Hi,
I'm reading the source code to try and understand the Garch class and learn how to implement it; learning lots about C++ I didn't know in the process.
In the basic constructor for the class (Garch11(Real a, Real b, Real vl)) there's the parameter vl which then translates into vl_ and itVol. What is this please? Is it Volume or Volatility? If it's volatility, where do I get this from please?
I appreciate this is possibly related to the underlying mathematics but I don't understand that too much either.
Also, are there any specific reasons, maths related or not, why the minimum datasize for the calibrate_r2 method is 4?
Thanks in advance.
Andrew
-------
Internet communications are not secure and therefore Andrew Leach does not accept legal responsibility for the contents of this message. The information contained in this email is private, personal and confidential and may be legally privileged. It is intended solely for the addressee. If you are not the intended recipient, any disclosure, copying, distribution or any action taken or omitted to be taken in reliance on it, is prohibited and may be unlawful. This email and any attachments have been automatically scanned for viruses prior to dispatch, but we make no warranty that they are free from computer viruses. You are advised to check all emails and attachments using your own anti virus software before opening or executing them.
------------------------------------------------------------------------------
Check out the vibrant tech community on one of the world's most
engaging tech sites, Slashdot.org!
http://sdm.link/slashdot_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
Locked
