analyticgjrgarchengine.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008 Yee Man Chan
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_analytic_gjrgarch_engine_hpp
#define quantlib_analytic_gjrgarch_engine_hpp
 
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/models/equity/gjrgarchmodel.hpp>
#include <ql/instruments/vanillaoption.hpp>
#include <ql/math/integrals/gaussianquadratures.hpp>
#include <complex>
 
namespace QuantLib {
 
 
    class AnalyticGJRGARCHEngine
        : public GenericModelEngine<GJRGARCHModel,
                                    VanillaOption::arguments,
                                    VanillaOption::results> {
      public:
        AnalyticGJRGARCHEngine(const ext::shared_ptr<GJRGARCHModel>& model);
        void calculate() const override;
        // call back for extended stochastic volatility
        // plus jump diffusion engines like bates model
      private:
// store parameters
    mutable bool init_;
    mutable Real h1_;
    mutable Real b0_;
    mutable Real b1_;
    mutable Real b2_;
    mutable Real b3_;
    mutable Real la_;
    mutable Real r_;
    mutable Size T_;
// intermediate constants determined by b1,b2,b3,la
    mutable Real m1_;
    mutable Real m2_;
    mutable Real m3_;
    mutable Real v1_;
    mutable Real v2_;
    mutable Real v3_;
    mutable Real z1_;
    mutable Real z2_;
    mutable Real x1_;
// statistical data for the GJR-GARCH process determined by
// h1,b0,b1,b2,b3,r,T
    mutable Real ex_; // mean
    mutable Real sigma_; // variance
    mutable Real k3_; // skewness
    mutable Real k4_; // kurtosis
    };
 
}
 
#endif