Safe Haskell	None
Language	Haskell2010

QuantLib.Models.Volatility

Synopsis

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

Constructors

Estimation !Volatility

Instances

Instances details

Eq Estimation Source #
Instance details Defined in QuantLib.Models.Volatility Methods (==) :: Estimation -> Estimation -> Bool # (/=) :: Estimation -> Estimation -> Bool #
Show Estimation Source #
Instance details Defined in QuantLib.Models.Volatility Methods showsPrec :: Int -> Estimation -> ShowS # show :: Estimation -> String # showList :: [Estimation] -> ShowS #

class VolatilityEstimator algorithm where Source #

Type class of volatility estimators

Methods

estimate :: algorithm -> IntervalPriceSeries -> Estimation Source #

The estimation procedure that takes a series of IntervalPrice

Instances

Instances details

VolatilityEstimator VolatilityEstimatorAlgorithm Source #
Instance details Defined in QuantLib.Models.Volatility Methods estimate :: VolatilityEstimatorAlgorithm -> IntervalPriceSeries -> Estimation Source #

data VolatilityEstimatorAlgorithm Source #

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

Instances details

Enum VolatilityEstimatorAlgorithm Source #
Instance details Defined in QuantLib.Models.Volatility 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 Source #
Instance details Defined in QuantLib.Models.Volatility Methods (==) :: VolatilityEstimatorAlgorithm -> VolatilityEstimatorAlgorithm -> Bool # (/=) :: VolatilityEstimatorAlgorithm -> VolatilityEstimatorAlgorithm -> Bool #
Show VolatilityEstimatorAlgorithm Source #
Instance details Defined in QuantLib.Models.Volatility Methods showsPrec :: Int -> VolatilityEstimatorAlgorithm -> ShowS # show :: VolatilityEstimatorAlgorithm -> String # showList :: [VolatilityEstimatorAlgorithm] -> ShowS #
VolatilityEstimator VolatilityEstimatorAlgorithm Source #
Instance details Defined in QuantLib.Models.Volatility Methods estimate :: VolatilityEstimatorAlgorithm -> IntervalPriceSeries -> Estimation Source #