QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
GarmanKlassAbstract Class Referenceabstract

Garman-Klass volatility model. More...

#include <garmanklass.hpp>

+ Inheritance diagram for GarmanKlassAbstract:
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Public Member Functions

 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
 

Protected Member Functions

virtual Real calculatePoint (const IntervalPrice &p)=0
 

Protected Attributes

Real yearFraction_
 

Detailed Description

Garman-Klass volatility model.

This class implements a concrete volatility model based on high low formulas using the method of Garman and Klass in their paper "On the Estimation of the Security Price from Historical Data" at http://www.fea.com/resources/pdf/a_estimation_of_security_price.pdf

Volatilities are assumed to be expressed on an annual basis.

Definition at line 41 of file garmanklass.hpp.

Constructor & Destructor Documentation

◆ GarmanKlassAbstract()

GarmanKlassAbstract ( Real  y)
explicit

Definition at line 47 of file garmanklass.hpp.

Member Function Documentation

◆ calculatePoint()

virtual Real calculatePoint ( const IntervalPrice p)
protectedpure virtual

Implemented in GarmanKlassSimpleSigma, ParkinsonSigma, GarmanKlassSigma4, and GarmanKlassSigma5.

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◆ calculate()

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

Member Data Documentation

◆ yearFraction_

Real yearFraction_
protected

Definition at line 44 of file garmanklass.hpp.