| Safe Haskell | Safe-Infered |
|---|
QuantLib.VolatilityModel
- type Volatility = Double
- type VolatilitySeries = TimeSeries Volatility
- class DoubleVolatilityEstimator a where
- dveCalculate :: a -> TimeSeries Double -> VolatilitySeries
- class IntervalPointCalculator a where
- ipcCalculatePoint :: a -> IntervalPrice -> Volatility
- class IntervalVolatilityEstimator a where
- iveCalculate :: IntervalPointCalculator b => a -> b -> TimeSeries IntervalPrice -> VolatilitySeries
- data SimpleLocalEstimator = SimpleLocalEstimator {}
- data GarmanKlass = GarmanKlass {}
- data GarmanKlassPoint
Documentation
type Volatility = DoubleSource
Volatility type
type VolatilitySeries = TimeSeries VolatilitySource
Volatility time series
class DoubleVolatilityEstimator a whereSource
The estimator of time series of doubles
Methods
dveCalculate :: a -> TimeSeries Double -> VolatilitySeriesSource
class IntervalPointCalculator a whereSource
The calculator of volatility for interval price
Methods
ipcCalculatePoint :: a -> IntervalPrice -> VolatilitySource
Instances
class IntervalVolatilityEstimator a whereSource
Interval price volatility estimator
Methods
iveCalculate :: IntervalPointCalculator b => a -> b -> TimeSeries IntervalPrice -> VolatilitySeriesSource
Instances
data GarmanKlassPoint Source
Types of Garman-Klass estimators
Constructors
| GarmanKlassSimpleSigma | |
| ParkinsonSigma |
Instances