garch.cpp File Reference

#include <ql/math/autocovariance.hpp>
#include <ql/math/optimization/leastsquare.hpp>
#include <ql/math/optimization/simplex.hpp>
#include <ql/models/volatility/garch.hpp>
#include <utility>

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Namespaces
namespace	QuantLib

Variable Documentation

gammaLower_

Real gammaLower_

private

Definition at line 36 of file garch.cpp.

gammaUpper_

Real gammaUpper_

private

Definition at line 36 of file garch.cpp.

r2_

const std::vector<Volatility>& r2_

private

Definition at line 63 of file garch.cpp.

A2_

Real A2_

private

Definition at line 153 of file garch.cpp.

acf_

Array acf_

private

Definition at line 154 of file garch.cpp.

idx_

std::vector<std::size_t> idx_

private

Definition at line 155 of file garch.cpp.