| Safe Haskell | Safe-Inferred |
|---|---|
| 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
| Show Estimation Source # | |
Defined in QuantLib.Models.Volatility Methods showsPrec :: Int -> Estimation -> ShowS # show :: Estimation -> String # showList :: [Estimation] -> ShowS # | |
| Eq Estimation Source # | |
Defined in QuantLib.Models.Volatility | |
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
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 |