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oVol_EWMA( ) Function

Component

Resolution - Utility

 

 

Function Definition

oVol_EWMA(Prices, NTradePds, Decay, Output)

Returns a volatility estimate for a defined option life based on the standard EWMA model

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

Prices

 

Time series vector of asset prices

 

Curve

 

NTradePds

 

Number of trading days in a year

 

Double

 

Decay

 

The rate of decay (optional)

 

Double

 

Output

 

Indicates which result, or set of results, will be displayed in the worksheet. When returning more than one value, the function must be entered as an array function.

 

Enumerated Constant

 

0 - All values
1 - Estimated volatility for life of option
2 - Periodic volatility

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