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use:
if NumberDays > 1 then begin
end;
----- Original Message -----
From: "Jim Bronke" <jvbronke@xxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Saturday, August 18, 2001 9:03 AM
Subject: Re: Correction to TS function - 'VolatilityStdDev'
> The code needs to include a divide by zero check as follows:
>
> Inputs: NumberDays(Numeric);
> Variables: AssetPrice(0), Answer(0), Count(0), AvgDiff(0), SumDiff(0);
>
> If NumberDays - 1 <> 0 then begin
>
> AvgDiff = Average((log(Close[0] / Close[1])), NumberDays);
> SumDiff = Summation(((Log(Close[0] / Close[1])) - AvgDiff) *
((Log(Close[0]
> / Close[1])) - AvgDiff), NumberDays);
> Answer = (SquareRoot(SumDiff / NumberDays - 1)) * 16 ; {Annualize
> Calculation sq root of 256 days}
> If Answer <= 0 Then
> Answer = 0;
> If Answer >= 2.99 Then
> Answer = 2.99;
>
> VolatilityStdDev = Answer;
>
> end;
>
> If a 1 was entered in for the number of days you would be in trouble.
> thanks for your input Brian.
>
> Jim Bronke
>
> >
> > ----- Original Message -----
> > From: "Brian Mense" <bmense@xxxxxxxxxx>
> > To: <omega-list@xxxxxxxxxx>
> > Sent: Friday, August 17, 2001 7:39 PM
> > Subject: Correction to TS function - 'VolatilityStdDev'
> >
> >
> > : Hi,
> > :
> > : I thought I would pass along a correction we made in a formula in
> TS2000i.
> > : The VolatilityStdDev function contains a line which reads 'Answer =
> > : (SquareRoot(SumDiff / NumberDays) * SquareRoot(252); {Annualize
> > : Calculation}' which should read 'Answer = (SquareRoot(SumDiff /
> > : (NumberDays-1))) * SquareRoot(256); {Annualize Calculation - 256 is
the
> #
> > of
> > : trading days}'. Notice the NumberDays now has a -1 after it. Don't
> worry
> > : about the change from 252 to 256 right now.
> > :
> > : I discovered this after comparing Volatility calculations that I had
in
> > : Excel were not matching what was in TS. This appears to be the root
> cause
> > : of the difference and this is the primary difference in our formula
> versus
> > : TS. The next task was to determine which fomula was correct. It
> appears
> > : our original formula is the accepted method of calculating the
> historical
> > : volatility based on a centered approach, not TS's. At least according
> to
> > : Active Trader magazine and FutureSource.
> > :
> > : For what it's worth, this 'little' difference caused some pretty big
> > : differences in my numbers.
> > :
> > : I also change the number used to Annualize the value from 252 to 256.
> My
> > : wife tells me I'm anal, I'm not sure why she thinks that. ;-)
> > :
> > : Brian
> > :
> >
>
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