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

[Jeff Ryan]

I used the backup help tool:

grep 'garman' fTrading/*/*

as I couldn't find any docs either.

Jeff

On Feb 13, 2008 3:25 PM, Ken Spriggs <ksspriggs at gmail.com> wrote:
>
> 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.)
> >>
> >>
> >> --
> >> 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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> >
> >
> >
> > --
> > There's a way to do it better - find it.
> > Thomas A. Edison
> >
> > _______________________________________________
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>
> --
> View this message in context: http://www.nabble.com/Garman-Klass-Volatility-in-Rmetrics-package-tp15467571p15468350.html
>
> Sent from the Rmetrics mailing list archive at Nabble.com.
>
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-- 
There's a way to do it better - find it.
Thomas A. Edison