Historical Volatility Related Functions

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Construction Functions

Excel: =McpHistVols(args1, args2, args3, args4, args5, fmt="VP|HD")

• Function: Constructs a historical volatility object.
• Parameters:
  • ReferenceDate: Date, representing the trade date or valuation date.
  • Dates: Array, representing the dates of historical volatility.
  • Quotes: Array, representing the historical volatility quotes.
  • Periods: Integer, representing the number of data points used to calculate one volatility value.
  • Model: Enumeration value, representing the model.
  • ReturnMethod: Enumeration value, representing the return calculation method.
  • AnnualFactor: Float, representing the number of trading days in a year (default is 252).
  • Lamda: Float.
  • InterpolationMethod: Enumeration value, representing the interpolation method.
  • DayCounter: Enumeration value, representing the day count convention.
• Returns: A historical volatility object for subsequent calculations.

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Usage Functions

Excel: =HvsGetVol(hv, referenceDate)

Python: GetVol(referenceDate)

• Function: Retrieves the volatility for a specified date from a historical volatility object.
• Parameters:
  • hv: Object, representing the historical volatility object,Python API does not require this parameter.
  • ReferenceDate: Date, representing the specified date.
• Returns: Volatility for the specified date.

Excel: =HvsGetVols(hv, referenceDates, format="V")

Python: GetVols(referenceDates)

• Function: Retrieves the volatilities for a set of dates from a historical volatility object.
• Parameters:
  • hv: Object, representing the historical volatility object,Python API does not require this parameter.
  • referenceDates: Array, representing a set of dates.
  • format: Format, default value is "V",Excel-specific parameters.
• Returns: Volatilities for the set of dates, returned as an array.

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