WebCab Portfolio for .NET v5.0 Demo | |
Volatility.YearDaysRescaling Method
Calculates the value of the volatility over a given number of days when the annual volatility is known.
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:
- 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 given with respect 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 | WebCab.Libraries.Finance.Portfolio Namespace