AnalyticGJRGARCHEngine (3) - Linux Manuals

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

Command to display AnalyticGJRGARCHEngine manual in Linux: $ man 3 AnalyticGJRGARCHEngine

NAME

QuantLib::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

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

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