Class BatesJumpComponent

java.lang.Object

net.finmath.finitedifference.assetderivativevaluation.models.AbstractStateIndependentJumpComponent

net.finmath.finitedifference.assetderivativevaluation.models.MertonJumpComponent

net.finmath.finitedifference.assetderivativevaluation.models.BatesJumpComponent

All Implemented Interfaces:

Serializable, JumpComponent

public class BatesJumpComponent
extends MertonJumpComponent

Jump component for the Bates model.

The jump part in the Bates model is a finite-activity compound Poisson jump component acting on one selected state variable through multiplicative jumps of the form

x -> x * exp(y),

where the log-jump size y is normally distributed with mean jumpMean and standard deviation jumpStdDev. Hence the associated Levy density is

nu(y) = intensity * gaussianDensity(y; jumpMean, jumpStdDev^2).

Numerically, this is the same jump specification as in the Merton jump-diffusion model. The dedicated class name is introduced in order to keep the code aligned with the Bates model semantics and naming.

Author:

Alessandro Gnoatto

See Also:

• Serialized Form

Constructor Summary

Constructors

Constructor	Description
BatesJumpComponent(double lowerIntegrationBound, double upperIntegrationBound, double intensity, double jumpMean, double jumpStdDev)	Creates a Bates jump component acting on the first state variable.
BatesJumpComponent(int stateVariableIndex, double lowerIntegrationBound, double upperIntegrationBound, double intensity, double jumpMean, double jumpStdDev)	Creates a Bates jump component.

Method Summary

Methods inherited from class MertonJumpComponent

getIntensity, getJumpMean, getJumpStdDev, getLevyDensity

Methods inherited from class AbstractStateIndependentJumpComponent

getLevyDensity, getLowerIntegrationBound, getStateVariableIndex, getUpperIntegrationBound, isFiniteActivity, isFiniteVariation, isStateDependent

Methods inherited from class Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

BatesJumpComponent

public BatesJumpComponent(double lowerIntegrationBound,
 double upperIntegrationBound,
 double intensity,
 double jumpMean,
 double jumpStdDev)

Creates a Bates jump component acting on the first state variable.

Parameters:

lowerIntegrationBound - Lower integration bound for the log-jump variable.

upperIntegrationBound - Upper integration bound for the log-jump variable.

intensity - Jump intensity.

jumpMean - Mean of the log-jump size.

jumpStdDev - Standard deviation of the log-jump size.

BatesJumpComponent

public BatesJumpComponent(int stateVariableIndex,
 double lowerIntegrationBound,
 double upperIntegrationBound,
 double intensity,
 double jumpMean,
 double jumpStdDev)

Creates a Bates jump component.

Parameters:

stateVariableIndex - Index of the affected state variable.

lowerIntegrationBound - Lower integration bound for the log-jump variable.

upperIntegrationBound - Upper integration bound for the log-jump variable.

intensity - Jump intensity.

jumpMean - Mean of the log-jump size.

jumpStdDev - Standard deviation of the log-jump size.