# Copyright 2016-present CERN – European Organization for Nuclear Research
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# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
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# http://www.apache.org/licenses/LICENSE-2.0
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from numpy import std, sqrt
from qf_lib.containers.series.returns_series import ReturnsSeries
[docs]def intraday_volatility(returns: ReturnsSeries, interval_in_minutes: int) -> float:
"""
Calculates annualised volatility from intraday samples of given interval.
Parameters
----------
returns: ReturnsSeries
timeseries of intraday returns
interval_in_minutes: int
interval between samples (in minutes)
Returns
-------
float
annualized intraday volatility calculated from intraday returns
"""
unannualized_volatility = std(returns.values)
minutes_in_trading_day = 390 # 6.5h * 60 min/h = 390min
intervals_in_day = minutes_in_trading_day / interval_in_minutes
business_days_per_year = 252
return unannualized_volatility * sqrt(intervals_in_day * business_days_per_year)