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Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
GJRGARCHModel Class Reference

GJR-GARCH model for the stochastic volatility of an asset. More...

#include <ql/models/equity/gjrgarchmodel.hpp>

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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< GJRGARCHProcessprocess () 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 &params, const std::vector< ext::shared_ptr< CalibrationHelper > > &)
 
const ext::shared_ptr< Constraint > & constraint () const
 
EndCriteria::Type endCriteria () const
 Returns end criteria result. More...
 
const ArrayproblemValues () const
 Returns the problem values. More...
 
Array params () const
 Returns array of arguments on which calibration is done. More...
 
virtual void setParams (const Array &params)
 
Integer functionEvaluation () const
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 

Protected Member Functions

void generateArguments () override
 
virtual void generateArguments ()
 

Protected Attributes

ext::shared_ptr< GJRGARCHProcessprocess_
 
- Protected Attributes inherited from CalibratedModel
std::vector< Parameterarguments_
 
ext::shared_ptr< Constraintconstraint_
 
EndCriteria::Type shortRateEndCriteria_ = EndCriteria::None
 
Array problemValues_
 
Integer functionEvaluation_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 

Detailed Description

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.

Constructor & Destructor Documentation

◆ GJRGARCHModel()

GJRGARCHModel ( const ext::shared_ptr< GJRGARCHProcess > &  process)

Definition at line 42 of file gjrgarchmodel.cpp.

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Member Function Documentation

◆ omega()

Real omega ( ) const

Definition at line 48 of file gjrgarchmodel.hpp.

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◆ alpha()

Real alpha ( ) const

Definition at line 50 of file gjrgarchmodel.hpp.

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◆ beta()

Real beta ( ) const

Definition at line 52 of file gjrgarchmodel.hpp.

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◆ gamma()

Real gamma ( ) const

Definition at line 54 of file gjrgarchmodel.hpp.

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◆ lambda()

Real lambda ( ) const

Definition at line 56 of file gjrgarchmodel.hpp.

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◆ v0()

Real v0 ( ) const

Definition at line 58 of file gjrgarchmodel.hpp.

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◆ process()

ext::shared_ptr< GJRGARCHProcess > process ( ) const

Definition at line 61 of file gjrgarchmodel.hpp.

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◆ generateArguments()

void generateArguments ( )
overrideprotectedvirtual

Reimplemented from CalibratedModel.

Definition at line 67 of file gjrgarchmodel.cpp.

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Member Data Documentation

◆ process_

ext::shared_ptr<GJRGARCHProcess> process_
protected

Definition at line 66 of file gjrgarchmodel.hpp.