On Fri, 2009-02-20 at 12:52 -0600, MC wrote:
> I am a new quantlib user, so please excuse me for my naive question.
> Is their a way in quantlib to calculate historical volatility?
> I know I can easily calculate variance in my C++ code but I just
> wanted to know If given a time series of historic stock prices is
> their a way to calculate historic volatility and return.
Not directly. You can use the statistics classes in
<ql/math/statistics> to build a solution.
Luigi
--
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you can't get them together again, there must be a reason. By all
means, do not use a hammer.
-- IBM maintenance manual, 1925
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