/src/quantlib/ql/models/equity/batesmodel.cpp

Source
/* -*- 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
 <https://www.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>
#include <ql/shared_ptr.hpp>

namespace QuantLib {

    BatesModel::BatesModel(const ext::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());
        
        BatesModel::generateArguments();
    }

    void BatesModel::generateArguments() {
        process_ = ext::make_shared<BatesProcess>(
             process_->riskFreeRate(), process_->dividendYield(),
             process_->s0(), v0(), 
             kappa(), theta(), sigma(), rho(),
             lambda(), nu(), delta());
    }

    BatesDetJumpModel::BatesDetJumpModel(
            const ext::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 ext::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 ext::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());
    }
}


Line	Count	Source
1		/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3		/*
4		Copyright (C) 2005 Klaus Spanderen
5
6		This file is part of QuantLib, a free-software/open-source library
7		for financial quantitative analysts and developers - http://quantlib.org/
8
9		QuantLib is free software: you can redistribute it and/or modify it
10		under the terms of the QuantLib license. You should have received a
11		copy of the license along with this program; if not, please email
12		<quantlib-dev@lists.sf.net>. The license is also available online at
13		<https://www.quantlib.org/license.shtml>.
14
15		This program is distributed in the hope that it will be useful, but WITHOUT
16		ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17		FOR A PARTICULAR PURPOSE. See the license for more details.
18		*/
19
20		#include <ql/models/equity/batesmodel.hpp>
21		#include <ql/shared_ptr.hpp>
22
23		namespace QuantLib {
24
25		BatesModel::BatesModel(const ext::shared_ptr<BatesProcess> & process)
26	0	: HestonModel(process) {
27	0	arguments_.resize(8);
28
29	0	arguments_[5]
30	0	= ConstantParameter(process->nu(), NoConstraint());
31	0	arguments_[6]
32	0	= ConstantParameter(process->delta(), PositiveConstraint());
33	0	arguments_[7]
34	0	= ConstantParameter(process->lambda(), PositiveConstraint());
35
36	0	BatesModel::generateArguments();
37	0	} Unexecuted instantiation: QuantLib::BatesModel::BatesModel(boost::shared_ptr<QuantLib::BatesProcess> const&) Unexecuted instantiation: QuantLib::BatesModel::BatesModel(boost::shared_ptr<QuantLib::BatesProcess> const&)
38
39	0	void BatesModel::generateArguments() {
40	0	process_ = ext::make_shared<BatesProcess>(
41	0	process_->riskFreeRate(), process_->dividendYield(),
42	0	process_->s0(), v0(),
43	0	kappa(), theta(), sigma(), rho(),
44	0	lambda(), nu(), delta());
45	0	}
46
47		BatesDetJumpModel::BatesDetJumpModel(
48		const ext::shared_ptr<BatesProcess> & process,
49		Real kappaLambda, Real thetaLambda)
50	0	: BatesModel(process) {
51	0	arguments_.resize(10);
52
53	0	arguments_[8] =
54	0	ConstantParameter(kappaLambda, PositiveConstraint());
55	0	arguments_[9] =
56	0	ConstantParameter(thetaLambda, PositiveConstraint());
57	0	} Unexecuted instantiation: QuantLib::BatesDetJumpModel::BatesDetJumpModel(boost::shared_ptr<QuantLib::BatesProcess> const&, double, double) Unexecuted instantiation: QuantLib::BatesDetJumpModel::BatesDetJumpModel(boost::shared_ptr<QuantLib::BatesProcess> const&, double, double)
58
59
60		BatesDoubleExpModel::BatesDoubleExpModel(
61		const ext::shared_ptr<HestonProcess> & process,
62		Real lambda, Real nuUp, Real nuDown, Real p)
63	0	: HestonModel(process) {
64	0	arguments_.resize(9);
65
66	0	arguments_[5] = ConstantParameter(p,
67	0	BoundaryConstraint(0.0, 1.0));
68	0	arguments_[6] = ConstantParameter(nuDown, PositiveConstraint());
69	0	arguments_[7] = ConstantParameter(nuUp, PositiveConstraint());
70	0	arguments_[8] = ConstantParameter(lambda, PositiveConstraint());
71	0	} Unexecuted instantiation: QuantLib::BatesDoubleExpModel::BatesDoubleExpModel(boost::shared_ptr<QuantLib::HestonProcess> const&, double, double, double, double) Unexecuted instantiation: QuantLib::BatesDoubleExpModel::BatesDoubleExpModel(boost::shared_ptr<QuantLib::HestonProcess> const&, double, double, double, double)
72
73
74		BatesDoubleExpDetJumpModel::BatesDoubleExpDetJumpModel(
75		const ext::shared_ptr<HestonProcess> & process,
76		Real lambda, Real nuUp, Real nuDown,
77		Real p, Real kappaLambda, Real thetaLambda)
78	0	: BatesDoubleExpModel(process, lambda, nuUp, nuDown, p) {
79	0	arguments_.resize(11);
80
81	0	arguments_[9] =
82	0	ConstantParameter(kappaLambda, PositiveConstraint());
83	0	arguments_[10] =
84	0	ConstantParameter(thetaLambda, PositiveConstraint());
85	0	} Unexecuted instantiation: QuantLib::BatesDoubleExpDetJumpModel::BatesDoubleExpDetJumpModel(boost::shared_ptr<QuantLib::HestonProcess> const&, double, double, double, double, double, double) Unexecuted instantiation: QuantLib::BatesDoubleExpDetJumpModel::BatesDoubleExpDetJumpModel(boost::shared_ptr<QuantLib::HestonProcess> const&, double, double, double, double, double, double)
86		}
87

Coverage Report

Created: 2025-10-14 06:32