"ohlc" <- function(op,hi,lo,cl,f=0.729,nsplit=0,split=0){
# Compute volatility based on daily open, high, low and closing prices.
# f is the fraction of the day that trading is closed.
# 
# If nsplit > 0, then split contains the information of (time,ratio) 
# of the splits.
#
n=length(op)
nm1=n-1
#print(split)
s0 = diff(cl)^2
s1 = (op[2:n]-cl[1:nm1])^2/(2*f) + (cl[2:n]-op[2:n])^2/(2*(1-f))
s2 = 0.3607*(hi[2:n]-lo[2:n])^2
s3 = 0.17*(op[2:n]-cl[1:nm1])^2/f + 0.83*(hi[2:n]-lo[2:n])^2/((1-f)*4*log(2))
s5= 0.5*(hi[2:n]-lo[2:n])^2-0.386*(cl[2:n]-op[2:n])^2
s6= 0.12*(op[2:n]-cl[1:nm1])^2/f + 0.88 *s5/(1-f)
# take care of stock split
if (nsplit > 0){
if(nsplit==1){
spp=matrix(split,1,2)
}
for (i in 1:nsplit){
idx=spp[i,1]
ratio=spp[i,2]
s0[idx]=(cl[idx+1]-cl[idx]*ratio)^2
s1[idx]= (op[idx+1]-cl[idx]*ratio)^2/(2*f)+(cl[idx+1]-op[idx+1])^2/(2*(1-f))
s3[idx]=0.17*(op[idx+1]-cl[idx]*ratio)^2/f + 0.83*(hi[idx+1]-lo[idx+1])^2/((1-f)*4*log(2))
s6[idx]= 0.12*(op[idx+1]-cl[idx]*ratio)^2/f + 0.88 *s5[idx]/(1-f)
}
}

ohlc<-list(s0sq=s0,s1sq=s1,s2sq=s2,s3sq=s3,s5sq=s5,s6sq=s6)
}