set_type::iterator </td><td class="memItemRight" valign="bottom"><b>iterator</b></td></tr>
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<tr class="inherit_header pro_attribs_class_quant_lib_1_1_heston_model"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_heston_model')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_heston_model.html">HestonModel</a></td></tr>
<tr class="memitem:a0bd741839d945a43bd7cb750caf1cfa8 inherit pro_attribs_class_quant_lib_1_1_heston_model"><td class="memItemLeft" align="right" valign="top"><a id="a0bd741839d945a43bd7cb750caf1cfa8"></a>
ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_heston_process.html">HestonProcess</a> > </td><td class="memItemRight" valign="bottom"><b>process_</b></td></tr>
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<tr class="inherit_header pro_attribs_class_quant_lib_1_1_calibrated_model"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_calibrated_model')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_calibrated_model.html">CalibratedModel</a></td></tr>
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std::vector< <a class="el" href="class_quant_lib_1_1_parameter.html">Parameter</a> > </td><td class="memItemRight" valign="bottom"><b>arguments_</b></td></tr>
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ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a> > </td><td class="memItemRight" valign="bottom"><b>constraint_</b></td></tr>
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EndCriteria::Type </td><td class="memItemRight" valign="bottom"><b>shortRateEndCriteria_</b></td></tr>
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<a class="el" href="class_quant_lib_1_1_array.html">Array</a> </td><td class="memItemRight" valign="bottom"><b>problemValues_</b></td></tr>
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<a class="el" href="group__types.html#gab9c87440c314438e51a899a03d2442d0">Integer</a> </td><td class="memItemRight" valign="bottom"><b>functionEvaluation_</b></td></tr>
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</table>
<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Bates stochastic-volatility model. </p>
<p>extended versions of Heston model for the stochastic volatility of an asset including jumps.</p>
<p>References: A. Sepp, Pricing European-Style Options under Jump Diffusion Processes with Stochastic Volatility: Applications of Fourier Transform (<a href="http://math.ut.ee/~spartak/papers/stochjumpvols.pdf">http://math.ut.ee/~spartak/papers/stochjumpvols.pdf</a>)</p>
<dl class="test"><dt><b><a class="el" href="test.html#_test000088">Tests:</a></b></dt><dd>calibration is tested against known values. </dd></dl>
<dl class="section examples"><dt>Examples</dt><dd><a class="el" href="_equity_option_8cpp-example.html#_a31">EquityOption.cpp</a>.</dd>
</dl>
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