WebCab Portfolio for COM v5.0 Demo

Volatility.YearDaysRescaling Method 

Calculates the value of the volatility over a given number of days when the annual volatility is known.

public double YearDaysRescaling(
   double volPerAnnum,
   double daysRescaledTo,
   int convention
);

Parameters

volPerAnnum
The volatility per annum expressed in decimal format (i.e. 1 pecent = 0.01).
daysRescaledTo
The number of days which the volatility is rescaled to. In particular, the doubled returned with represent volatility per d days.
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 given with respect 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