/usr/include/ql/models/volatility/garmanklass.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2006 Joseph Wang
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file garmanklass.hpp
\brief Volatility estimators using high low data
*/
#ifndef quantlib_garman_klass_hpp
#define quantlib_garman_klass_hpp
#include <ql/volatilitymodel.hpp>
#include <ql/prices.hpp>
namespace QuantLib {
//! Garman-Klass volatility model
/*! This class implements a concrete volatility model based on
high low formulas using the method of Garman and Klass in
their paper "On the Estimation of the Security Price from
Historical Data" at
http://www.fea.com/resources/pdf/a_estimation_of_security_price.pdf
Volatilities are assumed to be expressed on an annual basis.
*/
class GarmanKlassAbstract :
public LocalVolatilityEstimator<IntervalPrice> {
protected:
Real yearFraction_;
virtual Real calculatePoint(const IntervalPrice &p) = 0;
public:
GarmanKlassAbstract(Real y) :
yearFraction_(y) {}
TimeSeries<Volatility>
calculate(const TimeSeries<IntervalPrice> "eSeries) {
TimeSeries<Volatility> retval;
TimeSeries<IntervalPrice>::const_iterator prev, next, cur, start;
start = quoteSeries.begin();
for (cur = start; cur != quoteSeries.end(); ++cur) {
retval[cur->first] =
std::sqrt(std::fabs(calculatePoint(cur->second))/
yearFraction_);
}
return retval;
}
};
class GarmanKlassSimpleSigma :
public GarmanKlassAbstract {
public:
GarmanKlassSimpleSigma(Real y) :
GarmanKlassAbstract(y) {};
protected:
Real calculatePoint(const IntervalPrice &p) {
Real c = std::log(p.close()/p.open());
return c*c;
}
};
/* 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. */
template <class T>
class GarmanKlassOpenClose : public T {
protected:
Real f_;
Real a_;
public:
GarmanKlassOpenClose(Real y, Real marketOpenFraction,
Real a) :
T(y), f_(marketOpenFraction), a_(a) {};
TimeSeries<Volatility>
calculate(const TimeSeries<IntervalPrice> "eSeries) {
TimeSeries<Volatility> retval;
TimeSeries<IntervalPrice>::const_iterator prev, next, cur, start;
start = quoteSeries.begin();
++start;
for (cur = start; cur != quoteSeries.end(); ++cur) {
prev = cur; --prev;
Real c0 = std::log(prev->second.close());
Real o1 = std::log(cur->second.open());
Real sigma2 =
a_ * (o1 - c0) * (o1 - c0) / f_ +
(1-a_) * T::calculatePoint(cur->second) /
(1-f_);
retval[cur->first] = std::sqrt(sigma2/T::yearFraction_);
}
return retval;
}
};
class GarmanKlassSigma1 :
public GarmanKlassOpenClose<GarmanKlassSimpleSigma> {
public:
GarmanKlassSigma1(Real y, Real marketOpenFraction) :
GarmanKlassOpenClose<GarmanKlassSimpleSigma>(y,
marketOpenFraction,
0.5) {};
};
class ParkinsonSigma :
public GarmanKlassAbstract {
public:
ParkinsonSigma(Real y) :
GarmanKlassAbstract(y) {};
protected:
Real calculatePoint(const IntervalPrice &p) {
Real u = std::log(p.high()/p.open());
Real d = std::log(p.low()/p.open());
return (u - d)*(u-d) / 4.0 / std::log(2.0);
}
};
class GarmanKlassSigma3 :
public GarmanKlassOpenClose<ParkinsonSigma> {
public:
GarmanKlassSigma3(Real y, Real marketOpenFraction) :
GarmanKlassOpenClose<ParkinsonSigma>(y,
marketOpenFraction,
0.17) {};
};
class GarmanKlassSigma4 :
public GarmanKlassAbstract {
public:
GarmanKlassSigma4(Real y) :
GarmanKlassAbstract(y) {};
protected:
Real calculatePoint(const IntervalPrice &p) {
Real u = std::log(p.high()/p.open());
Real d = std::log(p.low()/p.open());
Real c = std::log(p.close()/p.open());
return 0.511 * (u-d)*(u-d) -
0.019 * (c*(u+d)-2*u*d) -
0.383 * c * c;
}
};
class GarmanKlassSigma5 :
public GarmanKlassAbstract {
public:
GarmanKlassSigma5(Real y) :
GarmanKlassAbstract(y) {};
protected:
Real calculatePoint(const IntervalPrice &p) {
Real u = std::log(p.high()/p.open());
Real d = std::log(p.low()/p.open());
Real c = std::log(p.close()/p.open());
return 0.5 * (u-d)*(u-d) -
(2.0*std::log(2.0)-1.0) * c * c;
}
};
class GarmanKlassSigma6 :
public GarmanKlassOpenClose<GarmanKlassSigma4> {
public:
GarmanKlassSigma6(Real y, Real marketOpenFraction) :
GarmanKlassOpenClose<GarmanKlassSigma4>(y,
marketOpenFraction,
0.012) {};
};
}
#endif
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