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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Yee Man Chan
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.
*/
#include <ql/models/equity/gjrgarchmodel.hpp>
#include <ql/quotes/simplequote.hpp>
namespace QuantLib {
class GJRGARCHModel::VolatilityConstraint : public Constraint {
private:
class Impl : public Constraint::Impl {
public:
bool test(const Array& params) const {
const Real beta = params[2];
const Real gamma = params[3];
return (beta+gamma >= 0.0);
}
};
public:
VolatilityConstraint()
: Constraint(boost::shared_ptr<Constraint::Impl>(
new VolatilityConstraint::Impl)) {}
};
GJRGARCHModel::GJRGARCHModel(
const boost::shared_ptr<GJRGARCHProcess> & process)
: CalibratedModel(6), process_(process) {
arguments_[0] = ConstantParameter(process->omega(),
PositiveConstraint());
arguments_[1] = ConstantParameter(process->alpha(),
BoundaryConstraint( 0.0, 1.0));
arguments_[2] = ConstantParameter(process->beta(),
BoundaryConstraint( 0.0, 1.0));
arguments_[3] = ConstantParameter(process->gamma(),
BoundaryConstraint(-1.0, 1.0));
arguments_[4] = ConstantParameter(process->lambda(), NoConstraint());
arguments_[5] = ConstantParameter(process->v0(),
PositiveConstraint());
constraint_ = boost::shared_ptr<Constraint>(
new CompositeConstraint(*constraint_, VolatilityConstraint()));
generateArguments();
registerWith(process_->riskFreeRate());
registerWith(process_->dividendYield());
registerWith(process_->s0());
}
void GJRGARCHModel::generateArguments() {
process_.reset(new GJRGARCHProcess(process_->riskFreeRate(),
process_->dividendYield(),
process_->s0(),
v0(), omega(),
alpha(), beta(),
gamma(), lambda(),
process_->daysPerYear()));
}
}
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