Safe Haskell | None |
---|---|
Language | Haskell2010 |
- type Volatility = Double
- data Estimation = Estimation !Volatility
- class VolatilityEstimator algorithm where
- data VolatilityEstimatorAlgorithm
Documentation
type Volatility = Double Source #
Volatility type
data Estimation Source #
Estimation type with strictness as it is usually required only one Double
to process
class VolatilityEstimator algorithm where Source #
Type class of volatility estimators
estimate :: algorithm -> IntervalPriceSeries -> Estimation Source #
The estimation procedure that takes a series of IntervalPrice
data VolatilityEstimatorAlgorithm Source #
SimpleEstimator | Simple estimator with drift |
SimpleDriftLessEstimator | Simple estimator without drift |
ParkinsonEstimator | Parkinson number |
GarmanKlass5Estimator | Garman-Klass estimator |
RogersSatchelEstimator | Rogers-Stachel estimator |
YangZhangEstimator | Yang-Zhang estimator |