gjrgarchmodel.hpp File Reference

GJR-GARCH model for the stochastic volatility of an asset. More...

Include dependency graph for gjrgarchmodel.hpp:

Classes

class  GJRGARCHModel
 GJR-GARCH model for the stochastic volatility of an asset. More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

GJR-GARCH model for the stochastic volatility of an asset.