ql/processes/gjrgarchprocess.hpp File Reference

GJR-GARCH(1,1) stochastic process. More...

Include dependency graph for gjrgarchprocess.hpp:

Classes

class  GJRGARCHProcess
 Stochastic-volatility GJR-GARCH(1,1) process. More...

Detailed Description

GJR-GARCH(1,1) stochastic process.