Bband, Ccv, Ce, Cv, Cvi, Ewma, Fcb, Gkv, Hlv

lib/volatility/Gkv.cs

@@ -0,0 +1,127 @@
+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// GKV: Garman-Klass Volatility
+/// An efficient estimator of volatility that uses open, high, low,
+/// and close prices to capture intraday price movements.
+/// </summary>
+/// <remarks>
+/// The GKV calculation process:
+/// 1. Calculate components using OHLC prices
+/// 2. Combine components using optimal weights
+/// 3. Take rolling average over period
+/// 4. Annualize and convert to percentage
+///
+/// Key characteristics:
+/// - More efficient than close-to-close volatility
+/// - Uses full OHLC price information
+/// - Default period is 20 days
+/// - Annualized by default
+/// - Expressed as a percentage
+///
+/// Formula:
+/// u = ln(High/Low)²/2
+/// c = ln(Close/Open)²
+/// GKV = sqrt(sum((0.5*u - (2*ln(2)-1)*c) / period) * 252) * 100
+///
+/// Market Applications:
+/// - Volatility estimation
+/// - Risk measurement
+/// - Option pricing
+/// - Trading strategy development
+/// - Market analysis
+///
+/// Sources:
+///     Garman and Klass (1980)
+///     Journal of Business 53(1): 67-78
+///
+/// Note: Returns annualized volatility as a percentage
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Gkv : AbstractBase
+{
+    private readonly int _period;
+    private readonly bool _annualize;
+    private readonly CircularBuffer _components;
+    private readonly double _ln2;
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Gkv(int period = 20, bool annualize = true)
+    {
+        _period = period;
+        _annualize = annualize;
+        WarmupPeriod = period;
+        Name = $"GKV({_period})";
+        _components = new CircularBuffer(period);
+        _ln2 = Math.Log(2);
+        Init();
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Gkv(object source, int period = 20, bool annualize = true) : this(period, annualize)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override void Init()
+    {
+        base.Init();
+        _components.Clear();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Value;
+            _index++;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Calculate components
+        double u = Math.Log(BarInput.High / BarInput.Low);
+        u = u * u / 2;
+
+        double c = Math.Log(BarInput.Close / BarInput.Open);
+        c = c * c;
+
+        // Combine components with optimal weights
+        double component = 0.5 * u - (2 * _ln2 - 1) * c;
+        _components.Add(component);
+
+        // Need enough values for calculation
+        if (_index <= _period)
+        {
+            return 0;
+        }
+
+        // Calculate average component
+        double avgComponent = _components.Average();
+
+        // Calculate volatility
+        double volatility = Math.Sqrt(avgComponent);
+
+        // Annualize if requested
+        if (_annualize)
+        {
+            volatility *= Math.Sqrt(252);
+        }
+
+        // Convert to percentage
+        volatility *= 100;
+
+        IsHot = _index >= WarmupPeriod;
+        return volatility;
+    }
+}