Add a useful package (from Source forge) for octave

[CreaPhase.git] / octave_packages / financial-0.4.0 / vol.m

diff --git a/octave_packages/financial-0.4.0/vol.m b/octave_packages/financial-0.4.0/vol.m
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+## Copyright (C) 1995-1998, 2000, 2002, 2005-2007 Friedrich Leisch <Friedrich.Leisch@ci.tuwien.ac.at>
+##
+## This program is free software; you can redistribute it and/or modify it under
+## the terms of the GNU General Public License as published by the Free Software
+## Foundation; either version 3 of the License, or (at your option) any later
+## version.
+##
+## This program is distributed in the hope that it will be useful, but WITHOUT
+## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
+## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
+## details.
+##
+## You should have received a copy of the GNU General Public License along with
+## this program; if not, see <http://www.gnu.org/licenses/>.
+
+## -*- texinfo -*-
+## @deftypefn {Function File} {@var{volat} =} vol (@var{x}, @var{m}, @var{n})
+## Return the volatility @var{volat} of each column of the input matrix @var{x}.
+##
+## The number of data sets per period is given by @var{m} (e.g. the
+## number of data per year if you want to compute the volatility per
+## year).  The optional parameter @var{n} gives the number of past
+## periods used for computation, if it is omitted, a value of 1 is used.
+##
+## If @var{t} is the number of rows of @var{x}, @code{vol} returns the
+## volatility from @code{n*m} to @var{t}.
+##
+## @end deftypefn
+
+function retval = vol (X, m, n)
+
+  if (nargin < 2)
+    print_usage ();
+  endif
+
+  [xr, xc] = size (X);
+
+  if (nargin > 2)
+    if (n * m > xr)
+      error ("vol: I need more data!");
+    endif
+  else
+    n = 1;
+    if (n * m > xr)
+      error ("vol: I need more data!");
+    endif
+  endif
+
+  U = zeros (xr - 1, xc);
+
+  if (all (X))
+    U = X ((2 : xr), :) ./ X((1 : (xr-1)), :);
+  else
+    error ("vol: zero element in X");
+  endif
+
+  U = log(U);
+  U = U - ones (xr - 1, 1) * sum (U) / (xr - 1);
+
+  retval = zeros (xr - n * m, xc);
+
+  retval(1, :) = sumsq (U((1 : n*m), :));
+  for i = 2 : (xr - n * m)
+    retval(i, :) = retval(i - 1, :) ...
+        - U(i - 1, :).^2 + U(i + n * m - 1, :).^2;
+  endfor
+
+  retval = sqrt (retval * m / (n * m - 1));
+
+endfunction