gjrgarchmodel.hpp

Langue: en

Autres versions - même langue

Version: 376476 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/models/equity/gjrgarchmodel.hpp -

GJR-GARCH model for the stochastic volatility of an asset.

SYNOPSIS


#include <ql/models/model.hpp>
#include <ql/processes/gjrgarchprocess.hpp>

Classes


class GJRGARCHModel
GJR-GARCH model for the stochastic volatility of an asset.

Detailed Description

GJR-GARCH model for the stochastic volatility of an asset.

Author

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