ql/pricingengines/vanilla/analyticgjrgarchengine.hpp File Reference

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>
Include dependency graph for analyticgjrgarchengine.hpp:

Classes

class  AnalyticGJRGARCHEngine
 GJR-GARCH(1,1) engine. More...

Detailed Description

analytic GJR-GARCH-model engine