Re: GJR-GARCH option pricing engine

Posted by Yee Man Chan on Mar 29, 2008; 12:56am
URL: http://quantlib.414.s1.nabble.com/GJR-GARCH-option-pricing-engine-tp11799p11801.html


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 <[hidden email]> 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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