24#ifndef quantlib_gjrgarch_model_hpp
25#define quantlib_gjrgarch_model_hpp
63 class VolatilityConstraint;
std::vector< Parameter > arguments_
GJR-GARCH model for the stochastic volatility of an asset.
void generateArguments() override
ext::shared_ptr< GJRGARCHProcess > process() const
ext::shared_ptr< GJRGARCHProcess > process_
GJR-GARCH(1,1) stochastic process.
Abstract interest rate model class.