QuantLib_Garch11 man page

Garch11 — GARCH volatility model.

Synopsis

#include <ql/models/volatility/garch.hpp>

Inherits VolatilityCompositor.

Public Types

enum Mode { MomentMatchingGuess, GammaGuess, BestOfTwo, DoubleOptimization }

typedef TimeSeries< Volatility > time_series

typedef time_series::const_iterator const_iterator

typedef time_series::const_value_iterator const_value_iterator

Public Member Functions

Constructors

Garch11 (Real a, Real b, Real vl)

Garch11 (const time_series &qs, Mode mode=BestOfTwo)

Inspectors

Real alpha () const

Real beta () const

Real omega () const

Real ltVol () const

Real logLikelihood () const

Mode mode () const

VolatilityCompositor interface

time_series calculate (const time_series &quoteSeries)

void calibrate (const time_series &quoteSeries)

Additional interface

void calibrate (const time_series &quoteSeries, OptimizationMethod &method, const EndCriteria &endCriteria)

void calibrate (const time_series &quoteSeries, OptimizationMethod &method, const EndCriteria &endCriteria, const Array &initialGuess)

template<typename ForwardIterator > void calibrate (ForwardIterator begin, ForwardIterator end)

template<typename ForwardIterator > void calibrate (ForwardIterator begin, ForwardIterator end, OptimizationMethod &method, EndCriteria endCriteria)

template<typename ForwardIterator > void calibrate (ForwardIterator begin, ForwardIterator end, OptimizationMethod &method, EndCriteria endCriteria, const Array &initialGuess)

Real forecast (Real r, Real sigma2) const

static time_series calculate (const time_series &quoteSeries, Real alpha, Real beta, Real omega)

template<typename InputIterator > static Real to_r2 (InputIterator begin, InputIterator end, std::vector< Volatility > &r2)

static boost::shared_ptr< Problem > calibrate_r2 (Mode mode, const std::vector< Volatility > &r2, Real mean_r2, Real &alpha, Real &beta, Real &omega)

static boost::shared_ptr< Problem > calibrate_r2 (Mode mode, const std::vector< Volatility > &r2, Real mean_r2, OptimizationMethod &method, const EndCriteria &endCriteria, Real &alpha, Real &beta, Real &omega)

static boost::shared_ptr< Problem > calibrate_r2 (const std::vector< Volatility > &r2, Real mean_r2, OptimizationMethod &method, const EndCriteria &endCriteria, const Array &initialGuess, Real &alpha, Real &beta, Real &omega)

static boost::shared_ptr< Problem > calibrate_r2 (const std::vector< Volatility > &r2, OptimizationMethod &method, const EndCriteria &endCriteria, const Array &initialGuess, Real &alpha, Real &beta, Real &omega)

static boost::shared_ptr< Problem > calibrate_r2 (const std::vector< Volatility > &r2, Real mean_r2, OptimizationMethod &method, Constraint &constraints, const EndCriteria &endCriteria, const Array &initialGuess, Real &alpha, Real &beta, Real &omega)

static boost::shared_ptr< Problem > calibrate_r2 (const std::vector< Volatility > &r2, OptimizationMethod &method, Constraint &constraints, const EndCriteria &endCriteria, const Array &initialGuess, Real &alpha, Real &beta, Real &omega)

template<class InputIterator > static Real costFunction (InputIterator begin, InputIterator end, Real alpha, Real beta, Real omega)

Detailed Description

GARCH volatility model.

Volatilities are assumed to be expressed on an annual basis.

Member Enumeration Documentation

enum Mode

Enumerator

MomentMatchingGuess
The initial guess is a moment matching estimates for mean(r2), acf(0), and acf(1).
GammaGuess
The initial guess is an estimate of gamma based on the property: acf(i+1) = gamma*acf(i) for i > 1.
BestOfTwo
The best of the two above modes
DoubleOptimization
Double optimization

Member Function Documentation

static boost::shared_ptr<Problem> calibrate_r2 (Mode mode, const std::vector< Volatility > & r2, Real mean_r2, Real & alpha, Real & beta, Real & omega) [static]

calibrates GARCH for r^2

static boost::shared_ptr<Problem> calibrate_r2 (Mode mode, const std::vector< Volatility > & r2, Real mean_r2, OptimizationMethod & method, const EndCriteria & endCriteria, Real & alpha, Real & beta, Real & omega) [static]

calibrates GARCH for r^2 with user-defined optimization method and end criteria

static boost::shared_ptr<Problem> calibrate_r2 (const std::vector< Volatility > & r2, Real mean_r2, OptimizationMethod & method, const EndCriteria & endCriteria, const Array & initialGuess, Real & alpha, Real & beta, Real & omega) [static]

calibrates GARCH for r^2 with user-defined optimization method, end criteria and initial guess

static boost::shared_ptr<Problem> calibrate_r2 (const std::vector< Volatility > & r2, OptimizationMethod & method, const EndCriteria & endCriteria, const Array & initialGuess, Real & alpha, Real & beta, Real & omega) [static]

calibrates GARCH for r^2 with user-defined optimization method, end criteria and initial guess

static boost::shared_ptr<Problem> calibrate_r2 (const std::vector< Volatility > & r2, Real mean_r2, OptimizationMethod & method, Constraint & constraints, const EndCriteria & endCriteria, const Array & initialGuess, Real & alpha, Real & beta, Real & omega) [static]

calibrates GARCH for r^2 with user-defined optimization method, end criteria, constraints and initial guess

Author

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Referenced By

BestOfTwo(3), calibrate_r2(3), const_value_iterator(3), costFunction(3), DoubleOptimization(3), forecast(3), GammaGuess(3), Garch11(3), logLikelihood(3), ltVol(3), mode(3), Mode(3), MomentMatchingGuess(3), omega(3), time_series(3) and to_r2(3) are aliases of QuantLib_Garch11(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib