Garman-Klass volatility model. More...
#include <garmanklass.hpp>
Inheritance diagram for GarmanKlassAbstract:
Collaboration diagram for GarmanKlassAbstract:
Public Member Functions | |
| GarmanKlassAbstract (Real y) | |
| TimeSeries< Volatility > | calculate (const TimeSeries< IntervalPrice > "eSeries) override |
| Public Member Functions inherited from LocalVolatilityEstimator< IntervalPrice > | |
| virtual | ~LocalVolatilityEstimator ()=default |
| virtual TimeSeries< Volatility > | calculate (const TimeSeries< IntervalPrice > "eSeries)=0 |
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.
Definition at line 41 of file garmanklass.hpp.
Constructor & Destructor Documentation
◆ GarmanKlassAbstract()
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explicit |
Definition at line 47 of file garmanklass.hpp.
Member Function Documentation
◆ calculatePoint()
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protectedpure virtual |
Implemented in GarmanKlassSimpleSigma, ParkinsonSigma, GarmanKlassSigma4, and GarmanKlassSigma5.
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◆ calculate()
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overridevirtual |
Implements LocalVolatilityEstimator< IntervalPrice >.
Reimplemented in GarmanKlassOpenClose< GarmanKlassSimpleSigma >, GarmanKlassOpenClose< ParkinsonSigma >, and GarmanKlassOpenClose< GarmanKlassSigma4 >.
Definition at line 49 of file garmanklass.hpp.
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Member Data Documentation
◆ yearFraction_
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protected |
Definition at line 44 of file garmanklass.hpp.