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gjrgarchmodel.hpp
Langue: en
Version: 157752 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
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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