Struct CloseToClose 

pub struct CloseToClose { /* private fields */ }

Standard close-to-close realised volatility estimator.

Uses log-returns: r_t = ln(C_t / C_{t-1}). σ_ann = std(r) × √(bars_per_year).

Implementations

impl CloseToClose

pub fn new(window: usize, bars_per_year: f64) -> Result<Self, FinError>

Create a new close-to-close estimator.

• window: number of bars in the rolling window.
• bars_per_year: annualisation factor (252 for daily, 252×6.5×60 for minute bars).

Errors

FinError::InvalidPeriod if window == 0.

pub fn update(&mut self, close: f64) -> Option<f64>

Push the latest close price. Returns annualised volatility once the window is full.

pub fn warmup_period(&self) -> usize

Minimum observations before output is emitted.

Trait Implementations

impl Clone for CloseToClose

fn clone(&self) -> Self

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for CloseToClose

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.