Struct ReturnsVolatility 

pub struct ReturnsVolatility { /* private fields */ }

Calculates the annualized volatility (standard deviation) of portfolio returns.

Volatility is calculated as the standard deviation of returns, annualized by multiplying the daily standard deviation by the square root of the period: Standard Deviation * sqrt(period)

Uses Bessel’s correction (ddof=1) for sample standard deviation. This provides a measure of the portfolio’s risk or uncertainty of returns.

References

• CFA Institute Level I Curriculum: Quantitative Methods
• Hull, J. C. (2018). Options, Futures, and Other Derivatives (10th ed.). Pearson.
• Fabozzi, F. J., et al. (2002). The Handbook of Financial Instruments. Wiley.

Implementations

impl ReturnsVolatility

pub fn new(period: Option<usize>) -> Self

Creates a new ReturnsVolatility instance.

Trait Implementations

impl Clone for ReturnsVolatility

fn clone(&self) -> ReturnsVolatility

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for ReturnsVolatility

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

Formats the value using the given formatter.

impl Display for ReturnsVolatility

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

Formats the value using the given formatter.

impl PortfolioStatistic for ReturnsVolatility

type Item = f64

fn name(&self) -> String

Returns the name of this statistic for display and identification purposes.

fn calculate_from_returns(&self, raw_returns: &Returns) -> Option<Self::Item>

Calculates the statistic from time-indexed returns data.

fn calculate_from_realized_pnls( &self, _realized_pnls: &[f64], ) -> Option<Self::Item>

Calculates the statistic from realized profit and loss values.

fn calculate_from_positions( &self, _positions: &[Position], ) -> Option<Self::Item>

Calculates the statistic from position data.

fn calculate_from_orders( &self, orders: Vec<Box<dyn Order>>, ) -> Option<Self::Item>

Calculates the statistic from order data.

fn calculate_from_returns_with_benchmark( &self, returns: &Returns, benchmark: &Returns, ) -> Option<Self::Item>

Calculates the statistic from time-indexed strategy returns relative to a benchmark.

fn align_returns(&self, a: &Returns, b: &Returns) -> (Vec<f64>, Vec<f64>)

Aligns two returns series onto a common daily grid.

fn check_valid_returns(&self, returns: &Returns) -> bool

Validates that returns data is not empty.

fn downsample_to_daily_bins(&self, returns: &Returns) -> Returns

Downsamples high-frequency returns to daily bins by geometric compounding.

fn calculate_std(&self, returns: &Returns) -> f64

Calculates the standard deviation of returns with Bessel’s correction.