org.jquantlib.model.volatility

Class SimpleLocalEstimator

java.lang.Object

org.jquantlib.model.volatility.SimpleLocalEstimator

public class SimpleLocalEstimator
extends java.lang.Object

Simple Local Estimator volatility model

Volatilities are assumed to be expressed on an annual basis.

Constructor Summary

Constructors

Constructor and Description
SimpleLocalEstimator(double y)

Method Summary

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

Methods inherited from class java.lang.Object

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

Constructor Detail

SimpleLocalEstimator

public SimpleLocalEstimator(double y)

Method Detail

calculate

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