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.