pfhedge.nn.functional.realized_volatility

pfhedge.nn.functional.realized_volatility(input, dt)

Returns the realized volatility of the price. It is square root of realized_variance().

Parameters

• input (torch.Tensor) – The input tensor.

• dt (torch.Tensor or float) – The intervals of the time steps.

Shape:

• input: \((*, T)\) where \(T\) stands for the number of time steps and \(*\) means any number of additional dimensions.

• output: \((*)\)

Returns

torch.Tensor