%% Create bates Object
% Bates models are bivariate composite models, composed of two coupled and dissimilar univariate models, each driven by a single Brownian motion source of risk and a single compound Poisson process representing the arrivals of important events over NPeriods consecutive observation periods. The simulation approximates continuous-time Bates stochastic volatility processes.
% Create a bates object.

AssetPrice = 80;
            Return = 0.03;
            JumpMean = 0.02;
            JumpVol = 0.08;
            JumpFreq = 0.1;
            
            V0 = 0.04;
            Level = 0.05;
            Speed = 1.0;
            Volatility = 0.2;
            Rho = -0.7;
            StartState = [AssetPrice;V0]; 
            Correlation = [1 Rho;Rho 1];

batesObj = bates(Return, Speed, Level, Volatility,...
                JumpFreq, JumpMean, JumpVol,'startstate',StartState,...
                'correlation',Correlation)

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% Copyright 2019 The MathWorks, Inc.