Class GarmanKlassSigma5

Namespace

NanoQL.Models

Assembly

NanoQL.dll

Garman and Klass's fifth estimator, on the interval's open, close, high and low.

public sealed class GarmanKlassSigma5 : GarmanKlassAbstract

Inheritance

object

LocalVolatilityEstimator<IntervalPrice>

GarmanKlassAbstract

GarmanKlassSigma5

Inherited Members

GarmanKlassAbstract.Calculate(TimeSeries<IntervalPrice>)

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable.

Constructors

GarmanKlassSigma5(double)

Initializes a new instance of the GarmanKlassSigma5 class.

public GarmanKlassSigma5(double y)

Parameters

y double

The year fraction of an interval.

Methods

CalculatePoint(IntervalPrice)

The estimator's point variance of an interval's prices.

protected override double CalculatePoint(IntervalPrice p)

Parameters

p IntervalPrice

The interval's prices.

Returns

double

The point variance, over an interval.