ql/models/equity/gjrgarchmodel.hpp File Reference

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

#include <ql/models/model.hpp>
#include <ql/processes/gjrgarchprocess.hpp>

Include dependency graph for gjrgarchmodel.hpp:


Classes

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

Detailed Description

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