analyticgjrgarchengine.hpp File Reference

analytic GJR-GARCH-model engine More...

Include dependency graph for analyticgjrgarchengine.hpp:

Classes

class  AnalyticGJRGARCHEngine
 GJR-GARCH(1,1) engine. More...
 

Namespaces

 QuantLib
 

Detailed Description

analytic GJR-GARCH-model engine