QuantLib_GarmanKlassAbstract man page

GarmanKlassAbstract — Garman-Klass volatility model.  

Synopsis

#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.

Author

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).

Wed Aug 2 2017 Version 1.10 QuantLib