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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include <ql/models/equity/batesmodel.hpp>
namespace QuantLib {
BatesModel::BatesModel(const boost::shared_ptr<BatesProcess> & process)
: HestonModel(process) {
arguments_.resize(8);
arguments_[5]
= ConstantParameter(process->nu(), NoConstraint());
arguments_[6]
= ConstantParameter(process->delta(), PositiveConstraint());
arguments_[7]
= ConstantParameter(process->lambda(), PositiveConstraint());
generateArguments();
}
void BatesModel::generateArguments() {
process_.reset(new BatesProcess(
process_->riskFreeRate(), process_->dividendYield(),
process_->s0(), v0(),
kappa(), theta(), sigma(), rho(),
lambda(), nu(), delta()));
}
BatesDetJumpModel::BatesDetJumpModel(
const boost::shared_ptr<BatesProcess> & process,
Real kappaLambda, Real thetaLambda)
: BatesModel(process) {
arguments_.resize(10);
arguments_[8] =
ConstantParameter(kappaLambda, PositiveConstraint());
arguments_[9] =
ConstantParameter(thetaLambda, PositiveConstraint());
}
BatesDoubleExpModel::BatesDoubleExpModel(
const boost::shared_ptr<HestonProcess> & process,
Real lambda, Real nuUp, Real nuDown, Real p)
: HestonModel(process) {
arguments_.resize(9);
arguments_[5] = ConstantParameter(p,
BoundaryConstraint(0.0, 1.0));
arguments_[6] = ConstantParameter(nuDown, PositiveConstraint());
arguments_[7] = ConstantParameter(nuUp, PositiveConstraint());
arguments_[8] = ConstantParameter(lambda, PositiveConstraint());
}
BatesDoubleExpDetJumpModel::BatesDoubleExpDetJumpModel(
const boost::shared_ptr<HestonProcess> & process,
Real lambda, Real nuUp, Real nuDown,
Real p, Real kappaLambda, Real thetaLambda)
: BatesDoubleExpModel(process, lambda, nuUp, nuDown, p) {
arguments_.resize(11);
arguments_[9] =
ConstantParameter(kappaLambda, PositiveConstraint());
arguments_[10] =
ConstantParameter(thetaLambda, PositiveConstraint());
}
}
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