@railpath/finance-toolkit/dist/risk/calculateVolatility.js

Production-ready finance library for portfolio construction, risk analytics, quantitative metrics, and ML-based regime detection

"use strict";
Object.defineProperty(exports, "__esModule", { value: true });
exports.calculateVolatility = calculateVolatility;
const calculateEWMAVolatility_1 = require("./calculateEWMAVolatility");
const calculateGarmanKlassVolatility_1 = require("./calculateGarmanKlassVolatility");
const calculateParkinsonVolatility_1 = require("./calculateParkinsonVolatility");
const calculateStandardDeviation_1 = require("./calculateStandardDeviation");
/**
 * Calculate volatility using various methods
 *
 * @param returns Array of log returns
 * @param options Volatility calculation options
 * @returns Volatility result with value and metadata
 */
function calculateVolatility(returns, options) {
    if (returns.length < 2) {
        throw new Error('At least 2 returns required for volatility calculation');
    }
    let value;
    switch (options.method) {
        case 'standard':
            value = (0, calculateStandardDeviation_1.calculateStandardDeviation)(returns);
            break;
        case 'exponential':
            value = (0, calculateEWMAVolatility_1.calculateEWMAVolatility)(returns, options.lambda ?? 0.94);
            break;
        case 'parkinson':
            if (!options.highPrices || !options.lowPrices) {
                throw new Error('High and low prices required for Parkinson method');
            }
            value = (0, calculateParkinsonVolatility_1.calculateParkinsonVolatility)(options.highPrices, options.lowPrices);
            break;
        case 'garman-klass':
            if (!options.highPrices || !options.lowPrices || !options.openPrices || !options.closePrices) {
                throw new Error('OHLC prices required for Garman-Klass method');
            }
            value = (0, calculateGarmanKlassVolatility_1.calculateGarmanKlassVolatility)(options.openPrices, options.highPrices, options.lowPrices, options.closePrices);
            break;
        default:
            throw new Error(`Unknown volatility method: ${options.method}`);
    }
    const result = {
        value,
        method: options.method,
    };
    if (options.annualizationFactor) {
        result.annualized = value * Math.sqrt(options.annualizationFactor);
    }
    return result;
}