Garch11 Class Reference

GARCH volatility model. More...

#include <ql/models/volatility/garch.hpp>

Inherits VolatilityCompositor.

Public Member Functions

 Garch11 (Real a, Real b, Real vl)
 
 Garch11 (const TimeSeries< Volatility > &qs)
 
TimeSeries< Volatilitycalculate (const TimeSeries< Volatility > &quoteSeries)
 
TimeSeries< Volatilitycalculate (const TimeSeries< Volatility > &quoteSeries, Real, Real, Real)
 
void calibrate (const TimeSeries< Volatility > &quoteSeries)
 
- Public Member Functions inherited from VolatilityCompositor
virtual TimeSeries< Volatilitycalculate (const TimeSeries< Volatility > &volatilitySeries)=0
 
virtual void calibrate (const TimeSeries< Volatility > &volatilitySeries)=0
 

Detailed Description

GARCH volatility model.

Volatilities are assumed to be expressed on an annual basis.