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