[R-SIG-Finance] [R-sig-finance] Garman-Klass Volatility in Rmetrics package

[Jeff Ryan]

Hi Ken,

I *think* it is

garmanklassTA

no caps:

> garmanklassTA
function (open, high, low, close)
{
    TS = is.timeSeries(open)
    if (TS) {
        x = open
        open = as.vector(open)
        high = as.vector(high)
        low = as.vector(low)
        close = as.vector(close)
    }
    prices = log(cbind(open, high, low, close))
    n = nrow(prices)
    alpha = 0.12
    f = 0.192
    u = high - open
    d = low - open
    cc = close - open
    oc = (prices[2:n, 1] - prices[1:(n - 1), 4])^2
    garmanklass = 0.511 * (u - d)^2 - 0.019 * (cc * (u + d) -
        2 * u * d) - 0.383 * cc^2
    garmanklass = sqrt(((1 - alpha) * garmanklass[2:n])/(1 -
        f) + (alpha * oc)/f)
    garmanklass = c(NA, garmanklass)
    if (TS) {
        garmanklass = matrix(garmanklass)
        colnames(garmanklass) = "GK"
        rownames(garmanklass) = rownames(x at Data)
        x at Data = garmanklass
    }
    else {
        x = garmanklass
    }
    x
}

Jeff

On Feb 13, 2008 2:51 PM, Ken Spriggs <ksspriggs at gmail.com> wrote:
>
> I'm looking at the Rmetrics Reference Card in the section called "Additional
> Functions" under the heading "Additional Trading Indicators" and I'm
> wondering where the garmanKlassTA function went.  When I do ?garmanKlassTA
> nothing comes up, but "garmanKlassTA" is listed in the Contents - however
> there's no documentation that appears when you click on it.
>
> What has happened to the garmanKlaussTA function?
>
> (I also have fTrading package loaded.)
>
>
> --
> View this message in context: http://www.nabble.com/Garman-Klass-Volatility-in-Rmetrics-package-tp15467571p15467571.html
> Sent from the Rmetrics mailing list archive at Nabble.com.
>
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