QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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GARCH volatility model. More...
#include <ql/volatilitymodel.hpp>
#include <ql/math/optimization/problem.hpp>
#include <ql/math/optimization/constraint.hpp>
#include <vector>
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Classes | |
class | Garch11 |
GARCH volatility model. More... | |
Namespaces | |
namespace | QuantLib |
GARCH volatility model.
Definition in file garch.hpp.