GJR-GARCH(1,1) engine. More...
#include <ql/pricingengines/vanilla/analyticgjrgarchengine.hpp>
Public Member Functions | |
AnalyticGJRGARCHEngine (const boost::shared_ptr< GJRGARCHModel > &model) | |
void | calculate () const |
![]() | |
GenericModelEngine (const Handle< GJRGARCHModel > &model=Handle< GJRGARCHModel >()) | |
GenericModelEngine (const boost::shared_ptr< GJRGARCHModel > &model) | |
![]() | |
PricingEngine::arguments * | getArguments () const |
const PricingEngine::results * | getResults () const |
void | reset () |
void | update () |
![]() | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
![]() | |
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 () |
Additional Inherited Members | |
![]() | |
Handle< GJRGARCHModel > | model_ |
![]() | |
VanillaOption::arguments | arguments_ |
VanillaOption::results | results_ |
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