org.jquantlib.model.volatility

Class GarmanKlassOpenClose<T extends GarmanKlassAbstract>

java.lang.Object

org.jquantlib.model.volatility.GarmanKlassOpenClose<T>

All Implemented Interfaces:

LocalVolatilityEstimator<IntervalPrice>

Direct Known Subclasses:

GarmanKlassSigma1, GarmanKlassSigma3, GarmanKlassSigma6

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

This template factors out common functionality found in classes which rely on the difference between the previous day's close price and today's open price.

Constructor Summary

Constructors

Constructor and Description
GarmanKlassOpenClose(java.lang.Class<? extends GarmanKlassAbstract> classT, double y, double marketOpenFraction, double a)

Method Summary

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

Methods inherited from class java.lang.Object

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

Constructor Detail

GarmanKlassOpenClose

public GarmanKlassOpenClose(java.lang.Class<? extends GarmanKlassAbstract> classT,
                            double y,
                            double marketOpenFraction,
                            double a)

Method Detail

calculate

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

Specified by:

calculate in interface LocalVolatilityEstimator<IntervalPrice>