Class GarmanKlassSigma4

Hierarchy

GarmanKlassAbstract
- GarmanKlassSigma4

Index

Constructors

constructor

Properties

_yearFraction

Accessors

isDisposed

Methods

Constructors

constructor

new GarmanKlassSigma4(y: Real): GarmanKlassSigma4

Overrides GarmanKlassAbstract.constructor
- Defined in ql/models/volatility/garmanklass.ts:125
Parameters
- y: Real
Returns GarmanKlassSigma4

Properties

Protected _yearFraction

_yearFraction: Real

Accessors

isDisposed

get isDisposed(): boolean

Inherited from LocalVolatilityEstimator.isDisposed
- Defined in ql/volatilitymodel.ts:14
Returns boolean

Methods

calculate1

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

Inherited from GarmanKlassAbstract.calculate1

Overrides LocalVolatilityEstimator.calculate1
- Defined in ql/models/volatility/garmanklass.ts:30
Parameters
- quoteSeries: TimeSeries<IntervalPrice>
Returns TimeSeries<number>

calculatePoint

calculatePoint(p: IntervalPrice): Real

Overrides GarmanKlassAbstract.calculatePoint
- Defined in ql/models/volatility/garmanklass.ts:130
Parameters
- p: IntervalPrice
Returns Real

dispose

dispose(): void

Inherited from LocalVolatilityEstimator.dispose
- Defined in ql/volatilitymodel.ts:18
Returns void