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Re: GJR-GARCH option pricing engine

Posted by Yee Man Chan on Apr 04, 2008; 7:04pm
URL: http://quantlib.414.s1.nabble.com/GJR-GARCH-option-pricing-engine-tp11799p11802.html


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

Thanks
Yee Man

--- Yee Man Chan <[hidden email]> 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 <[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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>
>      
>
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