Re: [Quantlib-dev] Implementing high-low volatility model

[Ferdinando A. <na...@am...>]

Hi Joseph

while I don't have any special contribution on your design I just
wonder why you are considering the effort of adding this framework to
QuantLib. Isn't R a better alternative for this kind of work?

QuantLib focus has always been on derivatives, and while econometric
estimations are often used as input in derivatives models, the two
domains are almost well defined...

ciao -- Nando

On 4/25/06, Joseph Wang <jo...@gn...> wrote:
> I'm in the process of trying to implement a class that does a Garman-Klas=
s
> estimation of volatility based on high-low data.
>
> Right now what I have in mind is a class called IntervalQuote(?) that con=
tains
> open, close, high, low information, and this will be used with the TimeSe=
ries
> template to produce
>
> TimeSeries<IntervalQuote>
>
> which will be the input into the calculation classes.  There will be a he=
lper
> class that creates TimeSeries<IntervalQuote> from a vector of dates, open=
,
> close, high, and low data.
>
> It seems that one should break up the VolatilityModel into two parts.  On=
e
> part is LocalEstimator (?), the second part combinings the daily estimati=
on
> into a time series using constant combining or GARCH, which would be
> subclasses of EstimationCombiner (?)
>
> Since the LocalEstimator will need different types of inputs, there may b=
e a
> need to create a trait.
>
> Thoughts?  I'm especially interested in feedback as to getting the naming
> conventions right.
>
>
>
>
>
> -------------------------------------------------------
> Using Tomcat but need to do more? Need to support web services, security?
> Get stuff done quickly with pre-integrated technology to make your job ea=
sier
> Download IBM WebSphere Application Server v.1.0.1 based on Apache Geronim=
o
> http://sel.as-us.falkag.net/sel?cmd=3Dlnk&kid=3D120709&bid=3D263057&dat=
=3D121642
> _______________________________________________
> Quantlib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>