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yearFraction_: Garman-Klass volatility model.
QuantLib::GarmanKlassAbstract - Garman-Klass volatility model.
Inherited by GarmanKlassSigma4, GarmanKlassSigma5, GarmanKlassSimpleSigma, and ParkinsonSigma.
Public Member Functions
Protected Member Functions
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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