QuantLib / Patches / #55 GARCH calibration

#55 GARCH calibration

Status: closed-accepted

Owner: Luigi Ballabio

Labels: None

Priority: 5

Updated: 2012-11-13

Created: 2010-11-03

Creator: Slava Mazur

Private: No

Re-designed GARCH volatility model with calibration proposed. Calibration is based on two types of initial approximation and employs simplex optimization method as a default. An ability to provide a user defined optimization method, end criteria and initial guess are also included. More details and examples of use can be found in the attached QuantLib test suite unit.

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Slava Mazur - 2010-11-03

garch.hpp

garch.hpp

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Slava Mazur - 2010-11-03

garch.cpp

garch.cpp

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Slava Mazur - 2010-11-03

test-suite

garch.hpp

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Slava Mazur - 2010-11-03

test-suite

garch.cpp

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Slava Mazur - 2010-11-04

changes to volatilitymodel.hpp

volatilitymodel.hpp.diff

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Luigi Ballabio - 2012-11-13

assigned_to: nobody --> lballabio

status: open --> closed-accepted
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Luigi Ballabio - 2012-11-13

The patch was applied (with some modifications) to the code repository.
It will be included in next release.
Thank you.

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#55 GARCH calibration

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