analytic GJR-GARCH-model engine More...
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/models/equity/gjrgarchmodel.hpp>
#include <ql/instruments/vanillaoption.hpp>
#include <ql/math/integrals/gaussianquadratures.hpp>
#include <complex>
Classes | |
class | AnalyticGJRGARCHEngine |
GJR-GARCH(1,1) engine. More... |
analytic GJR-GARCH-model engine