GARCH volatility model. More...

#include <garch.hpp>

Inheritance diagram for Garch11:

Collaboration diagram for Garch11:

Public Types
enum	Mode { MomentMatchingGuess , GammaGuess , BestOfTwo , DoubleOptimization }

typedef TimeSeries< Volatility >	time_series

typedef time_series::const_iterator	const_iterator

Public Types inherited from VolatilityCompositor
typedef TimeSeries< Volatility >	time_series

Public Member Functions
Constructors
	Garch11 (Real a, Real b, Real vl)

	Garch11 (const time_series &qs, Mode mode=BestOfTwo)

Inspectors
Real	alpha () const

Real	beta () const

Real	omega () const

Real	ltVol () const

Real	logLikelihood () const

Mode	mode () const

VolatilityCompositor interface
time_series	calculate (const time_series &quoteSeries) override

void	calibrate (const time_series &quoteSeries) override

Public Member Functions inherited from VolatilityCompositor
virtual	~VolatilityCompositor ()=default

virtual time_series	calculate (const time_series &volatilitySeries)=0

virtual void	calibrate (const time_series &volatilitySeries)=0

Public Attributes
QL_DEPRECATED_DISABLE_WARNING typedef time_series::const_value_iterator	const_value_iterator

Additional interface
Real	alpha_

Real	beta_

Real	gamma_

Real	vl_

Real	logLikelihood_

Mode	mode_

void	calibrate (const time_series &quoteSeries, OptimizationMethod &method, const EndCriteria &endCriteria)

void	calibrate (const time_series &quoteSeries, OptimizationMethod &method, const EndCriteria &endCriteria, const Array &initialGuess)

template<typename ForwardIterator >
void	calibrate (ForwardIterator begin, ForwardIterator end)

template<typename ForwardIterator >
void	calibrate (ForwardIterator begin, ForwardIterator end, OptimizationMethod &method, EndCriteria endCriteria)

template<typename ForwardIterator >
void	calibrate (ForwardIterator begin, ForwardIterator end, OptimizationMethod &method, EndCriteria endCriteria, const Array &initialGuess)

Real	forecast (Real r, Real sigma2) const

static time_series	calculate (const time_series &quoteSeries, Real alpha, Real beta, Real omega)

template<typename InputIterator >
static Real	to_r2 (InputIterator begin, InputIterator end, std::vector< Volatility > &r2)

static ext::shared_ptr< Problem >	calibrate_r2 (Mode mode, const std::vector< Volatility > &r2, Real mean_r2, Real &alpha, Real &beta, Real &omega)

static ext::shared_ptr< Problem >	calibrate_r2 (Mode mode, const std::vector< Volatility > &r2, Real mean_r2, OptimizationMethod &method, const EndCriteria &endCriteria, Real &alpha, Real &beta, Real &omega)

static ext::shared_ptr< Problem >	calibrate_r2 (const std::vector< Volatility > &r2, Real mean_r2, OptimizationMethod &method, const EndCriteria &endCriteria, const Array &initialGuess, Real &alpha, Real &beta, Real &omega)

static ext::shared_ptr< Problem >	calibrate_r2 (const std::vector< Volatility > &r2, OptimizationMethod &method, const EndCriteria &endCriteria, const Array &initialGuess, Real &alpha, Real &beta, Real &omega)

static ext::shared_ptr< Problem >	calibrate_r2 (const std::vector< Volatility > &r2, Real mean_r2, OptimizationMethod &method, Constraint &constraints, const EndCriteria &endCriteria, const Array &initialGuess, Real &alpha, Real &beta, Real &omega)

static ext::shared_ptr< Problem >	calibrate_r2 (const std::vector< Volatility > &r2, OptimizationMethod &method, Constraint &constraints, const EndCriteria &endCriteria, const Array &initialGuess, Real &alpha, Real &beta, Real &omega)

template<class InputIterator >
static Real	costFunction (InputIterator begin, InputIterator end, Real alpha, Real beta, Real omega)

template<class InputIterator >
Real	costFunction (InputIterator begin, InputIterator end) const

Detailed Description

GARCH volatility model.

Volatilities are assumed to be expressed on an annual basis.

Definition at line 38 of file garch.hpp.

Member Typedef Documentation

◆ time_series

typedef TimeSeries<Volatility> time_series

Definition at line 40 of file garch.hpp.

◆ const_iterator

typedef time_series::const_iterator const_iterator

Deprecated:: Use auto or time_series::const_iterator instead. Deprecated in version 1.31.

