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gjrgarchprocess.hpp
Langue: en
Version: 381840 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/processes/gjrgarchprocess.hpp -GJR-GARCH(1,1) stochastic process.
SYNOPSIS
#include <ql/stochasticprocess.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/quote.hpp>
Classes
class GJRGARCHProcess
Stochastic-volatility GJR-GARCH(1,1) process.
Detailed Description
GJR-GARCH(1,1) stochastic process.
Author
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