QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Protected Attributes | List of all members
GarmanKlassOpenClose< T > Class Template Reference

#include <garmanklass.hpp>

+ Inheritance diagram for GarmanKlassOpenClose< T >:
+ Collaboration diagram for GarmanKlassOpenClose< T >:

Public Member Functions

 GarmanKlassOpenClose (Real y, Real marketOpenFraction, Real a)
 
TimeSeries< Volatilitycalculate (const TimeSeries< IntervalPrice > &quoteSeries) override
 

Protected Attributes

Real f_
 
Real a_
 

Detailed Description

template<class T>
class QuantLib::GarmanKlassOpenClose< T >

Definition at line 78 of file garmanklass.hpp.

Constructor & Destructor Documentation

◆ GarmanKlassOpenClose()

GarmanKlassOpenClose ( Real  y,
Real  marketOpenFraction,
Real  a 
)

Definition at line 83 of file garmanklass.hpp.

Member Function Documentation

◆ calculate()

TimeSeries< Volatility > calculate ( const TimeSeries< IntervalPrice > &  quoteSeries)
override

Definition at line 86 of file garmanklass.hpp.

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Member Data Documentation

◆ f_

Real f_
protected

Definition at line 80 of file garmanklass.hpp.

◆ a_

Real a_
protected

Definition at line 81 of file garmanklass.hpp.