Struct EWMAVolatilityInput 

pub struct EWMAVolatilityInput {
    pub returns: TimeSeries,
    pub lambda: f64,
    pub forecast_horizon: usize,
}

Input for EWMA volatility analysis.

Ring message type_id: 2052 (TemporalAnalysis domain)

Fields

returns: TimeSeries

Time series of returns.

lambda: f64

Decay factor (lambda), typically 0.94 for daily data.

forecast_horizon: usize

Forecast horizon.

Implementations

impl EWMAVolatilityInput

pub const fn message_type_id() -> u64

Get the message type ID.

impl EWMAVolatilityInput

pub fn new(returns: TimeSeries, lambda: f64, forecast_horizon: usize) -> Self

Create a new EWMA volatility input.

pub fn riskmetrics(returns: TimeSeries, forecast_horizon: usize) -> Self

Create with RiskMetrics lambda (0.94).

Trait Implementations

impl BatchKernel<EWMAVolatilityInput, EWMAVolatilityOutput> for VolatilityAnalysis

fn execute<'life0, 'async_trait>( &'life0 self, input: EWMAVolatilityInput, ) -> Pin<Box<dyn Future<Output = Result<EWMAVolatilityOutput>> + Send + 'async_trait>>

where Self: 'async_trait, 'life0: 'async_trait,

Execute the kernel with the given input.

fn validate_input(&self, _input: &I) -> Result<(), KernelError>

Validate the input before execution.

impl BatchMessage for EWMAVolatilityInput

fn message_type_id() -> u64

Get the message type ID.

fn to_json(&self) -> Result<Vec<u8>, Error>

Serialize to JSON bytes.

fn from_json(bytes: &[u8]) -> Result<Self, Error>

where Self: Sized,

Deserialize from JSON bytes.

fn size_hint(&self) -> usize

Get the size hint for serialized data.

impl Clone for EWMAVolatilityInput

fn clone(&self) -> EWMAVolatilityInput

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for EWMAVolatilityInput

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for EWMAVolatilityInput

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Serialize for EWMAVolatilityInput

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.