VolTargeting

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Library "VolTargeting"

ewmaVol(estimationWdw)
  Calculates an exponentially weighted annualised volatility
  Parameters:
    estimationWdw (simple int): Half life of exponential weighting scheme
  Returns: Exponentially weighted annualised volatility

volTargettedSize(nominalBalance, targetVolContribution, forecastVol)
  Calculates a volatility-targetted position size in number of units
  Parameters:
    nominalBalance (float): Portfolio size on which to calculate volatility targets
    targetVolContribution (float): Amount of volatility to be assigned to this position
    forecastVol (float): Volatility forecast to use in position size calculation as %
  Returns: Position size in units (shares, contracts, etc)

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