ConstantEstimator Class Reference

Constant-estimator volatility model. More...

#include <constantestimator.hpp>

Inheritance diagram for ConstantEstimator:

Collaboration diagram for ConstantEstimator:

Public Member Functions
	ConstantEstimator (Size size)
TimeSeries< Volatility >	calculate (const TimeSeries< Volatility > &) override
void	calibrate (const TimeSeries< Volatility > &) override
Public Member Functions inherited from VolatilityCompositor
virtual	~VolatilityCompositor ()=default
virtual time_series	calculate (const time_series &volatilitySeries)=0
virtual void	calibrate (const time_series &volatilitySeries)=0

Private Attributes
Size	size_

Additional Inherited Members
Public Types inherited from VolatilityCompositor
typedef TimeSeries< Volatility >	time_series

Detailed Description

Constant-estimator volatility model.

Volatilities are assumed to be expressed on an annual basis.

Definition at line 35 of file constantestimator.hpp.

Constructor & Destructor Documentation

ConstantEstimator()

ConstantEstimator

(

Size

size

)

Definition at line 39 of file constantestimator.hpp.

Member Function Documentation

calculate()

TimeSeries< Volatility > calculate ( const TimeSeries< Volatility > &  volatilitySeries )

override

Definition at line 24 of file constantestimator.cpp.

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calibrate()

void calibrate ( const TimeSeries< Volatility > &  )

override

Definition at line 42 of file constantestimator.hpp.

Member Data Documentation

size_

Size size_

private

Definition at line 37 of file constantestimator.hpp.