WebCab Portfolio for COM v5.0 Demo

Volatility.DaysYearRescaling Method 

Evaluates the annual volatility when the volatility of a given number of days is known.

public double DaysYearRescaling(
   double volPerPeriod,
   double daysInPeriod,
   int convention
);

Parameters

volPerPeriod
The volatility over the given number days considered.
daysInPeriod
The number of days in period over which volatility is known. In the case that the daily volatility is given this parameter will be 1.
convention
Integer indicating the day count convention used in accordance with the following key:
  1. convention = 0: then the 252 day count convention is used.
  2. conventino = 1: then the 360 day count convention is used.
  3. convention = 2: then the 365 day count conventoin is used.
.

Remarks

The annual volatility may be evaluated with respec to either the 252, 360 or 365 days convention.

Exceptions

Exception TypeCondition
OptionsExceptionThrown when the day count convention is not correctly specified.

See Also

Volatility Class | WebCab.COM.Finance.Portfolio Namespace