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

[Joseph W. <jo...@co...>]

On Wednesday 26 April 2006 02:47=EF=BC=8Cyou wrote=EF=BC=9A

> 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?

=46unny that you should mention this since I am using R for this=20
work. :-) :-) :-)

I have my R-SWIG interface to QuantLib working well enough so that I can=20
switch transparently between C++ and R.  For example, it has a type convert=
er=20
so that an R vector of doubles gets automatically converted to a vector of=
=20
doubles which the C++ engine runs on, and then the result gets automaticall=
y=20
converted back to a data.frame which can then be plotted.

Originally, I was planning to do the coding for GARCH and those models in R=
 or=20
use some package like Rmetrics, but the thing that I found when I started=20
doing that is that once you have more than about 20 lines of code, you run=
=20
into code management and reusability issues.  The good and bad thing with R=
=20
is that it is very flexible, by





> 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-Klass estimation of volatility based on high-low data.
> >
> > Right now what I have in mind is a class called IntervalQuote(?) that
> > contains open, close, high, low information, and this will be used with
> > the TimeSeries template to produce
> >
> > TimeSeries<IntervalQuote>
> >
> > which will be the input into the calculation classes.  There will be a
> > helper 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.=20
> > One part is LocalEstimator (?), the second part combinings the daily
> > estimation 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
> > be a need to create a trait.
> >
> > Thoughts?  I'm especially interested in feedback as to getting the nami=
ng
> > conventions right.
> >
> >
> >
> >
> >
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