garch.hpp File Reference

GARCH volatility model. More...

#include <ql/volatilitymodel.hpp>
#include <ql/math/optimization/problem.hpp>
#include <ql/math/optimization/constraint.hpp>
#include <vector>

Include dependency graph for garch.hpp:

Classes
class	Garch11
	GARCH volatility model. More...

Namespaces
	QuantLib

Detailed Description

GARCH volatility model.