5.111 calc_vola_basket_cpp

Loadable Function: Volatility = calc_vola_basket_cpp(M1,

TF, exponents, prefactors)

Compute the diversified volatility of a basket of securities.

This function uses long double precision to handle large volatilities.

Input and output variables:

• M1: M1 of basket vola function
• TF: time factor in years
• exponents: Matrix with exponents (in columns) and different scenarios in rows
• prefactors: Matrix with prefactors (in columns) and different scenarios in rows
• vola: OUTPUT: basket volatility (vector)