QuantLib.Models.Volatility

Documentation

type Volatility = Double

Volatility type

data Estimation

Estimation type with strictness as it is usually required only one Double to process

Constructors

Estimation !Volatility

Instances

Eq Estimation

Methods

(==) :: Estimation -> Estimation -> Bool

(/=) :: Estimation -> Estimation -> Bool

Show Estimation

Methods

showsPrec :: Int -> Estimation -> ShowS

show :: Estimation -> String

showList :: [Estimation] -> ShowS

class VolatilityEstimator algorithm where

Type class of volatility estimators

Minimal complete definition

estimate

Methods

estimate :: algorithm -> IntervalPriceSeries -> Estimation

The estimation procedure that takes a series of IntervalPrice

Instances

VolatilityEstimator VolatilityEstimatorAlgorithm

Methods

estimate :: VolatilityEstimatorAlgorithm -> IntervalPriceSeries -> Estimation

data VolatilityEstimatorAlgorithm

Constructors

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

Instances

Enum VolatilityEstimatorAlgorithm

Methods

succ :: VolatilityEstimatorAlgorithm -> VolatilityEstimatorAlgorithm

pred :: VolatilityEstimatorAlgorithm -> VolatilityEstimatorAlgorithm

toEnum :: Int -> VolatilityEstimatorAlgorithm

fromEnum :: VolatilityEstimatorAlgorithm -> Int

enumFrom :: VolatilityEstimatorAlgorithm -> [VolatilityEstimatorAlgorithm]

enumFromThen :: VolatilityEstimatorAlgorithm -> VolatilityEstimatorAlgorithm -> [VolatilityEstimatorAlgorithm]

enumFromTo :: VolatilityEstimatorAlgorithm -> VolatilityEstimatorAlgorithm -> [VolatilityEstimatorAlgorithm]

enumFromThenTo :: VolatilityEstimatorAlgorithm -> VolatilityEstimatorAlgorithm -> VolatilityEstimatorAlgorithm -> [VolatilityEstimatorAlgorithm]

Eq VolatilityEstimatorAlgorithm

Methods

(==) :: VolatilityEstimatorAlgorithm -> VolatilityEstimatorAlgorithm -> Bool

(/=) :: VolatilityEstimatorAlgorithm -> VolatilityEstimatorAlgorithm -> Bool

Show VolatilityEstimatorAlgorithm

Methods

showsPrec :: Int -> VolatilityEstimatorAlgorithm -> ShowS

show :: VolatilityEstimatorAlgorithm -> String

showList :: [VolatilityEstimatorAlgorithm] -> ShowS

VolatilityEstimator VolatilityEstimatorAlgorithm

Methods

estimate :: VolatilityEstimatorAlgorithm -> IntervalPriceSeries -> Estimation