org.jquantlib.model.volatility

Class GarmanKlassAbstract

java.lang.Object

org.jquantlib.model.volatility.GarmanKlassAbstract

All Implemented Interfaces:

LocalVolatilityEstimator<IntervalPrice>

Direct Known Subclasses:

GarmanKlassSigma4, GarmanKlassSigma5, GarmanKlassSimpleSigma, ParkinsonSigma

public abstract class GarmanKlassAbstract
extends java.lang.Object
implements LocalVolatilityEstimator<IntervalPrice>

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.

Constructor Summary

Constructors

Constructor and Description
GarmanKlassAbstract(double y)

Method Summary

Modifier and Type	Method and Description
TimeSeries<java.lang.Double>	calculate(TimeSeries<IntervalPrice> quotes)
double	getYearFraction()

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

GarmanKlassAbstract

public GarmanKlassAbstract(double y)

Method Detail

calculate

public TimeSeries<java.lang.Double> calculate(TimeSeries<IntervalPrice> quotes)

Specified by:

calculate in interface LocalVolatilityEstimator<IntervalPrice>

getYearFraction

public double getYearFraction()