Volatility.RescaleDayVol 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:

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.

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Remarks

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

Excel Remarks

The full name of this function inside Excel is Port_Volatility_RescaleDayVol.

Exceptions

See Also

Volatility Class | Portfolio Namespace

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