gjrgarchprocess.hpp

Langue: en

Autres versions - même langue

Version: 168426 (fedora - 05/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/processes/gjrgarchprocess.hpp - GJR-GARCH(1,1) stochastic process.

SYNOPSIS


#include <ql/stochasticprocess.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/quote.hpp>

Classes


class GJRGARCHProcess
Stochastic-volatility GJR-GARCH(1,1) process.

Detailed Description

GJR-GARCH(1,1) stochastic process.

Author

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