/*
 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.math.IntervalPrice;

/**
 * @author Anand Mani
 */
public class GarmanKlassSigma4 extends GarmanKlassAbstract {

	public GarmanKlassSigma4(final double y) {
		super(y);
	}

	@Override
	protected double calculatePoint(final IntervalPrice p) {
		final double u = Math.log(p.high() / p.open());
		final double d = Math.log(p.low() / p.open());
		final double c = Math.log(p.close() / p.open());
		final double r = 0.511 * (u - d) * (u - d) - 0.019 * (c * (u + d) - 2 * u * d) - 0.383 * c * c;
		return r;
	}

}