Class RealizedVarianceTenorCalculator

Inheritance Relationships

Base Type

Class Documentation

class RealizedVarianceTenorCalculator : public otyca::TenorCalculator

A class that calculates realized variance time for different market periods.

This class computes various time-related values such as trade hour variance, non-trade day variance, and the variance for trade days with non-trade hours. It also provides functions to calculate the year fraction between two times and allows setting customized time periods and weights.

Public Functions

inline RealizedVarianceTenorCalculator(double trade_hour_variance_weight, double non_trade_day_variance_weight, double trade_day_non_trade_hour_variance_weight)

Constructor for RealizedVarianceTimeCalculator with custom variance weights.

This constructor initializes the class with given weights for trade hour variance, non-trade day variance, and trade day non-trade hour variance. It also initializes the day start and finish times.

Parameters:

  • trade_hour_variance_weight – The weight for trade hour variance.

  • non_trade_day_variance_weight – The weight for non-trade day variance.

  • trade_day_non_trade_hour_variance_weight – The weight for trade day non-trade hour variance.

inline RealizedVarianceTenorCalculator()

Default constructor for RealizedVarianceTimeCalculator.

This constructor initializes the class with default weights for the different variances.

inline void init()

Initializes the time-related variables.

This method calculates the seconds for various periods in the trading day and in the year, and sets up the corresponding variance weights.

inline virtual ~RealizedVarianceTenorCalculator()

Destructor for RealizedVarianceTimeCalculator.

inline double trade_day_non_trade_hour_seconds(const boost::posix_time::ptime &begin, const boost::posix_time::ptime &end) const

Calculates the non-trade hour seconds within a trade day.

This method computes the number of non-trade hour seconds within the trade day between the given begin and end times.

Parameters:

  • begin – The start time of the period.

  • end – The end time of the period.

Returns:

The number of non-trade hour seconds.

inline double non_trade_seconds(const boost::posix_time::ptime &begin, const boost::posix_time::ptime &end) const

Calculates the non-trade day seconds between two given times.

This method computes the number of non-trade day seconds between the given begin and end times.

Parameters:

  • begin – The start time of the period.

  • end – The end time of the period.

Returns:

The number of non-trade day seconds.

double trade_hour_seconds(const boost::posix_time::ptime &begin, const boost::posix_time::ptime &end) const

Calculates the trade hour seconds between two given times.

This method computes the number of trade hour seconds between the given begin and end times.

Parameters:

  • begin – The start time of the period.

  • end – The end time of the period.

Returns:

The number of trade hour seconds.

double non_trade_day_seconds(const boost::posix_time::ptime &begin, const boost::posix_time::ptime &end) const

Calculates the non-trade day seconds between two given times.

This method computes the number of non-trade day seconds between the given begin and end times.

Parameters:

  • begin – The start time of the period.

  • end – The end time of the period.

Returns:

The number of non-trade day seconds.

virtual double tenor(const boost::posix_time::ptime &begin, const boost::posix_time::ptime &end) const

Calculates the year fraction between two given times.

This method computes the fraction of a year between the begin and end times provided.

Parameters:

  • begin – The start time.

  • end – The end time.

Returns:

The year fraction between begin and end.

inline const boost::posix_time::time_duration &get_day_finish() const

Gets the finish time of the trading day.

This method returns the finish time for the trading day.

Returns:

A reference to the day finish time.

inline const boost::posix_time::time_duration &get_day_start() const

Gets the start time of the trading day.

This method returns the start time for the trading day.

Returns:

A reference to the day start time.

inline void set_day_start_finish(const boost::posix_time::time_duration &day_start, const boost::posix_time::time_duration &day_finish)

Sets the start and finish times for the trading day.

This method allows setting custom start and finish times for the trading day, recalculating related time values.

Parameters:

  • day_start – The new start time for the trading day.

  • day_finish – The new finish time for the trading day.

inline void set_variance_weights(double trade_hour_variance_weight, double non_trade_day_variance_weight, double trade_day_non_trade_hour_variance_weight)

Sets the variance weights.

This method sets custom variance weights for the different periods, normalizing the weights and recalculating the corresponding time values.

Parameters:

  • trade_hour_variance_weight – The weight for trade hour variance.

  • non_trade_day_variance_weight – The weight for non-trade day variance.

  • trade_day_non_trade_hour_variance_weight – The weight for trade day non-trade hour variance.