GJRGARCHProcess Class Reference
Stochastic-volatility GJR-GARCH(1,1) process. More...
#include <ql/processes/gjrgarchprocess.hpp>
Inheritance diagram for GJRGARCHProcess:

Public Types | |
enum | Discretization { PartialTruncation, FullTruncation, Reflection } |
Public Member Functions | |
GJRGARCHProcess (const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > ÷ndYield, const Handle< Quote > &s0, Real v0, Real omega, Real alpha, Real beta, Real gamma, Real lambda, Real daysPerYear=252.0, Discretization d=FullTruncation) | |
Size | size () const |
returns the number of dimensions of the stochastic process | |
Disposable< Array > | initialValues () const |
returns the initial values of the state variables | |
Disposable< Array > | drift (Time t, const Array &x) const |
returns the drift part of the equation, i.e., ![]() | |
Disposable< Matrix > | diffusion (Time t, const Array &x) const |
returns the diffusion part of the equation, i.e. ![]() | |
Disposable< Array > | apply (const Array &x0, const Array &dx) const |
Disposable< Array > | evolve (Time t0, const Array &x0, Time dt, const Array &dw) const |
Real | v0 () const |
Real | lambda () const |
Real | omega () const |
Real | alpha () const |
Real | beta () const |
Real | gamma () const |
Real | daysPerYear () const |
const Handle< Quote > & | s0 () const |
const Handle < YieldTermStructure > & | dividendYield () const |
const Handle < YieldTermStructure > & | riskFreeRate () const |
Time | time (const Date &) const |
Detailed Description
Stochastic-volatility GJR-GARCH(1,1) process.
This class describes the stochastic volatility process governed by
Member Function Documentation
Disposable<Array> apply | ( | const Array & | x0, |
const Array & | dx | ||
) | const [virtual] |
applies a change to the asset value. By default, it returns .
Reimplemented from StochasticProcess.
returns the asset value after a time interval according to the given discretization. By default, it returns
where is the expectation and
the standard deviation.
Reimplemented from StochasticProcess.
returns the time value corresponding to the given date in the reference system of the stochastic process.
- Note:
- As a number of processes might not need this functionality, a default implementation is given which raises an exception.
Reimplemented from StochasticProcess.