/usr/include/ql/models/volatility/garch.hpp is in libquantlib0-dev 1.1-2build1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Joseph Wang
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.
*/
/*! \file garch.hpp
\brief GARCH volatility model
*/
#ifndef quantlib_garch_volatility_model_hpp
#define quantlib_garch_volatility_model_hpp
#include <ql/volatilitymodel.hpp>
#include <vector>
namespace QuantLib {
//! GARCH volatility model
/*! Volatilities are assumed to be expressed on an annual basis.
*/
class Garch11 : public VolatilityCompositor {
private:
Real alpha_, beta_, gamma_, vl_;
public:
Garch11(Real a, Real b, Real vl) :
alpha_(a), beta_(b), vl_(vl) {gamma_ = 1 - a - b;};
Garch11(const TimeSeries<Volatility>& qs) {
calibrate(qs);
};
TimeSeries<Volatility>
calculate(const TimeSeries<Volatility>& quoteSeries);
TimeSeries<Volatility>
calculate(const TimeSeries<Volatility>& quoteSeries,
Real, Real, Real);
void calibrate(const TimeSeries<Volatility>& quoteSeries);
private:
Real costFunction(const TimeSeries<Volatility>& qs,
Real alpha, Real beta, Real omega);
};
}
#endif
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