AnalyticGJRGARCHEngine Class Reference
[Vanilla option engines]

GJR-GARCH(1,1) engine. More...

#include <ql/pricingengines/vanilla/analyticgjrgarchengine.hpp>

Inheritance diagram for AnalyticGJRGARCHEngine:

List of all members.

Public Member Functions

 AnalyticGJRGARCHEngine (const boost::shared_ptr< GJRGARCHModel > &model)
void calculate () const


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

Tests:
the correctness of the returned value is tested by reproducing results available in the Duan et al's 2006 paper.