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

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

Any updates to the status of my GJR-GARCH
contribution? I haven't heard anything for a week. 

Thanks
Yee Man

--- Yee Man Chan <ym...@ya...> wrote:

> 
> 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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> 
> 
>      
>
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