Stochastic-volatility GJR-GARCH(1,1) process. More...
#include <ql/processes/gjrgarchprocess.hpp>
Public Types | |
enum | Discretization { PartialTruncation, FullTruncation, Reflection } |
Public Member Functions | |
GJRGARCHProcess (const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > ÷ndYield, const Handle< Quote > &s0, Real v0, Real omega, Real alpha, Real beta, Real gamma, Real lambda, Real daysPerYear=252.0, Discretization d=FullTruncation) | |
Size | size () const |
returns the number of dimensions of the stochastic process | |
Disposable< Array > | initialValues () const |
returns the initial values of the state variables | |
Disposable< Array > | drift (Time t, const Array &x) const |
returns the drift part of the equation, i.e., ![]() | |
Disposable< Matrix > | diffusion (Time t, const Array &x) const |
returns the diffusion part of the equation, i.e. ![]() | |
Disposable< Array > | apply (const Array &x0, const Array &dx) const |
Disposable< Array > | evolve (Time t0, const Array &x0, Time dt, const Array &dw) const |
Real | v0 () const |
Real | lambda () const |
Real | omega () const |
Real | alpha () const |
Real | beta () const |
Real | gamma () const |
Real | daysPerYear () const |
const Handle< Quote > & | s0 () const |
const Handle < YieldTermStructure > & | dividendYield () const |
const Handle < YieldTermStructure > & | riskFreeRate () const |
Time | time (const Date &) const |
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virtual Size | factors () const |
returns the number of independent factors of the process | |
virtual Disposable< Array > | expectation (Time t0, const Array &x0, Time dt) const |
virtual Disposable< Matrix > | stdDeviation (Time t0, const Array &x0, Time dt) const |
virtual Disposable< Matrix > | covariance (Time t0, const Array &x0, Time dt) const |
void | update () |
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Observer (const Observer &) | |
Observer & | operator= (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 () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
Additional Inherited Members | |
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StochasticProcess (const boost::shared_ptr< discretization > &) | |
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boost::shared_ptr< discretization > | discretization_ |
Stochastic-volatility GJR-GARCH(1,1) process.
This class describes the stochastic volatility process governed by
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virtual |
applies a change to the asset value. By default, it returns .
Reimplemented from StochasticProcess.
returns the asset value after a time interval according to the given discretization. By default, it returns
where is the expectation and
the standard deviation.
Reimplemented from StochasticProcess.
returns the time value corresponding to the given date in the reference system of the stochastic process.
Reimplemented from StochasticProcess.