Definition at line 46 of file garch.hpp.

Member Enumeration Documentation

◆ Mode

enum Mode

Enumerator
MomentMatchingGuess	The initial guess is a moment matching estimates for mean(r2), acf(0), and acf(1).
GammaGuess	The initial guess is an estimate of gamma based on the property: acf(i+1) = gamma*acf(i) for i > 1.
BestOfTwo	The best of the two above modes
DoubleOptimization	Double optimization

Definition at line 59 of file garch.hpp.

Constructor & Destructor Documentation

◆ Garch11() [1/2]

Garch11	(	Real	a,
		Real	b,
		Real	vl
	)

Definition at line 73 of file garch.hpp.

◆ Garch11() [2/2]

Garch11	(	const time_series &	qs,
		Mode	mode = `BestOfTwo`
	)

Definition at line 77 of file garch.hpp.

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Member Function Documentation

◆ alpha()

Real alpha ( ) const

Definition at line 85 of file garch.hpp.

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◆ beta()

Real beta ( ) const

Definition at line 86 of file garch.hpp.

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◆ omega()

Real omega ( ) const

Definition at line 87 of file garch.hpp.

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◆ ltVol()

Real ltVol ( ) const

Definition at line 88 of file garch.hpp.

◆ logLikelihood()

Real logLikelihood ( ) const

Definition at line 89 of file garch.hpp.

◆ mode()

Mode mode ( ) const

Definition at line 90 of file garch.hpp.

◆ calculate() [1/2]

time_series calculate ( const time_series & quoteSeries )

overridevirtual

Implements VolatilityCompositor.

Definition at line 95 of file garch.hpp.

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◆ calibrate() [1/6]

void calibrate ( const time_series & quoteSeries )

overridevirtual

Implements VolatilityCompositor.

Definition at line 98 of file garch.hpp.

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◆ calculate() [2/2]

Garch11::time_series calculate	(	const time_series &	quoteSeries,
		Real	alpha,
		Real	beta,
		Real	omega
	)

static

Definition at line 374 of file garch.cpp.

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◆ calibrate() [2/6]

void calibrate	(	const time_series &	quoteSeries,
		OptimizationMethod &	method,
		const EndCriteria &	endCriteria
	)

Definition at line 109 of file garch.hpp.

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◆ calibrate() [3/6]

void calibrate	(	const time_series &	quoteSeries,
		OptimizationMethod &	method,
		const EndCriteria &	endCriteria,
		const Array &	initialGuess
	)

Definition at line 117 of file garch.hpp.

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◆ calibrate() [4/6]

void calibrate	(	ForwardIterator	begin,
		ForwardIterator	end
	)

Definition at line 127 of file garch.hpp.

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◆ calibrate() [5/6]

void calibrate	(	ForwardIterator	begin,
		ForwardIterator	end,
		OptimizationMethod &	method,
		EndCriteria	endCriteria
	)

Definition at line 139 of file garch.hpp.

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◆ calibrate() [6/6]

void calibrate	(	ForwardIterator	begin,
		ForwardIterator	end,
		OptimizationMethod &	method,
		EndCriteria	endCriteria,
		const Array &	initialGuess
	)

Definition at line 154 of file garch.hpp.

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◆ forecast()

Real forecast	(	Real	r,
		Real	sigma2
	)		const

Definition at line 169 of file garch.hpp.

◆ to_r2()

static Real to_r2	(	InputIterator	begin,
		InputIterator	end,
		std::vector< Volatility > &	r2
	)

static

Definition at line 175 of file garch.hpp.

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◆ calibrate_r2() [1/6]

ext::shared_ptr< Problem > calibrate_r2	(	Mode	mode,
		const std::vector< Volatility > &	r2,
		Real	mean_r2,
		Real &	alpha,
		Real &	beta,
		Real &	omega
	)

static

calibrates GARCH for r^2

Definition at line 393 of file garch.cpp.

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◆ calibrate_r2() [2/6]

ext::shared_ptr< Problem > calibrate_r2	(	Mode	mode,
		const std::vector< Volatility > &	r2,
		Real	mean_r2,
		OptimizationMethod &	method,
		const EndCriteria &	endCriteria,
		Real &	alpha,
		Real &	beta,
		Real &	omega
	)

static

calibrates GARCH for r^2 with user-defined optimization method and end criteria

Definition at line 402 of file garch.cpp.

