QuantLib_Garch11

Langue: en

Autres versions - même langue

Version: 381811 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::Garch11 -

GARCH volatility model.

SYNOPSIS


#include <ql/models/volatility/garch.hpp>

Inherits QuantLib::VolatilityCompositor.

Public Member Functions


Garch11 (Real a, Real b, Real vl)

Garch11 (const TimeSeries< Volatility > &qs)

TimeSeries< Volatility > calculate (const TimeSeries< Volatility > &quoteSeries)

TimeSeries< Volatility > calculate (const TimeSeries< Volatility > &quoteSeries, Real, Real, Real)

void calibrate (const TimeSeries< Volatility > &quoteSeries)

Detailed Description

GARCH volatility model.

Volatilities are assumed to be expressed on an annual basis.

Author

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