QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
Classes | Namespaces
garch.hpp File Reference

GARCH volatility model. More...

#include <ql/volatilitymodel.hpp>
#include <ql/math/optimization/problem.hpp>
#include <ql/math/optimization/constraint.hpp>
#include <vector>

Go to the source code of this file.

Classes

class  Garch11
 GARCH volatility model. More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

GARCH volatility model.

Definition in file garch.hpp.