calculatePoint (3) - Linux Manuals

calculatePoint: 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

Volatilities are assumed to be expressed on an annual basis.


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