ql/VolatilityModels/garch.hpp File Reference
Detailed Description
GARCH volatility model.
#include <ql/volatilitymodel.hpp>
#include <vector>
Include dependency graph for garch.hpp:

Namespaces | |
| namespace | QuantLib |
Classes | |
| class | Garch11 |
| GARCH volatility model. More... | |