QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
AnalyticGJRGARCHEngine Class Reference

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 Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (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< GJRGARCHModelmodel_
 
- Protected Attributes inherited from GenericEngine< VanillaOption::arguments, VanillaOption::results >
VanillaOption::arguments arguments_
 
VanillaOption::results results_
 

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

\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.