GJR-GARCH model for the stochastic volatility of an asset. More...
#include <ql/models/equity/gjrgarchmodel.hpp>
Inheritance diagram for GJRGARCHModel:Public Member Functions | |
| GJRGARCHModel (const boost::shared_ptr< GJRGARCHProcess > &process) | |
| Real | omega () const |
| Real | alpha () const |
| Real | beta () const |
| Real | gamma () const |
| Real | lambda () const |
| Real | v0 () const |
| boost::shared_ptr< GJRGARCHProcess > | process () const |
Public Member Functions inherited from CalibratedModel | |
| CalibratedModel (Size nArguments) | |
| void | update () |
| virtual void | calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >()) |
| Calibrate to a set of market instruments (usually caps/swaptions) More... | |
| Real | value (const Array ¶ms, const std::vector< boost::shared_ptr< CalibrationHelper > > &) |
| const boost::shared_ptr< Constraint > & | constraint () const |
| EndCriteria::Type | endCriteria () const |
| Returns end criteria result. | |
| const Array & | problemValues () const |
| Returns the problem values. | |
| Disposable< Array > | params () const |
| Returns array of arguments on which calibration is done. | |
| virtual void | setParams (const Array ¶ms) |
| Integer | functionEvaluation () const |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Protected Member Functions | |
| void | generateArguments () |
Protected Attributes | |
| boost::shared_ptr< GJRGARCHProcess > | process_ |
Protected Attributes inherited from CalibratedModel | |
| std::vector< Parameter > | arguments_ |
| boost::shared_ptr< Constraint > | constraint_ |
| EndCriteria::Type | shortRateEndCriteria_ |
| Array | problemValues_ |
| Integer | functionEvaluation_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
GJR-GARCH model for the stochastic volatility of an asset.
References:
Glosten, L., Jagannathan, R., Runkle, D., 1993. Relationship between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance 48, 1779-1801