WebCab Portfolio Web Services for .NET v5.0 Demo | |
Volatility.DaysYearRescaling Method
Evaluates the annual volatility when the volatility of a given number of days is known.
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:
- convention = 0: then the 252 day count convention is used.
- conventino = 1: then the 360 day count convention is used.
- 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 Type | Condition |
---|
OptionsException | Thrown when the day count convention is not correctly specified. |
See Also
Volatility Class | Portfolio Namespace