/**
* @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);
}
/**
* @param x An array of DoubleTimeSeries. The series <b>must</b> contain at least four elements;
* the asset price series, the dividend price series (can be null but it must be the second
* element), the reference price series and the reference dividend series. Any further
* elements will be ignored.
* @throws IllegalArgumentException If the array is null
* @throws TimeSeriesException Throws an exception if: the array is null; the array has less than
* two elements; the calculation mode is strict and the price series are not the same length.
* @return A DoubleTimeSeries containing the excess return series.
*/
@Override
public LocalDateDoubleTimeSeries evaluate(final LocalDateDoubleTimeSeries... x) {
Validate.notNull(x, "x");
if (x.length < 4) {
throw new TimeSeriesException("Time series array must contain at least four elements");
}
if (getMode() == CalculationMode.STRICT && x[0].size() != x[2].size()) {
throw new TimeSeriesException(
"Asset price series and reference price series were not the same size");
}
final LocalDateDoubleTimeSeries assetReturn =
x[1] == null
? _returnCalculator.evaluate(x[0])
: _returnCalculator.evaluate(Arrays.copyOfRange(x, 0, 2));
final LocalDateDoubleTimeSeries referenceReturn =
x[3] == null
? _returnCalculator.evaluate(x[2])
: _returnCalculator.evaluate(Arrays.copyOfRange(x, 2, 4));
return (LocalDateDoubleTimeSeries) assetReturn.subtract(referenceReturn);
}