/**
* @param x The array of price time series. The first time series should be the price; any other
* arrays are assumed to be a timeseries of dividend payments.
* @return The exponential weighted historical volatility
* @throws IllegalArgumentException If x is null, empty or if the first element of the array is
* null; if the number of values in the time series is less than three; if the dates in the
* different time series do not coincide
*/
@Override
public Double evaluate(final LocalDateDoubleTimeSeries... x) {
testTimeSeries(x, 3);
final LocalDateDoubleTimeSeries returnTS = _returnCalculator.evaluate(x);
final Iterator<Double> iter = returnTS.valuesIterator();
double returnValue = iter.next();
double variance = returnValue * returnValue;
while (iter.hasNext()) {
returnValue = iter.next();
variance = _lambda * variance + _lambdaM1 * returnValue * returnValue;
}
return Math.sqrt(variance);
}
