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reestimation frequency historic vol #595
reestimation frequency historic vol #595
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…ps://github.com/macrosynergy/macrosynergy into feature/reestimation_frequency_historic_vol_589
In case of a daily reestimation freq., the program still uses |
…ncy_historic_vol_589_rs code change for reshape of df_out and forward fill
…into feature/reestimation_frequency_historic_vol_589
…into feature/reestimation_frequency_historic_vol_589
updating branch with recent changes
Codecov ReportBase: 59.23% // Head: 59.47% // Increases project coverage by
📣 This organization is not using Codecov’s GitHub App Integration. We recommend you install it so Codecov can continue to function properly for your repositories. Learn more Additional details and impacted files@@ Coverage Diff @@
## develop #595 +/- ##
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+ Coverage 59.23% 59.47% +0.24%
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Files 29 29
Lines 3049 3119 +70
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+ Hits 1806 1855 +49
- Misses 1243 1264 +21
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This branch changes how the historic volatility function runs.
Till now, the historic volatility was being calculated on every date in the input dataframe. This is now changed, to allow for a specific frequency (w, m, q, y) of dates when the hist. vol. is being calculated. The lookback period remains unaffected, still calculated in days; with the only change coming to the actual dates for which the calculation is done.