Class GarmanKlassSigma1

Hierarchy

GarmanKlassOpenClose
- GarmanKlassSigma1

Index

Constructors

constructor

Properties

Methods

calculate1

Constructors

constructor

new GarmanKlassSigma1(y: Real, marketOpenFraction: Real): GarmanKlassSigma1

Overrides GarmanKlassOpenClose.constructor
- Defined in ql/models/volatility/garmanklass.ts:101
Parameters
- y: Real
- marketOpenFraction: Real
Returns GarmanKlassSigma1

Properties

T

T: GarmanKlassAbstract

Protected _a

_a: Real

Protected _f

_f: Real

Protected _yearFraction

_yearFraction: Real

Methods

calculate1

calculate1(quoteSeries: TimeSeries<IntervalPrice>): TimeSeries<number>

Inherited from GarmanKlassOpenClose.calculate1
- Defined in ql/models/volatility/garmanklass.ts:75
Parameters
- quoteSeries: TimeSeries<IntervalPrice>
Returns TimeSeries<number>