Safe Haskell | None |
---|---|
Language | Haskell2010 |
- type Volatility = Double
- data Estimation = Estimation !Volatility
- class VolatilityEstimator algorithm where
- estimate :: algorithm -> IntervalPriceSeries -> Estimation
- data VolatilityEstimatorAlgorithm
Documentation
type Volatility = Double Source
Volatility type
data Estimation Source
Estimation type with strictness as it is usually required only one Double
to process
class VolatilityEstimator algorithm where Source
Type class of volatility estimators
estimate :: algorithm -> IntervalPriceSeries -> Estimation Source
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 |