analyticgjrgarchengine.hpp File Reference

analytic GJR-GARCH-model engine More...

#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/models/equity/gjrgarchmodel.hpp>
#include <ql/instruments/vanillaoption.hpp>
#include <ql/math/integrals/gaussianquadratures.hpp>
#include <complex>

Go to the source code of this file.

Classes
class	AnalyticGJRGARCHEngine
	GJR-GARCH(1,1) engine. More...

Namespaces
namespace	QuantLib

Detailed Description

analytic GJR-GARCH-model engine

Definition in file analyticgjrgarchengine.hpp.