Re: [Quantlib-dev] GJR-GARCH option pricing engine

[Yee M. C. <ym...@ya...>]

Hi Chris

   Thanks for your hint. I added the code to re-use
intermediate results in the analytic GJR-GARCH engine.

   I also fixed a bug in gjrgarchprocess. 

   Please update my previously sent files with these
five attached files

Attached files:
test-suite/gjrgarchmodel.cpp
ql/processes/gjrgarchprocess.hpp
ql/processes/gjrgarchprocess.cpp
ql/pricingengines/vanilla/analyticgjrgarchengine.hpp
ql/pricingengines/vanilla/analyticgjrgarchengine.cpp

Yee Man

--- Chris Kenyon <chr...@ya...> wrote:

> 
> Hi,
> 
> re: 
> "
>     I can speed it up quite a bit if I can re-use
> some
> intermediate results when some parameters are the
> same. But this requires me to introduce some data
> members to AnalyticGJRGARCHengine and assign values
> to
> them during calculate(). But calculate() is a const
> function, so I can't really do that. What do you
> think
> I should do? 
> "
> 
> If you need some local data, then declare it mutable
> (=never const),
> this overrides the const in calculate().  Use with
> care:
>
http://www.highprogrammer.com/alan/rants/mutable.html
> This is done elsewhere in QL.
> 
> Regards,
> Chris
> 
> >
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