gjrgarchmodel.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008 Yee Man Chan
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#include <ql/models/equity/gjrgarchmodel.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/shared_ptr.hpp>
 
namespace QuantLib {
 
    class GJRGARCHModel::VolatilityConstraint : public Constraint {
      private:
        class Impl final : public Constraint::Impl {
          public:
            bool test(const Array& params) const override {
                const Real beta  = params[2];
                const Real gamma = params[3];
 
                return (beta+gamma >= 0.0);
            }
        };
      public:
        VolatilityConstraint()
        : Constraint(ext::shared_ptr<Constraint::Impl>(
                                           new VolatilityConstraint::Impl)) {}
    };
 
    GJRGARCHModel::GJRGARCHModel(
                           const ext::shared_ptr<GJRGARCHProcess> & process)
    : CalibratedModel(6), process_(process) {
        arguments_[0] = ConstantParameter(process->omega(),
                                          PositiveConstraint());
        arguments_[1] = ConstantParameter(process->alpha(),
                                          BoundaryConstraint( 0.0, 1.0));
        arguments_[2] = ConstantParameter(process->beta(),
                                          BoundaryConstraint( 0.0, 1.0));
        arguments_[3] = ConstantParameter(process->gamma(),
                                          BoundaryConstraint(-1.0, 1.0));
        arguments_[4] = ConstantParameter(process->lambda(), NoConstraint());
        arguments_[5] = ConstantParameter(process->v0(),
                                          PositiveConstraint());
 
        constraint_ = ext::shared_ptr<Constraint>(
            new CompositeConstraint(*constraint_, VolatilityConstraint()));
 
        GJRGARCHModel::generateArguments();
 
        registerWith(process_->riskFreeRate());
        registerWith(process_->dividendYield());
        registerWith(process_->s0());
    }
 
    void GJRGARCHModel::generateArguments() {
        process_ = ext::make_shared<GJRGARCHProcess>(process_->riskFreeRate(),
                                           process_->dividendYield(),
                                           process_->s0(),
                                           v0(), omega(),
                                           alpha(), beta(),
                                           gamma(), lambda(),
                                           process_->daysPerYear());
    }
}