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Class AnalyticGJRGARCHEngine

GJR-GARCH(1,1) engine

References:

Jin-Chuan Duan, Genevieve Gauthier, Jean-Guy Simonato, Caroline Sasseville, 2006. Approximating the GJR-GARCH and EGARCH option pricing models analytically Journal of Computational Finance, Volume 9, Number 3, Spring 2006

test the correctness of the returned value is tested by reproducing results available in the Duan et al's 2006 paper.

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Properties

Private _T

_T: Real

_arguments

_arguments: Arguments

Private _b0

_b0: Real

Private _b1

_b1: Real

Private _b2

_b2: Real

Private _b3

_b3: Real

Private _ex

_ex: Real

Private _h1

_h1: Real

Private _init

_init: boolean

_isDisposed

_isDisposed: boolean = false

Private _k3

_k3: Real

Private _k4

_k4: Real

Private _la

_la: Real

Private _m1

_m1: Real

Private _m2

_m2: Real

Private _m3

_m3: Real

_model

_model: Handle<GJRGARCHModel>

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _r

_r: Real

_results

_results: Results

Private _sigma

_sigma: Real

Private _v1

_v1: Real

Private _v2

_v2: Real

_v3

_v3: Real

Private _x1

_x1: Real

Private _z1

_z1: Real

_z2

_z2: Real

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void

    • Returns void

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void

    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

Methods

calculate

  • calculate(): void

getArguments

getResults

init1

init2

reset

  • reset(): void

update

  • update(): void