gjrgarchprocess.hpp

Langue: en

Autres versions - même langue

Version: 381840 (fedora - 01/12/10)

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

Generated automatically by Doxygen for QuantLib from the source code.