ExponentialWeightedMovingAverageHistoricalVolatilityCalculator extends HistoricalVolatilityCalculator { @Override public Double evaluate(final LocalDateDoubleTimeSeries... x) { testTimeSeries(x, 3); final LocalDateDoubleTimeSeries returnTS = _returnCalculator.evaluate(x); final Iterator<Double> iter = returnTS.valuesIterator(); double returnValue = iter.next(); double variance = returnValue * returnValue; while (iter.hasNext()) { returnValue = iter.next(); variance = _lambda * variance + _lambdaM1 * returnValue * returnValue; } return Math.sqrt(variance); } ExponentialWeightedMovingAverageHistoricalVolatilityCalculator(final double lambda, final TimeSeriesReturnCalculator returnCalculator);  ExponentialWeightedMovingAverageHistoricalVolatilityCalculator(final double lambda, final TimeSeriesReturnCalculator returnCalculator, final CalculationMode mode); @Override Double evaluate(final LocalDateDoubleTimeSeries... x); @Override int hashCode(); @Override boolean equals(final Object obj);  }
@Test public void test() { assertEquals(Math.sqrt(252) * CALCULATOR.evaluate(CLOSE_TS), 0.2455, EPS); }