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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_garman_klass_abstract.html">GarmanKlassAbstract</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
<a href="#pro-methods">Protected Member Functions</a> |
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<div class="title">GarmanKlassAbstract Class Reference<span class="mlabels"><span class="mlabel">abstract</span></span></div> </div>
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<p>Garman-Klass volatility model.
<a href="class_quant_lib_1_1_garman_klass_abstract.html#details">More...</a></p>
<p><code>#include <ql/models/volatility/garmanklass.hpp></code></p>
<p>Inherits LocalVolatilityEstimator< T >.</p>
<p>Inherited by GarmanKlassSigma4, GarmanKlassSigma5, GarmanKlassSimpleSigma, and ParkinsonSigma.</p>
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<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
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 </td><td class="memItemRight" valign="bottom"><b>GarmanKlassAbstract</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> y)</td></tr>
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<a class="el" href="class_quant_lib_1_1_time_series.html">TimeSeries</a>< <a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> > </td><td class="memItemRight" valign="bottom"><b>calculate</b> (const <a class="el" href="class_quant_lib_1_1_time_series.html">TimeSeries</a>< <a class="el" href="class_quant_lib_1_1_interval_price.html">IntervalPrice</a> > &quoteSeries)</td></tr>
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virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>calculatePoint</b> (const <a class="el" href="class_quant_lib_1_1_interval_price.html">IntervalPrice</a> &p)=0</td></tr>
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<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>yearFraction_</b></td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Garman-Klass volatility model. </p>
<p>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 <a href="http://www.fea.com/resources/pdf/a_estimation_of_security_price.pdf">http://www.fea.com/resources/pdf/a_estimation_of_security_price.pdf</a></p>
<p>Volatilities are assumed to be expressed on an annual basis. </p>
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