/*
 Copyright (C) 2008 Anand Mani

 This source code is release under the BSD License.

 This file is part of JQuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://jquantlib.org/

 JQuantLib is free software: you can redistribute it and/or modify it
 under the terms of the JQuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 . The license is also available online at
 .

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.

 JQuantLib is based on QuantLib. http://quantlib.org/
 When applicable, the original copyright notice follows this notice.
 */

/*
 Copyright (C) 2006 Joseph Wang

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 . The license is also available online at
 .

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
 */

package org.jquantlib.model.volatility;

import org.jquantlib.lang.iterators.Iterables;
import org.jquantlib.math.IntervalPrice;
import org.jquantlib.time.Date;
import org.jquantlib.time.TimeSeries;

/**
 * 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.
 *
 * @author Anand Mani
 */
public abstract class GarmanKlassAbstract implements LocalVolatilityEstimator {

	private final double yearFraction;

	public GarmanKlassAbstract(final double y) {
		this.yearFraction = y;
	}

	@Override
	public TimeSeries calculate(final TimeSeries quotes) {
		final TimeSeries retval = new TimeSeries(Double.class);
		for (final Date date : Iterables.unmodifiableIterable(quotes.navigableKeySet())) {
            final IntervalPrice curr = quotes.get(date);
            retval.put(date, Math.sqrt(Math.abs(calculatePoint(curr)) / yearFraction) );
		}
		return retval;
	}

	public double getYearFraction() {
		return yearFraction;
	}

	protected abstract double calculatePoint(final IntervalPrice p);

}