Class VolatilityCompositor

Namespace

NanoQL

Assembly

NanoQL.dll

A volatility compositor: a volatility series from a series of returns or volatilities, by a model it can calibrate to the series.

public abstract class VolatilityCompositor

Inheritance

object

VolatilityCompositor

Derived

ConstantEstimator

Garch11

Inherited Members

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

An extension point, as in QuantLib: each model derives from it. Immutable: QuantLib's calibrate changes the object, where Calibrate(TimeSeries<double>) returns the calibrated model and changes nothing.

Constructors

VolatilityCompositor()

Initializes a new instance of the VolatilityCompositor class.

protected VolatilityCompositor()

Methods

Calculate(TimeSeries<double>)

The volatilities the model gives on the series.

public abstract TimeSeries<double> Calculate(TimeSeries<double> volatilitySeries)

Parameters

volatilitySeries TimeSeries<double>

The series.

Returns

TimeSeries<double>

The volatility series.

Calibrate(TimeSeries<double>)

The model calibrated to the series.

public abstract VolatilityCompositor Calibrate(TimeSeries<double> volatilitySeries)

Parameters

volatilitySeries TimeSeries<double>

The series.

Returns

VolatilityCompositor

A new model, or this one where calibration changes nothing.