Struct VolatilityAnalysis 

pub struct VolatilityAnalysis { /* private fields */ }

Volatility analysis kernel using GARCH models.

Estimates conditional volatility using GARCH(p,q) models.

Implementations

impl VolatilityAnalysis

pub fn new() -> Self

Create a new volatility analysis kernel.

pub fn initialize_asset( &self, asset_id: u64, initial_volatility: f64, lambda: f64, )

Initialize or update GARCH state for an asset.

pub fn update_asset(&self, asset_id: u64, return_value: f64) -> (f64, f64, u64)

Update volatility state with a new return observation.

pub fn query_asset( &self, asset_id: u64, horizon: usize, ) -> Option<(f64, Vec<f64>, f64)>

Query volatility state for an asset.

pub fn update_ewma( &self, asset_id: u64, return_value: f64, lambda: f64, ) -> (f64, f64)

Update EWMA volatility for an asset.

pub fn compute( returns: &TimeSeries, params: GARCHParams, forecast_horizon: usize, ) -> VolatilityResult

Estimate volatility using GARCH model.

Arguments

• returns - Time series of returns (log returns preferred)
• params - GARCH(p,q) parameters
• forecast_horizon - Number of periods to forecast

pub fn compute_ewma( returns: &TimeSeries, lambda: f64, forecast_horizon: usize, ) -> VolatilityResult

EWMA (RiskMetrics-style) volatility estimation.

Arguments

• returns - Time series of returns
• lambda - Decay factor (typically 0.94 for daily data)
• forecast_horizon - Number of periods to forecast

pub fn compute_realized(returns: &TimeSeries, window: usize) -> Vec<f64>

Realized volatility (sum of squared returns).

Arguments

• returns - High-frequency returns
• window - Window for realized volatility calculation

pub fn parkinson_volatility(high: &[f64], low: &[f64]) -> Vec<f64>

Parkinson volatility estimator (high-low range).

pub fn garman_klass_volatility( open: &[f64], high: &[f64], low: &[f64], close: &[f64], ) -> Vec<f64>

Garman-Klass volatility estimator (OHLC data).

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.

fn execute_with_context<'life0, 'life1, 'async_trait>( &'life0 self, ctx: &'life1 ExecutionContext, input: I, ) -> Pin<Box<dyn Future<Output = Result<O, KernelError>> + Send + 'async_trait>>

where 'life0: 'async_trait, 'life1: 'async_trait, I: 'async_trait, Self: Sync + 'async_trait,

Execute the kernel with execution context.

fn execute_with_timeout<'life0, 'async_trait>( &'life0 self, input: I, timeout: Duration, ) -> Pin<Box<dyn Future<Output = Result<O, KernelError>> + Send + 'async_trait>>

where 'life0: 'async_trait, I: 'async_trait, Self: Sync + 'async_trait,

Execute the kernel with a timeout.

impl BatchKernel<VolatilityAnalysisInput, VolatilityAnalysisOutput> for VolatilityAnalysis

fn execute<'life0, 'async_trait>( &'life0 self, input: VolatilityAnalysisInput, ) -> Pin<Box<dyn Future<Output = Result<VolatilityAnalysisOutput>> + 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.

fn execute_with_context<'life0, 'life1, 'async_trait>( &'life0 self, ctx: &'life1 ExecutionContext, input: I, ) -> Pin<Box<dyn Future<Output = Result<O, KernelError>> + Send + 'async_trait>>

where 'life0: 'async_trait, 'life1: 'async_trait, I: 'async_trait, Self: Sync + 'async_trait,

Execute the kernel with execution context.

fn execute_with_timeout<'life0, 'async_trait>( &'life0 self, input: I, timeout: Duration, ) -> Pin<Box<dyn Future<Output = Result<O, KernelError>> + Send + 'async_trait>>

where 'life0: 'async_trait, I: 'async_trait, Self: Sync + 'async_trait,

Execute the kernel with a timeout.

impl Clone for VolatilityAnalysis

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 VolatilityAnalysis

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

Formats the value using the given formatter.

impl Default for VolatilityAnalysis

fn default() -> Self

Returns the “default value” for a type.

impl GpuKernel for VolatilityAnalysis

fn metadata(&self) -> &KernelMetadata

Returns the kernel metadata.

fn validate(&self) -> Result<(), KernelError>

Validate kernel configuration.

fn id(&self) -> &str

Returns the kernel ID.

fn requires_gpu_native(&self) -> bool

Returns true if this kernel requires GPU-native execution.

fn health_check(&self) -> HealthStatus

Perform a health check on this kernel.

fn shutdown(&self) -> Result<(), KernelError>

Graceful shutdown of the kernel.

fn refresh_config(&mut self, _config: &KernelConfig) -> Result<(), KernelError>

Refresh kernel configuration at runtime.

impl RingKernelHandler<QueryVolatilityRing, QueryVolatilityResponse> for VolatilityAnalysis

Ring handler for volatility queries.

fn handle<'life0, 'life1, 'async_trait>( &'life0 self, _ctx: &'life1 mut RingContext<'_>, msg: QueryVolatilityRing, ) -> Pin<Box<dyn Future<Output = Result<QueryVolatilityResponse>> + Send + 'async_trait>>

where Self: 'async_trait, 'life0: 'async_trait, 'life1: 'async_trait,

Handle an incoming message.

