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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
<https://www.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 gjrgarchmodel.hpp
\brief GJR-GARCH model for the stochastic volatility of an asset
*/
#ifndef quantlib_gjrgarch_model_hpp
#define quantlib_gjrgarch_model_hpp
#include <ql/models/model.hpp>
#include <ql/processes/gjrgarchprocess.hpp>
namespace QuantLib {
//! GJR-GARCH model for the stochastic volatility of an asset
/*! References:
Glosten, L., Jagannathan, R., Runkle, D., 1993.
Relationship between the expected value and the volatility
of the nominal excess return on stocks. Journal of Finance
48, 1779-1801
\test calibration is not implemented for GJR-GARCH
*/
class GJRGARCHModel : public CalibratedModel {
public:
GJRGARCHModel(const ext::shared_ptr<GJRGARCHProcess>& process);
// variance mean reversion level multiplied by
// the proportion not accounted by alpha, beta and gamma
Real omega() const { return arguments_[0](0.0); }
// proportion attributed to the impact of all innovations
Real alpha() const { return arguments_[1](0.0); }
// proportion attributed to the impact of previous variance
Real beta() const { return arguments_[2](0.0); }
// proportion attributed to the impact of negative innovations
Real gamma() const { return arguments_[3](0.0); }
// market price of risk
Real lambda() const { return arguments_[4](0.0); }
// spot variance
Real v0() const { return arguments_[5](0.0); }
// underlying process
ext::shared_ptr<GJRGARCHProcess> process() const { return process_; }
class VolatilityConstraint;
protected:
void generateArguments() override;
ext::shared_ptr<GJRGARCHProcess> process_;
};
}
#endif
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