test/historical_volatility.c


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#include <math.h>
#include <stddef.h>
#include "ts.h"

bool ts_test_historical_volatility( void )
{
    fp_t const x[] = { 100, 101, 100, 102, 101, 100, 103, 101, 102, 100 };
    fp_t const * const inp[1] = { x };

    /* k=3, initial window at y[0][2], rolling windows at y[0][3..8] */
    fp_t const e[] = { 0.196453, 0.222285, 0.222285, 0.295293, 0.337649, 0.320724, 0.221194, 0 };
    fp_t const * const exp[1] = { e };

    uint_t k = 3;
    return ts_test(ts_historical_volatility, ts_historical_volatility_offset, inp, exp, sizeof( x ) / sizeof( *x ), (ts_constant_t *)&k, &ts_historical_volatility_p);
}