QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | List of all members
GarmanKlassSigma1 Class Reference

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

+ Inheritance diagram for GarmanKlassSigma1:
+ Collaboration diagram for GarmanKlassSigma1:

Public Member Functions

 GarmanKlassSigma1 (Real y, Real marketOpenFraction)
 
- Public Member Functions inherited from GarmanKlassOpenClose< GarmanKlassSimpleSigma >
 GarmanKlassOpenClose (Real y, Real marketOpenFraction, Real a)
 
TimeSeries< Volatilitycalculate (const TimeSeries< IntervalPrice > &quoteSeries) override
 
- Public Member Functions inherited from GarmanKlassSimpleSigma
 GarmanKlassSimpleSigma (Real y)
 
- Public Member Functions inherited from GarmanKlassAbstract
 GarmanKlassAbstract (Real y)
 
TimeSeries< Volatilitycalculate (const TimeSeries< IntervalPrice > &quoteSeries) override
 
- Public Member Functions inherited from LocalVolatilityEstimator< IntervalPrice >
virtual ~LocalVolatilityEstimator ()=default
 
virtual TimeSeries< Volatilitycalculate (const TimeSeries< IntervalPrice > &quoteSeries)=0
 

Additional Inherited Members

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

Detailed Description

Definition at line 107 of file garmanklass.hpp.

Constructor & Destructor Documentation

◆ GarmanKlassSigma1()

GarmanKlassSigma1 ( Real  y,
Real  marketOpenFraction 
)

Definition at line 110 of file garmanklass.hpp.