GJR-GARCH(1,1) engine. More...
#include <ql/pricingengines/vanilla/analyticgjrgarchengine.hpp>
Public Member Functions | |
AnalyticGJRGARCHEngine (const ext::shared_ptr< GJRGARCHModel > &model) | |
void | calculate () const |
![]() | |
GenericModelEngine (const Handle< GJRGARCHModel > &model=Handle< GJRGARCHModel >()) | |
GenericModelEngine (const ext::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< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
void | registerWithObservables (const ext::shared_ptr< Observer > &) |
Size | unregisterWith (const ext::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | deepUpdate () |
Additional Inherited Members | |
![]() | |
typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
![]() | |
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
\ingroup vanillaengines \xrefitem test "Tests" "Test Suite" the correctness of the returned value is tested by reproducing results available in the Duan et al's 2006 paper.