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Great library. I have a question about how you would get the volatility value (20) in the below example
c = mibian.BS([1.4565, 1.45, 1, 30], volatility=20)
I'm currently using dataframe close prices like so
logreturn = np.log(df/df.shift(1)) volatility = np.sqrt(252*logreturn.var())
I've seen in your code the line below but just multiplying what I currently use by 100 still isn't very clean
self.volatility = float(volatility) / 100
Can you clarify how you would get 20 for volatility?
The text was updated successfully, but these errors were encountered:
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Great library. I have a question about how you would get the volatility value (20) in the below example
I'm currently using dataframe close prices like so
I've seen in your code the line below but just multiplying what I currently use by 100 still isn't very clean
Can you clarify how you would get 20 for volatility?
The text was updated successfully, but these errors were encountered: