ql/pricingengines/vanilla/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...

Detailed Description

analytic GJR-GARCH-model engine