I have found the code snippet for volatility, var95 and shortfall95
from my earlier project and removed all code that is not needed, for
those who are interested. (in this form it has not been tested).
Input: indexValue(), an array of consecutive close prices of an index
or security
Output: volatility(), an array of the volatility. var95(), an array of
value at risk 95%. sf95(), an array of shortfall based on var95
// calculate volatilitiy, VAR95 and shortfall
int var = 95;
// number of trading days in one year = period of
volatility
int volaBars = 252;
for (int pf = 0; pf < priceCount; pf++) {
List<Float> list = new ArrayList<Float>();
int n = Math.min(volaBars, pf);
if (n != 0) {
float vBar = 0, v = 0, stddev = 0,
variance = 0, volatility = 0;
// vBar = averaged sum of log price
changes
// = average price change
for (int j = pf - n + 1; j <= pf; j++) {
vBar +=
Math.log(indexValue(j) / indexValue(j - 1));
}
vBar /= n;
// sample standard deviation would be:
denominator = n - 1
// stddev = square root of averaged sum
of the squares
// of the daily difference of log price
changes
// and the average price change
for (int j = pf - n + 1; j <= pf; j++) {
v = (float)
Math.log(indexValue(j) / indexValue(j - 1));
variance += (v - vBar) * (v -
vBar);
//change in the index value
from previous day in percent
list.add((Float) (indexValue(j)
/ indexValue(j - 1) - 1F) *
100F);
}
// daily variance
variance /= Math.max(1, n - 1);
// daily standard deviation
stddev = (float) Math.sqrt(variance);
// volatility for period of vola bars
volatility(pf) = (float) (stddev *
Math.sqrt(volaBars));
// var95
Collections.sort(list);
int ind = (int) (n * (1F - var / 100f));
float var95(pf) = list.get(ind);
// calculate shortfall as average of
worst 5%
// does not include var95 border value
in shortfall
float sf95(pf) = 0;
for (int j = 0; j < ind; j++) {
sf95(pf) += list.get(j);
}
sf95(pf) /= ind;
if (sf95(pf) == 0) sf95(pf) = var95(pf);
}
}
You can change the VAR percentage to say 98% (set var = 98) or
calculate monthly instead of yearly volatility (set volaBars = 21).
--
You received this message because you are subscribed to the Google Groups
"JBookTrader" group.
To post to this group, send email to [email protected].
To unsubscribe from this group, send email to
[email protected].
For more options, visit this group at
http://groups.google.com/group/jbooktrader?hl=en.
