QuantLib_GarmanKlassAbstract man page

GarmanKlassAbstract — Garman-Klass volatility model.  


#include <ql/models/volatility/garmanklass.hpp>

Inherits LocalVolatilityEstimator< T >.

Inherited by GarmanKlassSigma4, GarmanKlassSigma5, GarmanKlassSimpleSigma, and ParkinsonSigma.

Public Member Functions

GarmanKlassAbstract (Real y)
TimeSeries< Volatility > calculate (const TimeSeries< IntervalPrice > &quoteSeries)

Protected Member Functions

virtual Real calculatePoint (const IntervalPrice &p)=0

Protected Attributes

Real yearFraction_

Detailed Description

Garman-Klass volatility model.

This class implements a concrete volatility model based on high low formulas using the method of Garman and Klass in their paper 'On the Estimation of the Security Price from Historical Data' at http://www.fea.com/resources/pdf/a_estimation_of_security_price.pdf

Volatilities are assumed to be expressed on an annual basis.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages calculatePoint(3), GarmanKlassAbstract(3) and yearFraction_(3) are aliases of QuantLib_GarmanKlassAbstract(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib