25 class GJRGARCHModel::VolatilityConstraint :
public Constraint {
27 class Impl final :
public Constraint::Impl {
29 bool test(
const Array&
params)
const override {
37 VolatilityConstraint()
39 new VolatilityConstraint::Impl)) {}
43 const ext::shared_ptr<GJRGARCHProcess> & process)
Constraint imposing all arguments to be in [low,high]
Array params() const
Returns array of arguments on which calibration is done.
ext::shared_ptr< Constraint > constraint_
std::vector< Parameter > arguments_
Constraint enforcing both given sub-constraints
Standard constant parameter .
Constraint(ext::shared_ptr< Impl > impl=ext::shared_ptr< Impl >())
void generateArguments() override
ext::shared_ptr< GJRGARCHProcess > process() const
GJRGARCHModel(const ext::shared_ptr< GJRGARCHProcess > &process)
ext::shared_ptr< GJRGARCHProcess > process_
Stochastic-volatility GJR-GARCH(1,1) process.
std::pair< iterator, bool > registerWith(const ext::shared_ptr< Observable > &)
Constraint imposing positivity to all arguments
GJR-GARCH model for the stochastic volatility of an asset.