calcVol: Calculates the volatility of a spread

In helenristov/aCompiler: What the package does (short line)

Description

Calculates the volatility of a spread

Usage

calcVol(spread, vol.settings, type = "Diff", .combine = TRUE, incr = 0,
  minVol = NULL)

Arguments

spread	A price series on which you want to compute the hourly volatility measure over a specified period of time
type	The type of volatility to compute. Valid selections are Diff and PBands
.combine	A boolean that sets if we want to merge the periods and return the mean of the rolling vol measures over those periods.
dPeriod	The number of days used to compute the hourly volatility. Default is set to NA and should be used when selecting PBands type
dFast	The number of days for the pbands fast moving average
dSlow	The number of days for the pbands slow moving average

Author(s)

Helena Ristov

helenristov/aCompiler documentation built on May 3, 2019, 9:40 p.m.