GJR-GARCH(1,1) engine. More...
#include <ql/pricingengines/vanilla/analyticgjrgarchengine.hpp>
 Inheritance diagram for AnalyticGJRGARCHEngine:
 Inheritance diagram for AnalyticGJRGARCHEngine:| Public Member Functions | |
| AnalyticGJRGARCHEngine (const boost::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 boost::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 &) | |
| 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 boost::shared_ptr< Observable > &) | 
| void | registerWithObservables (const boost::shared_ptr< Observer > &) | 
| Size | unregisterWith (const boost::shared_ptr< Observable > &) | 
| void | unregisterWithAll () | 
| virtual void | deepUpdate () | 
| Additional Inherited Members | |
|  Public Types inherited from Observer | |
| typedef std::set< boost::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