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QuantLib_GarmanKlassAbstract
Langue: en
Version: 379181 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::GarmanKlassAbstract -Garman-Klass volatility model.
SYNOPSIS
#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 > "eSeries)
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
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