GJR-GARCH(1,1) engine. More...

#include <ql/pricingengines/vanilla/analyticgjrgarchengine.hpp>

Inheritance diagram for AnalyticGJRGARCHEngine:

Collaboration diagram for AnalyticGJRGARCHEngine:

Public Member Functions
	AnalyticGJRGARCHEngine (const ext::shared_ptr< GJRGARCHModel > &model)

void	calculate () const override

Public Member Functions inherited from GenericModelEngine< GJRGARCHModel, VanillaOption::arguments, VanillaOption::results >
	GenericModelEngine (Handle< GJRGARCHModel > model=Handle< GJRGARCHModel >())

	GenericModelEngine (const ext::shared_ptr< GJRGARCHModel > &model)

Public Member Functions inherited from GenericEngine< ArgumentsType, ResultsType >
PricingEngine::arguments *	getArguments () const override

const PricingEngine::results *	getResults () const override

void	reset () override

void	update () override

Public Member Functions inherited from PricingEngine
	~PricingEngine () override=default

virtual arguments *	getArguments () const =0

virtual const results *	getResults () const =0

virtual void	reset ()=0

virtual void	calculate () const =0

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Private Attributes
bool	init_

Real	h1_

Real	b0_

Real	b1_

Real	b2_

Real	b3_

Real	la_

Real	r_

Size	T_

Real	m1_

Real	m2_

Real	m3_

Real	v1_

Real	v2_

Real	v3_

Real	z1_

Real	z2_

Real	x1_

Real	ex_

Real	sigma_

Real	k3_

Real	k4_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Attributes inherited from GenericModelEngine< GJRGARCHModel, VanillaOption::arguments, VanillaOption::results >
Handle< GJRGARCHModel >	model_

Protected Attributes inherited from GenericEngine< ArgumentsType, ResultsType >
ArgumentsType	arguments_

ResultsType	results_

Detailed Description

GJR-GARCH(1,1) engine.

References:

Jin-Chuan Duan, Genevieve Gauthier, Jean-Guy Simonato, Caroline Sasseville, 2006. Approximating the GJR-GARCH and EGARCH option pricing models analytically Journal of Computational Finance, Volume 9, Number 3, Spring 2006

\ingroup vanillaengines

\xrefitem test "Tests" "Test Suite" the correctness of the returned value is tested by
      reproducing results available in the Duan et al's
      2006 paper.

Definition at line 51 of file analyticgjrgarchengine.hpp.