Garch11 Class Reference

GARCH volatility model. More...

#include <ql/models/volatility/garch.hpp>

Inherits VolatilityCompositor.

Public Types
enum	Mode { MomentMatchingGuess, GammaGuess, BestOfTwo, DoubleOptimization }
typedef TimeSeries< Volatility >	time_series
typedef time_series::const_iterator	const_iterator
typedef time_series::const_value_iterator	const_value_iterator

Public Member Functions
Constructors
	Garch11 (Real a, Real b, Real vl)
	Garch11 (const time_series &qs, Mode mode=BestOfTwo)
Inspectors
Real	alpha () const
Real	beta () const
Real	omega () const
Real	ltVol () const
Real	logLikelihood () const
Mode	mode () const
VolatilityCompositor interface
time_series	calculate (const time_series &quoteSeries)
void	calibrate (const time_series &quoteSeries)

Additional interface
void	calibrate (const time_series &quoteSeries, OptimizationMethod &method, const EndCriteria &endCriteria)
void	calibrate (const time_series &quoteSeries, OptimizationMethod &method, const EndCriteria &endCriteria, const Array &initialGuess)
template<typename ForwardIterator >
void	calibrate (ForwardIterator begin, ForwardIterator end)
template<typename ForwardIterator >
void	calibrate (ForwardIterator begin, ForwardIterator end, OptimizationMethod &method, EndCriteria endCriteria)
template<typename ForwardIterator >
void	calibrate (ForwardIterator begin, ForwardIterator end, OptimizationMethod &method, EndCriteria endCriteria, const Array &initialGuess)
Real	forecast (Real r, Real sigma2) const
static time_series	calculate (const time_series &quoteSeries, Real alpha, Real beta, Real omega)
template<typename InputIterator >
static Real	to_r2 (InputIterator begin, InputIterator end, std::vector< Volatility > &r2)
static ext::shared_ptr< Problem >	calibrate_r2 (Mode mode, const std::vector< Volatility > &r2, Real mean_r2, Real &alpha, Real &beta, Real &omega)
static ext::shared_ptr< Problem >	calibrate_r2 (Mode mode, const std::vector< Volatility > &r2, Real mean_r2, OptimizationMethod &method, const EndCriteria &endCriteria, Real &alpha, Real &beta, Real &omega)
static ext::shared_ptr< Problem >	calibrate_r2 (const std::vector< Volatility > &r2, Real mean_r2, OptimizationMethod &method, const EndCriteria &endCriteria, const Array &initialGuess, Real &alpha, Real &beta, Real &omega)
static ext::shared_ptr< Problem >	calibrate_r2 (const std::vector< Volatility > &r2, OptimizationMethod &method, const EndCriteria &endCriteria, const Array &initialGuess, Real &alpha, Real &beta, Real &omega)
static ext::shared_ptr< Problem >	calibrate_r2 (const std::vector< Volatility > &r2, Real mean_r2, OptimizationMethod &method, Constraint &constraints, const EndCriteria &endCriteria, const Array &initialGuess, Real &alpha, Real &beta, Real &omega)
static ext::shared_ptr< Problem >	calibrate_r2 (const std::vector< Volatility > &r2, OptimizationMethod &method, Constraint &constraints, const EndCriteria &endCriteria, const Array &initialGuess, Real &alpha, Real &beta, Real &omega)
template<class InputIterator >
static Real	costFunction (InputIterator begin, InputIterator end, Real alpha, Real beta, Real omega)

Detailed Description

GARCH volatility model.

Volatilities are assumed to be expressed on an annual basis.

Member Enumeration Documentation

Mode

enum Mode

Enumerator
MomentMatchingGuess	The initial guess is a moment matching estimates for mean(r2), acf(0), and acf(1).
GammaGuess	The initial guess is an estimate of gamma based on the property: acf(i+1) = gamma*acf(i) for i > 1.
BestOfTwo	The best of the two above modes
DoubleOptimization	Double optimization

Member Function Documentation

calibrate_r2() [1/5]

static ext::shared_ptr<Problem> calibrate_r2 ( Mode  mode, const std::vector< Volatility > &  r2, Real  mean_r2, Real &  alpha, Real &  beta, Real &  omega  )

static

calibrates GARCH for r^2

calibrate_r2() [2/5]

static ext::shared_ptr<Problem> calibrate_r2 ( Mode  mode, const std::vector< Volatility > &  r2, Real  mean_r2, OptimizationMethod &  method, const EndCriteria &  endCriteria, Real &  alpha, Real &  beta, Real &  omega  )

static

calibrates GARCH for r^2 with user-defined optimization method and end criteria

calibrate_r2() [3/5]

static ext::shared_ptr<Problem> calibrate_r2 ( const std::vector< Volatility > &  r2, Real  mean_r2, OptimizationMethod &  method, const EndCriteria &  endCriteria, const Array &  initialGuess, Real &  alpha, Real &  beta, Real &  omega  )

static

calibrates GARCH for r^2 with user-defined optimization method, end criteria and initial guess

calibrate_r2() [4/5]

static ext::shared_ptr<Problem> calibrate_r2 ( const std::vector< Volatility > &  r2, OptimizationMethod &  method, const EndCriteria &  endCriteria, const Array &  initialGuess, Real &  alpha, Real &  beta, Real &  omega  )

static

calibrates GARCH for r^2 with user-defined optimization method, end criteria and initial guess

calibrate_r2() [5/5]

static ext::shared_ptr<Problem> calibrate_r2 ( const std::vector< Volatility > &  r2, Real  mean_r2, OptimizationMethod &  method, Constraint &  constraints, const EndCriteria &  endCriteria, const Array &  initialGuess, Real &  alpha, Real &  beta, Real &  omega  )

static

calibrates GARCH for r^2 with user-defined optimization method, end criteria, constraints and initial guess