Implementing high-low volatility model

Posted by Joseph Wang-2 on Apr 26, 2006; 1:26am
URL: http://quantlib.414.s1.nabble.com/Implementing-high-low-volatility-model-tp11107.html

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.  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 naming
conventions right.