Volatility Cone – C# Source Code

While the generation of volatility cone[1] [2] can be done via e.g. a spreadsheet, the calculation is a bit repetitive and is thus more convenient to code it in C#.

• Author: David Y
• Date of first release:2014-08-30
• Version: 1.0.0
• License: BSD
• Language: C# (tested in VS Express 2013 for Desktop)

Click here to download

Demystify the Volatility Cone

Volatility cone is a visualisation tool for the display of historical volatility term structure. It was introduced by Burghardt and Lane[1] in early 1990 and is popular in the option trading community. Using the same methodology, we can extend the use of such chart for periodic return data. I find these charts useful not only for options but also for the general market. Continue reading “Demystify the Volatility Cone”