GJRGARCHProcess Class Reference
[Stochastic processes]
Stochastic-volatility GJR-GARCH(1,1) process.
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#include <ql/processes/gjrgarchprocess.hpp>
Inheritance diagram for GJRGARCHProcess:

Public Types | |
| enum | Discretization { PartialTruncation, FullTruncation, Reflection } |
Public Member Functions | |
| GJRGARCHProcess (const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > ÷ndYield, const Handle< Quote > &s0, Real v0, Real omega, Real alpha, Real beta, Real gamma, Real lambda, Real daysPerYear=252.0, Discretization d=FullTruncation) | |
| Size | size () const |
| returns the number of dimensions of the stochastic process | |
| Disposable< Array > | initialValues () const |
| returns the initial values of the state variables | |
| Disposable< Array > | drift (Time t, const Array &x) const |
returns the drift part of the equation, i.e., | |
| Disposable< Matrix > | diffusion (Time t, const Array &x) const |
returns the diffusion part of the equation, i.e. | |
| Disposable< Array > | apply (const Array &x0, const Array &dx) const |
| Disposable< Array > | evolve (Time t0, const Array &x0, Time dt, const Array &dw) const |
| Real | v0 () const |
| Real | lambda () const |
| Real | omega () const |
| Real | alpha () const |
| Real | beta () const |
| Real | gamma () const |
| Real | daysPerYear () const |
| const Handle< Quote > & | s0 () const |
|
const Handle < YieldTermStructure > & | dividendYield () const |
|
const Handle < YieldTermStructure > & | riskFreeRate () const |
| Time | time (const Date &) const |
Detailed Description
Stochastic-volatility GJR-GARCH(1,1) process.This class describes the stochastic volatility process governed by
Member Function Documentation
| Disposable<Array> apply | ( | const Array & | x0, | |
| const Array & | dx | |||
| ) | const [virtual] |
applies a change to the asset value. By default, it returns
.
Reimplemented from StochasticProcess.
| Disposable<Array> evolve | ( | Time | t0, | |
| const Array & | x0, | |||
| Time | dt, | |||
| const Array & | dw | |||
| ) | const [virtual] |
returns the asset value after a time interval
according to the given discretization. By default, it returns
where
is the expectation and
the standard deviation.
Reimplemented from StochasticProcess.
| Time time | ( | const Date & | ) | const [virtual] |
returns the time value corresponding to the given date in the reference system of the stochastic process.
- Note:
- As a number of processes might not need this functionality, a default implementation is given which raises an exception.
Reimplemented from StochasticProcess.