|
|
@ -168,3 +168,12 @@ class TestVolatility: |
|
|
|
assert round(sd, 6) == 0.023164 |
|
|
|
sd = ts.volatility(from_date="2017-10-01", to_date="2019-08-31", annualize_volatility=True) |
|
|
|
assert round(sd, 6) == 0.050559 |
|
|
|
sd = ts.volatility(from_date="2017-02-01", frequency="M", return_period_unit="months") |
|
|
|
assert round(sd, 6) == 0.050884 |
|
|
|
sd = ts.volatility( |
|
|
|
frequency="M", |
|
|
|
return_period_unit="months", |
|
|
|
return_period_value=3, |
|
|
|
annualize_volatility=False, |
|
|
|
) |
|
|
|
assert round(sd, 6) == 0.020547 |
|
|
|