RiskTSTransform

Description

RiskTSTransform(transform function type, transform shift) specifies that a time series function will have the specified transformation applied to the process result.

The transform function type is the type of transformation function to apply, and transform shift is the data shift to apply.

Examples

RiskGBM(0.2, 0,05, RiskTSTransform(1, 5)) will exponentiate the process result, and subtract 5 from each item in the transformed process.

Guidelines

The RiskTSTransform property function is automatically added to fitted time series functions if the original data was transformed using a Logarithmic or Square Root transformation.

The transform function type is specified as a value between 0 and 2, where. 0=None, 1= Exponentiate, and 2=Square.

The transform shift is subtracted from the process result after the transformation function is applied.