QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
GJRGARCHModel Class Reference

GJR-GARCH model for the stochastic volatility of an asset. More...

#include <ql/models/equity/gjrgarchmodel.hpp>

+ Inheritance diagram for GJRGARCHModel:

Public Member Functions

 GJRGARCHModel (const boost::shared_ptr< GJRGARCHProcess > &process)
 
Real omega () const
 
Real alpha () const
 
Real beta () const
 
Real gamma () const
 
Real lambda () const
 
Real v0 () const
 
boost::shared_ptr< GJRGARCHProcessprocess () const
 
- Public Member Functions inherited from CalibratedModel
 CalibratedModel (Size nArguments)
 
void update ()
 
virtual void calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >())
 Calibrate to a set of market instruments (usually caps/swaptions) More...
 
Real value (const Array &params, const std::vector< boost::shared_ptr< CalibrationHelper > > &)
 
const boost::shared_ptr< Constraint > & constraint () const
 
EndCriteria::Type endCriteria () const
 Returns end criteria result.
 
const ArrayproblemValues () const
 Returns the problem values.
 
Disposable< Arrayparams () const
 Returns array of arguments on which calibration is done.
 
virtual void setParams (const Array &params)
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Protected Member Functions

void generateArguments ()
 

Protected Attributes

boost::shared_ptr< GJRGARCHProcessprocess_
 
- Protected Attributes inherited from CalibratedModel
std::vector< Parameterarguments_
 
boost::shared_ptr< Constraintconstraint_
 
EndCriteria::Type shortRateEndCriteria_
 
Array problemValues_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 

Detailed Description

GJR-GARCH model for the stochastic volatility of an asset.

References:

Glosten, L., Jagannathan, R., Runkle, D., 1993. Relationship between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance 48, 1779-1801

Tests:
calibration is not implemented for GJR-GARCH