Safe Haskell | None |
---|
- type Volatility = Double
- data Estimation = Estimation !Volatility
- class VolatilityEstimator algorithm where
- estimate :: algorithm -> IntervalPriceSeries -> Estimation
- data VolatilityEstimatorAlgorithm
Documentation
type Volatility = DoubleSource
Volatility type
data Estimation Source
Estimation type with strictness as it is usually required only one Double
to process
class VolatilityEstimator algorithm whereSource
Type class of volatility estimators
estimate :: algorithm -> IntervalPriceSeries -> EstimationSource
The estimation procedure that takes a series of IntervalPrice
data VolatilityEstimatorAlgorithm Source
SimpleEstimator | Simple estimator with drift |
SimpleDriftLessEstimator | Simple estimator without drift |
ParkinsonEstimator | Parkinson number |
GarmanKlass5Estimator | Garman-Klass estimator |
RogersSatchelEstimator | Rogers-Stachel estimator |
YangZhangEstimator | Yang-Zhang estimator |