QuantLib_AnalyticGJRGARCHEngine man page

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


#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.


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


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


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Referenced By

The man page AnalyticGJRGARCHEngine(3) is an alias of QuantLib_AnalyticGJRGARCHEngine(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib