GJR-GARCH(1,1) engine. More...
#include <ql/pricingengines/vanilla/analyticgjrgarchengine.hpp>
Inheritance diagram for AnalyticGJRGARCHEngine:Public Member Functions | |
| AnalyticGJRGARCHEngine (const ext::shared_ptr< GJRGARCHModel > &model) | |
| void | calculate () const |
Public Member Functions inherited from GenericModelEngine< GJRGARCHModel, VanillaOption::arguments, VanillaOption::results > | |
| GenericModelEngine (const Handle< GJRGARCHModel > &model=Handle< GJRGARCHModel >()) | |
| GenericModelEngine (const ext::shared_ptr< GJRGARCHModel > &model) | |
Public Member Functions inherited from GenericEngine< VanillaOption::arguments, VanillaOption::results > | |
| PricingEngine::arguments * | getArguments () const |
| const PricingEngine::results * | getResults () const |
| void | reset () |
| void | update () |
Public Member Functions inherited from PricingEngine | |
| virtual arguments * | getArguments () const =0 |
| virtual const results * | getResults () const =0 |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Attributes inherited from GenericModelEngine< GJRGARCHModel, VanillaOption::arguments, VanillaOption::results > | |
| Handle< GJRGARCHModel > | model_ |
Protected Attributes inherited from GenericEngine< VanillaOption::arguments, VanillaOption::results > | |
| VanillaOption::arguments | arguments_ |
| VanillaOption::results | results_ |
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
\ingroup vanillaengines
\xrefitem test "Tests" "Test Suite" the correctness of the returned value is tested by
reproducing results available in the Duan et al's
2006 paper.