23 TimeSeries<Volatility>
26 const std::vector<Volatility> u = volatilitySeries.
values();
28 cur = volatilitySeries.
begin();
29 std::advance(cur,
size_);
33 Real sumu2=0.0, sumu=0.0;
34 for (j=i-
size_; j <i; j++) {
40 retval[cur->first] =
s;
TimeSeries< Volatility > calculate(const TimeSeries< Volatility > &) override
Container for historical data.
Container::const_iterator const_iterator
const_iterator begin() const
std::vector< T > values() const
returns the historical data
Size size() const
returns the number of historical data including null ones
Constant volatility estimator.
std::size_t Size
size of a container