AnalyticGJRGARCHEngine (3) Linux Manual Page

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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