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Please modify BatesProcess::factors and BatesProcess::evolve. #612

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xuruilong100 opened this issue Mar 26, 2019 · 0 comments · Fixed by #614
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Please modify BatesProcess::factors and BatesProcess::evolve. #612

xuruilong100 opened this issue Mar 26, 2019 · 0 comments · Fixed by #614

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@xuruilong100
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Hi.

What HestonProcess::factors returns depends the type of discretization_, maybe 3 or 2, but BatesProcess::factors just returns 4.

The same reason, BatesProcess::evolve method should have switch-case to match the type of HestonProcess::discretization_.
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fixed Bates process for Broadie-Kaya discretization klausspanderen/QuantLib
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