GarmanKlassSigma3 Class Reference

#include <ql/models/volatility/garmanklass.hpp>

Inheritance diagram for GarmanKlassSigma3:

Collaboration diagram for GarmanKlassSigma3:

Public Member Functions
	GarmanKlassSigma3 (Real y, Real marketOpenFraction)
Public Member Functions inherited from GarmanKlassOpenClose< ParkinsonSigma >
	GarmanKlassOpenClose (Real y, Real marketOpenFraction, Real a)
TimeSeries< Volatility >	calculate (const TimeSeries< IntervalPrice > &quoteSeries) override
Public Member Functions inherited from ParkinsonSigma
	ParkinsonSigma (Real y)
Public Member Functions inherited from GarmanKlassAbstract
	GarmanKlassAbstract (Real y)
TimeSeries< Volatility >	calculate (const TimeSeries< IntervalPrice > &quoteSeries) override
Public Member Functions inherited from LocalVolatilityEstimator< IntervalPrice >
virtual	~LocalVolatilityEstimator ()=default
virtual TimeSeries< Volatility >	calculate (const TimeSeries< IntervalPrice > &quoteSeries)=0

Additional Inherited Members
Protected Member Functions inherited from ParkinsonSigma
Real	calculatePoint (const IntervalPrice &p) override
virtual Real	calculatePoint (const IntervalPrice &p)=0
Protected Attributes inherited from GarmanKlassOpenClose< ParkinsonSigma >
Real	f_
Real	a_
Protected Attributes inherited from GarmanKlassAbstract
Real	yearFraction_

Detailed Description

Definition at line 131 of file garmanklass.hpp.

Constructor & Destructor Documentation

GarmanKlassSigma3()

GarmanKlassSigma3	(	Real	y,
		Real	marketOpenFraction
	)

Definition at line 134 of file garmanklass.hpp.