QuantLib_GarmanKlassAbstract (3) - Linux Manuals

QuantLib_GarmanKlassAbstract: Garman-Klass volatility model.


QuantLib::GarmanKlassAbstract - Garman-Klass volatility model.


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

Inherits QuantLib::LocalVolatilityEstimator<IntervalPrice>.

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.


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