gjrgarchprocess.hpp File Reference

GJR-GARCH(1,1) stochastic process. More...

#include <ql/stochasticprocess.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/quote.hpp>

Go to the source code of this file.

Classes
class	GJRGARCHProcess
	Stochastic-volatility GJR-GARCH(1,1) process. More...

Namespaces
namespace	QuantLib

Detailed Description

GJR-GARCH(1,1) stochastic process.

Definition in file gjrgarchprocess.hpp.