garch.hpp File Reference

GARCH volatility model. More...

#include <ql/volatilitymodel.hpp>
#include <ql/math/optimization/problem.hpp>
#include <ql/math/optimization/constraint.hpp>
#include <vector>

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Classes
class	Garch11
	GARCH volatility model. More...

Namespaces
namespace	QuantLib

Detailed Description

GARCH volatility model.

Definition in file garch.hpp.