GarmanKlassAbstract Class Reference

Garman-Klass volatility model. More...

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

Inherits LocalVolatilityEstimator< T >.

Inherited by GarmanKlassSigma4, GarmanKlassSigma5, GarmanKlassSimpleSigma, and ParkinsonSigma.

Public Member Functions
	GarmanKlassAbstract (Real y)
TimeSeries< Volatility >	calculate (const TimeSeries< IntervalPrice > &quoteSeries)

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.