GarmanKlassAbstract Class Reference
#include <ql/models/volatility/garmanklass.hpp>
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.
Public Member Functions | |
GarmanKlassAbstract (Real y) | |
TimeSeries< Volatility > | calculate (const TimeSeries< IntervalPrice > "eSeries) |
Protected Member Functions | |
virtual Real | calculatePoint (const IntervalPrice &p)=0 |
Protected Attributes | |
Real | yearFraction_ |