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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.

Hierarchy

Index

Constructors

Properties

Accessors

Methods

Constructors

constructor

Properties

Protected _yearFraction

_yearFraction: Real

Accessors

isDisposed

  • get isDisposed(): boolean

Methods

calculate1

calculatePoint

  • Parameters

    Returns Real

dispose

  • dispose(): void