Re: Bates process

Posted by Klaus Spanderen-2 on Feb 23, 2008; 4:39pm
URL: http://quantlib.414.s1.nabble.com/Bates-process-tp5618p5619.html

Hi

good point, I've just committed a BatesProcess class to the QuantLib CVS. See

http://quantlib.svn.sourceforge.net/viewvc/*checkout*/quantlib/trunk/QuantLib/ql/processes/batesprocess.cpp
http://quantlib.svn.sourceforge.net/viewvc/*checkout*/quantlib/trunk/QuantLib/ql/processes/batesprocess.hpp

Monte-Carlo Simulation works in the same way as for the HestonProcess (indeed
you might use the BatesProcess as a substitute for the HestonProcess). Please
see in test-suite/batesmodel.cpp

http://quantlib.svn.sourceforge.net/viewvc/*checkout*/quantlib/trunk/QuantLib/test-suite/batesmodel.cpp

the test case testAnalyticVsMCPricing().

hope that fulfills your needs

 Klaus

On Friday 22 February 2008 10:50:09 Yomi wrote:
> Hi,
>
> I am wondering why there is no Bates process derived from Heston process?
> Does it make sense to refactor it in order to have a Bates process?
>
> Cheers



--
Klaus Spanderen
Ludwig Erhard Str. 12
48734 Reken (Germany)
EMail: [hidden email] (remove NOSPAM from the address)

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