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your missing the parenthesis, hence your getting the divide by zero error.
Make sure that you have (NumberDays-1) in parenthesis. If you don't you are
dividing by Numbers of Days and then subtracting 1. You need to subtract
one from NumberDays and then use that result in the division.
Brian
----- Original Message -----
From: "Valerie Ridgway" <val.ridgway@xxxxxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Saturday, August 18, 2001 10:14 AM
Subject: Re: Correction to TS function - 'VolatilityStdDev'
> 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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