Posted by
Joseph Wang on
Apr 28, 2006; 9:23am
URL: http://quantlib.414.s1.nabble.com/Implementing-high-low-volatility-model-tp11107p11109.html
On Wednesday 26 April 2006 02:47，you wrote：
> 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?
Funny that you should mention this since I am using R for this
work. :-) :-) :-)
I have my R-SWIG interface to QuantLib working well enough so that I can
switch transparently between C++ and R. For example, it has a type converter
so that an R vector of doubles gets automatically converted to a vector of
doubles which the C++ engine runs on, and then the result gets automatically
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
use some package like Rmetrics, but the thing that I found when I started
doing that is that once you have more than about 20 lines of code, you run
into code management and reusability issues. The good and bad thing with R
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 <
[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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> > Geronimo
> >
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