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QuantLib_Garch11
Langue: en
Version: 381811 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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 > "eSeries)
TimeSeries< Volatility > calculate (const TimeSeries< Volatility > "eSeries, Real, Real, Real)
void calibrate (const TimeSeries< Volatility > "eSeries)
Detailed Description
GARCH volatility model.
Volatilities are assumed to be expressed on an annual basis.
Author
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