AnalyticGJRGARCHEngine (3) - Linux Man Pages

AnalyticGJRGARCHEngine: GJR-GARCH(1,1) engine.

NAME

QuantLib::AnalyticGJRGARCHEngine - GJR-GARCH(1,1) engine.

SYNOPSIS


#include <ql/pricingengines/vanilla/analyticgjrgarchengine.hpp>

Inherits GenericModelEngine< GJRGARCHModel, VanillaOption::arguments, VanillaOption::results >.

Public Member Functions


AnalyticGJRGARCHEngine (const boost::shared_ptr< GJRGARCHModel > &model)

void calculate () const

Detailed Description

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

Tests

the correctness of the returned value is tested by reproducing results available in the Duan et al's 2006 paper.

Author

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