/usr/share/quantlib-python/volatilitymodels.i is in quantlib-python 1.2-2.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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Copyright (C) 2000, 2001, 2002 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#ifndef quantlib_volatilitymodels_i
#define quantlib_volatilitymodels_i
%include common.i
%include types.i
%include date.i
%include timeseries.i
%{
using QuantLib::ConstantEstimator;
using QuantLib::SimpleLocalEstimator;
using QuantLib::GarmanKlassSigma1;
using QuantLib::ParkinsonSigma;
using QuantLib::GarmanKlassSigma3;
using QuantLib::GarmanKlassSigma4;
using QuantLib::GarmanKlassSigma5;
using QuantLib::GarmanKlassSigma6;
%}
class ConstantEstimator {
public:
ConstantEstimator(Size size);
TimeSeries<Volatility> calculate(const TimeSeries<Volatility>&);
};
class ParkinsonSigma {
public:
ParkinsonSigma(Real yearFraction);
TimeSeries<Volatility> calculate(const TimeSeries<IntervalPrice>&);
};
class GarmanKlassSigma1 {
public:
GarmanKlassSigma1(Real yearFraction, Real marketOpenFraction);
TimeSeries<Volatility> calculate(const TimeSeries<IntervalPrice>&);
};
class GarmanKlassSigma3 {
public:
GarmanKlassSigma3(Real yearFraction, Real marketOpenFraction);
TimeSeries<Volatility> calculate(const TimeSeries<IntervalPrice>&);
};
class GarmanKlassSigma4 {
public:
GarmanKlassSigma4(Real yearFraction);
TimeSeries<Volatility> calculate(const TimeSeries<IntervalPrice>&);
};
class GarmanKlassSigma5 {
public:
GarmanKlassSigma5(Real yearFraction);
TimeSeries<Volatility> calculate(const TimeSeries<IntervalPrice>&);
};
class GarmanKlassSigma6 {
public:
GarmanKlassSigma6(Real yearFraction, Real marketOpenFraction);
TimeSeries<Volatility> calculate(const TimeSeries<IntervalPrice>&);
};
#endif
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