Garch11 Class Reference

#include <ql/models/volatility/garch.hpp>

List of all members.


Detailed Description

GARCH volatility model.

Volatilities are assumed to be expressed on an annual basis.


Public Member Functions

 Garch11 (Real a, Real b, Real vl)
 Garch11 (const TimeSeries< Volatility > &qs)
TimeSeries< Volatility > calculate (const TimeSeries< Volatility > &quoteSeries)
TimeSeries< Volatility > calculate (const TimeSeries< Volatility > &quoteSeries, Real, Real, Real)
void calibrate (const TimeSeries< Volatility > &quoteSeries)