GarmanKlassOpenClose Class Template Reference

#include <ql/VolatilityModels/garmanklass.hpp>

List of all members.


Detailed Description

template<class T>
class QuantLib::GarmanKlassOpenClose< T >

This template factors out common functionality found in classes which rely on the difference between the previous day's close price and today's open price.


Public Member Functions

 GarmanKlassOpenClose (Real y, Real marketOpenFraction, Real a)
TimeSeries< Volatilitycalculate (const TimeSeries< IntervalPrice > &quoteSeries)

Protected Attributes

Real f_
Real a_