QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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GJR-GARCH model for the stochastic volatility of an asset. More...
#include <ql/models/equity/gjrgarchmodel.hpp>
Public Member Functions | |
GJRGARCHModel (const ext::shared_ptr< GJRGARCHProcess > &process) | |
Real | omega () const |
Real | alpha () const |
Real | beta () const |
Real | gamma () const |
Real | lambda () const |
Real | v0 () const |
ext::shared_ptr< GJRGARCHProcess > | process () const |
Public Member Functions inherited from CalibratedModel | |
CalibratedModel (Size nArguments) | |
void | update () override |
virtual void | calibrate (const std::vector< ext::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >()) |
Calibrate to a set of market instruments (usually caps/swaptions) More... | |
Real | value (const Array ¶ms, const std::vector< ext::shared_ptr< CalibrationHelper > > &) |
const ext::shared_ptr< Constraint > & | constraint () const |
EndCriteria::Type | endCriteria () const |
Returns end criteria result. More... | |
const Array & | problemValues () const |
Returns the problem values. More... | |
Array | params () const |
Returns array of arguments on which calibration is done. More... | |
virtual void | setParams (const Array ¶ms) |
Integer | functionEvaluation () const |
Public Member Functions inherited from Observer | |
Observer ()=default | |
Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
virtual | ~Observer () |
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
void | registerWithObservables (const ext::shared_ptr< Observer > &) |
Size | unregisterWith (const ext::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | update ()=0 |
virtual void | deepUpdate () |
Public Member Functions inherited from Observable | |
Observable () | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
Observable (Observable &&)=delete | |
Observable & | operator= (Observable &&)=delete |
virtual | ~Observable ()=default |
void | notifyObservers () |
Protected Member Functions | |
void | generateArguments () override |
virtual void | generateArguments () |
Protected Attributes | |
ext::shared_ptr< GJRGARCHProcess > | process_ |
Protected Attributes inherited from CalibratedModel | |
std::vector< Parameter > | arguments_ |
ext::shared_ptr< Constraint > | constraint_ |
EndCriteria::Type | shortRateEndCriteria_ = EndCriteria::None |
Array | problemValues_ |
Integer | functionEvaluation_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
GJR-GARCH model for the stochastic volatility of an asset.
References:
Glosten, L., Jagannathan, R., Runkle, D., 1993. Relationship between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance 48, 1779-1801
\xrefitem test "Tests" "Test Suite" calibration is not implemented for GJR-GARCH
Definition at line 42 of file gjrgarchmodel.hpp.
GJRGARCHModel | ( | const ext::shared_ptr< GJRGARCHProcess > & | process | ) |
Real omega | ( | ) | const |
Real alpha | ( | ) | const |
Real beta | ( | ) | const |
Real gamma | ( | ) | const |
Real lambda | ( | ) | const |
Real v0 | ( | ) | const |
ext::shared_ptr< GJRGARCHProcess > process | ( | ) | const |
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overrideprotectedvirtual |
Reimplemented from CalibratedModel.
Definition at line 67 of file gjrgarchmodel.cpp.
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protected |
Definition at line 66 of file gjrgarchmodel.hpp.