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

[Ken Spriggs]

Thanks Jeff, that works.  

The Rmetrics Reference Card has the "K" in Klass capitalized.  Doohhh!



Jeff Ryan wrote:
> 
> 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.)
>>
>>
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>>
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> 
> 
> 
> -- 
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> 
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