AnalyticGJRGARCHEngine Class Reference
GJR-GARCH(1,1) engine. More...
#include <ql/pricingengines/vanilla/analyticgjrgarchengine.hpp>
Inheritance diagram for AnalyticGJRGARCHEngine:

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.