QuantLib_AnalyticGJRGARCHEngine (3) Linux Manual Page
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.