From 41562f7e7091c3b0d53325ecead4b8b1e46382b1 Mon Sep 17 00:00:00 2001 From: Gourav Kumar Date: Sun, 1 May 2022 13:03:00 +0530 Subject: [PATCH] returns are not compounded during voloatility calculations --- fincal/fincal.py | 5 +---- 1 file changed, 1 insertion(+), 4 deletions(-) diff --git a/fincal/fincal.py b/fincal/fincal.py index 0b34c43..6a4986d 100644 --- a/fincal/fincal.py +++ b/fincal/fincal.py @@ -449,7 +449,7 @@ class TimeSeries(TimeSeriesCore): prior_match: str = "closest", closest: Literal["previous", "next", "exact"] = "previous", if_not_found: Literal["fail", "nan"] = "fail", - annual_compounded_returns: bool = None, + annual_compounded_returns: bool = False, date_format: str = None, ) -> float: """Calculates the volatility of the time series.add() @@ -504,9 +504,6 @@ class TimeSeries(TimeSeriesCore): if to_date is None: to_date = self.end_date - if annual_compounded_returns is None: - annual_compounded_returns = False if frequency.days <= 366 else True - rolling_returns = self.calculate_rolling_returns( from_date=from_date, to_date=to_date,