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◆ calibrate_r2() [3/6]

ext::shared_ptr< Problem > calibrate_r2	(	const std::vector< Volatility > &	r2,
		Real	mean_r2,
		OptimizationMethod &	method,
		const EndCriteria &	endCriteria,
		const Array &	initialGuess,
		Real &	alpha,
		Real &	beta,
		Real &	omega
	)

static

calibrates GARCH for r^2 with user-defined optimization method, end criteria and initial guess

Definition at line 512 of file garch.cpp.

◆ calibrate_r2() [4/6]

ext::shared_ptr< Problem > calibrate_r2	(	const std::vector< Volatility > &	r2,
		OptimizationMethod &	method,
		const EndCriteria &	endCriteria,
		const Array &	initialGuess,
		Real &	alpha,
		Real &	beta,
		Real &	omega
	)

static

calibrates GARCH for r^2 with user-defined optimization method, end criteria and initial guess

Definition at line 502 of file garch.cpp.

◆ calibrate_r2() [5/6]

ext::shared_ptr< Problem > calibrate_r2	(	const std::vector< Volatility > &	r2,
		Real	mean_r2,
		OptimizationMethod &	method,
		Constraint &	constraints,
		const EndCriteria &	endCriteria,
		const Array &	initialGuess,
		Real &	alpha,
		Real &	beta,
		Real &	omega
	)

static

calibrates GARCH for r^2 with user-defined optimization method, end criteria, constraints and initial guess

Definition at line 544 of file garch.cpp.

◆ calibrate_r2() [6/6]

ext::shared_ptr< Problem > calibrate_r2	(	const std::vector< Volatility > &	r2,
		OptimizationMethod &	method,
		Constraint &	constraints,
		const EndCriteria &	endCriteria,
		const Array &	initialGuess,
		Real &	alpha,
		Real &	beta,
		Real &	omega
	)

static

Definition at line 525 of file garch.cpp.

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◆ costFunction() [1/2]

static Real costFunction	(	InputIterator	begin,
		InputIterator	end,
		Real	alpha,
		Real	beta,
		Real	omega
	)

static

Definition at line 255 of file garch.hpp.

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◆ costFunction() [2/2]

Real costFunction	(	InputIterator	begin,
		InputIterator	end
	)		const

private

Definition at line 274 of file garch.hpp.

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Member Data Documentation

◆ const_value_iterator

QL_DEPRECATED_DISABLE_WARNING typedef time_series::const_value_iterator const_value_iterator

Deprecated:: If needed, use auto or time_series::const_value_iterator. Prefer time_series::const_iterator instead. Deprecated in version 1.31.

Definition at line 55 of file garch.hpp.

◆ alpha_

Real alpha_

private

Definition at line 269 of file garch.hpp.

◆ beta_

Real beta_

private

Definition at line 269 of file garch.hpp.

◆ gamma_

Real gamma_

private

Definition at line 269 of file garch.hpp.

◆ vl_

Real vl_

private

Definition at line 269 of file garch.hpp.

◆ logLikelihood_

Real logLikelihood_

private

Definition at line 270 of file garch.hpp.

◆ mode_

Mode mode_

private

Definition at line 271 of file garch.hpp.

Public Types

Public Member Functions

Public Attributes

Additional interface

Detailed Description

Member Typedef Documentation

◆ time_series

◆ const_iterator

Member Enumeration Documentation

◆ Mode

Constructor & Destructor Documentation

◆ Garch11() [1/2]

◆ Garch11() [2/2]

Member Function Documentation

◆ alpha()

◆ beta()

◆ omega()

◆ ltVol()

◆ logLikelihood()

◆ mode()

◆ calculate() [1/2]

◆ calibrate() [1/6]

◆ calculate() [2/2]

◆ calibrate() [2/6]

◆ calibrate() [3/6]

◆ calibrate() [4/6]

◆ calibrate() [5/6]

◆ calibrate() [6/6]

◆ forecast()

◆ to_r2()

◆ calibrate_r2() [1/6]

◆ calibrate_r2() [2/6]

◆ calibrate_r2() [3/6]

◆ calibrate_r2() [4/6]

◆ calibrate_r2() [5/6]

◆ calibrate_r2() [6/6]

◆ costFunction() [1/2]

◆ costFunction() [2/2]

Member Data Documentation

◆ const_value_iterator

◆ alpha_

◆ beta_

◆ gamma_

◆ vl_

◆ logLikelihood_

◆ mode_