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Re: [Quantlib-dev] Garch11 in Quantlib (Luigi Ballabio)
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From: Slava M. <sm...@li...> - 2012-05-15 13:28:13
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Check it out: http://sourceforge.net/tracker/?func=detail&aid=3102452&group_id=12740&atid=312740 Submitted there on Nov 2010. Cheers, Slava Mazur Message: 5 Date: Mon, 14 May 2012 13:25:47 -0400 From: Yue Zhao <yzh...@gm...> Subject: [Quantlib-dev] Garch11 in Quantlib To: QuantLib Dev <Qua...@li...> Message-ID: <CAA...@ma...> Content-Type: text/plain; charset="iso-8859-1" Hi, My question might be silly. I am using the Garch11 class in QL, but I didn't see how to calibrate this model. Does anyone know how do calibration? Best Yue -------------- next part -------------- An HTML attachment was scrubbed... ------------------------------ Message: 6 Date: Tue, 15 May 2012 09:35:10 +0200 From: Luigi Ballabio <lui...@gm...> Subject: Re: [Quantlib-dev] Garch11 in Quantlib To: Yue Zhao <yzh...@gm...> Cc: QuantLib Dev <Qua...@li...> Message-ID: <CAJ...@ma...> Content-Type: text/plain; charset=ISO-8859-1 Hi, at this time there's no code for calibration in the library (the Garch11 class declares a calibrate method, but it's empty). If anyone wants to contribute it, I'll be glad to add it to the repository. Luigi On Mon, May 14, 2012 at 7:25 PM, Yue Zhao <yzh...@gm...> wrote: > My question might be silly. I am using the Garch11 class in QL, but I > didn't see how to calibrate this model. Does anyone know how do calibration? ------------------------------ ------------------------------------------------------------------------------ Live Security Virtual Conference Exclusive live event will cover all the ways today's security and threat landscape has changed and how IT managers can respond. Discussions will include endpoint security, mobile security and the latest in malware threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ ------------------------------ _______________________________________________ QuantLib-dev mailing list Qua...@li... https://lists.sourceforge.net/lists/listinfo/quantlib-dev End of QuantLib-dev Digest, Vol 72, Issue 5 ******************************************* |
