ql/models/equity/gjrgarchmodel.hpp File Reference
GJR-GARCH model for the stochastic volatility of an asset. More...
#include <ql/models/model.hpp>
#include <ql/processes/gjrgarchprocess.hpp>
Include dependency graph for gjrgarchmodel.hpp:

Classes | |
class | GJRGARCHModel |
GJR-GARCH model for the stochastic volatility of an asset. More... |
Detailed Description
GJR-GARCH model for the stochastic volatility of an asset.