QuantLib_AnalyticGJRGARCHEngine man page

AnalyticGJRGARCHEngine — GJR-GARCH(1,1) engine.

Synopsis

#include <ql/pricingengines/vanilla/analyticgjrgarchengine.hpp>

Inherits GenericModelEngine< GJRGARCHModel, VanillaOption::arguments, VanillaOption::results >.

Public Member Functions

AnalyticGJRGARCHEngine (const boost::shared_ptr< GJRGARCHModel > &model)

void calculate () const

Additional Inherited Members

Detailed Description

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

Tests

the correctness of the returned value is tested by reproducing results available in the Duan et al's 2006 paper.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

AnalyticGJRGARCHEngine(3) is an alias of QuantLib_AnalyticGJRGARCHEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib