AnalyticGJRGARCHEngine Class Reference

GJR-GARCH(1,1) engine. More...

#include <ql/pricingengines/vanilla/analyticgjrgarchengine.hpp>

Inheritance diagram for AnalyticGJRGARCHEngine:

Public Member Functions

 AnalyticGJRGARCHEngine (const boost::shared_ptr< GJRGARCHModel > &model)
 
void calculate () const
 
- Public Member Functions inherited from GenericModelEngine< GJRGARCHModel, VanillaOption::arguments, VanillaOption::results >
 GenericModelEngine (const Handle< GJRGARCHModel > &model=Handle< GJRGARCHModel >())
 
 GenericModelEngine (const boost::shared_ptr< GJRGARCHModel > &model)
 
- Public Member Functions inherited from GenericEngine< VanillaOption::arguments, VanillaOption::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Additional Inherited Members

- Protected Attributes inherited from GenericModelEngine< GJRGARCHModel, VanillaOption::arguments, VanillaOption::results >
Handle< GJRGARCHModelmodel_
 

Detailed Description

GJR-GARCH(1,1) engine.

References:

Jin-Chuan Duan, Genevieve Gauthier, Jean-Guy Simonato, Caroline Sasseville, 2006. Approximating the GJR-GARCH and EGARCH option pricing models analytically Journal of Computational Finance, Volume 9, Number 3, Spring 2006

Tests:
the correctness of the returned value is tested by reproducing results available in the Duan et al's 2006 paper.