GarmanKlassSigma6 Class Reference

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

Inheritance diagram for GarmanKlassSigma6:

Collaboration diagram for GarmanKlassSigma6:

Public Member Functions
	GarmanKlassSigma6 (Real y, Real marketOpenFraction)
Public Member Functions inherited from GarmanKlassOpenClose< GarmanKlassSigma4 >
	GarmanKlassOpenClose (Real y, Real marketOpenFraction, Real a)
TimeSeries< Volatility >	calculate (const TimeSeries< IntervalPrice > &quoteSeries) override
Public Member Functions inherited from GarmanKlassSigma4
	GarmanKlassSigma4 (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 GarmanKlassSigma4
Real	calculatePoint (const IntervalPrice &p) override
virtual Real	calculatePoint (const IntervalPrice &p)=0
Protected Attributes inherited from GarmanKlassOpenClose< GarmanKlassSigma4 >
Real	f_
Real	a_
Protected Attributes inherited from GarmanKlassAbstract
Real	yearFraction_

Detailed Description

Definition at line 170 of file garmanklass.hpp.

Constructor & Destructor Documentation

GarmanKlassSigma6()

GarmanKlassSigma6	(	Real	y,
		Real	marketOpenFraction
	)

Definition at line 173 of file garmanklass.hpp.