GarmanKlassOpenClose Class Template Reference
#include <ql/VolatilityModels/garmanklass.hpp>
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< Volatility > | calculate (const TimeSeries< IntervalPrice > "eSeries) |
Protected Attributes | |
Real | f_ |
Real | a_ |