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[BUG] #78
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@gautambak The code is missing a import gs_quant.timeseries as ts
x = ts.generate_series(1000) # Generate random timeseries with 1000 observations
vol = ts.volatility(x, ts.Window(22, 0)) # Compute realized volatility using a window of 22 and a ramp up value of 0
print(vol.tail()) That should work for you now. |
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Describe the bug
Sample code does not work. Window is not defined in the example.
To Reproduce
Run first sample code in github page
I fixed this by adding ts to the front window variable but I think the example should be updated.
This is what works - (ts added to ..ts.Window(22, 0)) )
import gs_quant.timeseries as ts
x = ts.generate_series(1000) # Generate random timeseries with 1000 observations
vol = ts.volatility(x, ts.Window(22, 0)) # Compute realized volatility using a window of 22 and a ramp up value of 0
vol.tail()
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