fn initialize<'life0, 'life1, 'async_trait>( &'life0 self, _ctx: &'life1 mut RingContext<'_>, ) -> Pin<Box<dyn Future<Output = Result<(), KernelError>> + Send + 'async_trait>>

where 'life0: 'async_trait, 'life1: 'async_trait, Self: Sync + 'async_trait,

Initialize the kernel state.

fn ring_shutdown<'life0, 'life1, 'async_trait>( &'life0 self, _ctx: &'life1 mut RingContext<'_>, ) -> Pin<Box<dyn Future<Output = Result<(), KernelError>> + Send + 'async_trait>>

where 'life0: 'async_trait, 'life1: 'async_trait, Self: Sync + 'async_trait,

Called when the kernel is being shut down.

fn handle_secure<'life0, 'life1, 'life2, 'life3, 'async_trait>( &'life0 self, ctx: &'life1 mut SecureRingContext<'life2, 'life3>, msg: M, ) -> Pin<Box<dyn Future<Output = Result<R, KernelError>> + Send + 'async_trait>>

where 'life0: 'async_trait, 'life1: 'async_trait, 'life2: 'async_trait, 'life3: 'async_trait, M: 'async_trait, R: 'async_trait, Self: Sync + 'async_trait,

Handle a message with security context.

impl RingKernelHandler<UpdateEWMAVolatilityRing, UpdateEWMAVolatilityResponse> for VolatilityAnalysis

Ring handler for EWMA volatility updates.

fn handle<'life0, 'life1, 'async_trait>( &'life0 self, _ctx: &'life1 mut RingContext<'_>, msg: UpdateEWMAVolatilityRing, ) -> Pin<Box<dyn Future<Output = Result<UpdateEWMAVolatilityResponse>> + Send + 'async_trait>>

where Self: 'async_trait, 'life0: 'async_trait, 'life1: 'async_trait,

Handle an incoming message.

fn initialize<'life0, 'life1, 'async_trait>( &'life0 self, _ctx: &'life1 mut RingContext<'_>, ) -> Pin<Box<dyn Future<Output = Result<(), KernelError>> + Send + 'async_trait>>

where 'life0: 'async_trait, 'life1: 'async_trait, Self: Sync + 'async_trait,

Initialize the kernel state.

fn ring_shutdown<'life0, 'life1, 'async_trait>( &'life0 self, _ctx: &'life1 mut RingContext<'_>, ) -> Pin<Box<dyn Future<Output = Result<(), KernelError>> + Send + 'async_trait>>

where 'life0: 'async_trait, 'life1: 'async_trait, Self: Sync + 'async_trait,

Called when the kernel is being shut down.

fn handle_secure<'life0, 'life1, 'life2, 'life3, 'async_trait>( &'life0 self, ctx: &'life1 mut SecureRingContext<'life2, 'life3>, msg: M, ) -> Pin<Box<dyn Future<Output = Result<R, KernelError>> + Send + 'async_trait>>

where 'life0: 'async_trait, 'life1: 'async_trait, 'life2: 'async_trait, 'life3: 'async_trait, M: 'async_trait, R: 'async_trait, Self: Sync + 'async_trait,

Handle a message with security context.

impl RingKernelHandler<UpdateVolatilityRing, UpdateVolatilityResponse> for VolatilityAnalysis

Ring handler for GARCH volatility updates.

fn handle<'life0, 'life1, 'async_trait>( &'life0 self, _ctx: &'life1 mut RingContext<'_>, msg: UpdateVolatilityRing, ) -> Pin<Box<dyn Future<Output = Result<UpdateVolatilityResponse>> + Send + 'async_trait>>

where Self: 'async_trait, 'life0: 'async_trait, 'life1: 'async_trait,

Handle an incoming message.

fn initialize<'life0, 'life1, 'async_trait>( &'life0 self, _ctx: &'life1 mut RingContext<'_>, ) -> Pin<Box<dyn Future<Output = Result<(), KernelError>> + Send + 'async_trait>>

where 'life0: 'async_trait, 'life1: 'async_trait, Self: Sync + 'async_trait,

Initialize the kernel state.

fn ring_shutdown<'life0, 'life1, 'async_trait>( &'life0 self, _ctx: &'life1 mut RingContext<'_>, ) -> Pin<Box<dyn Future<Output = Result<(), KernelError>> + Send + 'async_trait>>

where 'life0: 'async_trait, 'life1: 'async_trait, Self: Sync + 'async_trait,

Called when the kernel is being shut down.

fn handle_secure<'life0, 'life1, 'life2, 'life3, 'async_trait>( &'life0 self, ctx: &'life1 mut SecureRingContext<'life2, 'life3>, msg: M, ) -> Pin<Box<dyn Future<Output = Result<R, KernelError>> + Send + 'async_trait>>

where 'life0: 'async_trait, 'life1: 'async_trait, 'life2: 'async_trait, 'life3: 'async_trait, M: 'async_trait, R: 'async_trait, Self: Sync + 'async_trait,

Handle a message with security context.