GJR-GARCH(1,1) stochastic process. More...
#include <ql/stochasticprocess.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/quote.hpp>
Classes | |
class | GJRGARCHProcess |
Stochastic-volatility GJR-GARCH(1,1) process. More... | |
Namespaces | |
namespace | QuantLib |
GJR-GARCH(1,1) stochastic process.