analyticgjrgarchengine(3)
NAME
ql/pricingengines/vanilla/analyticgjrgarchengine.hpp – analytic GJR-GARCH-model engine
SYNOPSIS
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/models/equity/gjrgarchmodel.hpp>
#include <ql/instruments/vanillaoption.hpp>
#include <ql/math/integrals/gaussianquadratures.hpp>
#include <complex>
Classes
class AnalyticGJRGARCHEngine
GJR-GARCH(1,1) engine.
Detailed Description
analytic GJR-GARCH-model engine
Author
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