ql/processes/gjrgarchprocess.hpp File Reference
GJR-GARCH(1,1) stochastic process. More...
#include <ql/stochasticprocess.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/quote.hpp>
Include dependency graph for gjrgarchprocess.hpp:

Classes | |
class | GJRGARCHProcess |
Stochastic-volatility GJR-GARCH(1,1) process. More... |
Detailed Description
GJR-GARCH(1,1) stochastic process.