Re: Implementing high-low volatility model

Posted by Ferdinando M. Ametrano-3 on Apr 26, 2006; 2:17am
URL: http://quantlib.414.s1.nabble.com/Implementing-high-low-volatility-model-tp11107p11108.html

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 <[hidden email]> 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.  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.
>
>
>
>
>
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