Re: GJR-GARCH option pricing engine

Posted by Luigi Ballabio on Mar 14, 2008; 8:48am
URL: http://quantlib.414.s1.nabble.com/GJR-GARCH-option-pricing-engine-tp11799p11809.html

On Thu, 2008-03-13 at 10:08 -0700, Yee Man Chan wrote:
> > It would be nice to have a test case exercising your
> > process. May you write one?
> >
>
> Of course I am going to write a test case.

Ok, thanks.

Luigi

P.S. I never went to Stanford...


--

Hofstadter's Law:
It always takes longer than you expect, even when you take
Hofstadter's Law into account.



-------------------------------------------------------------------------
This SF.net email is sponsored by: Microsoft
Defy all challenges. Microsoft(R) Visual Studio 2008.
http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev