QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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garch.cpp File Reference
#include <ql/math/autocovariance.hpp>
#include <ql/math/optimization/leastsquare.hpp>
#include <ql/math/optimization/simplex.hpp>
#include <ql/models/volatility/garch.hpp>
#include <utility>

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Namespaces

namespace  QuantLib
 

Variable Documentation

◆ gammaLower_

Real gammaLower_
private

Definition at line 36 of file garch.cpp.

◆ gammaUpper_

Real gammaUpper_
private

Definition at line 36 of file garch.cpp.

◆ r2_

const std::vector<Volatility>& r2_
private

Definition at line 63 of file garch.cpp.

◆ A2_

Real A2_
private

Definition at line 153 of file garch.cpp.

◆ acf_

Array acf_
private

Definition at line 154 of file garch.cpp.

◆ idx_

std::vector<std::size_t> idx_
private

Definition at line 155 of file garch.cpp.