Struct HistoricalVolatility 

pub struct HistoricalVolatility { /* private fields */ }

Historical Volatility — the annualised standard deviation of log returns.

This is the realised (backward-looking) volatility used to price options and size risk:

r_t = ln(price_t / price_{t−1})
HV  = stddev_sample(r over period) · √trading_periods · 100

The log returns over the window are measured with the sample standard deviation (divisor n − 1, the unbiased estimator), then scaled to an annual figure by √trading_periods — 252 for daily bars, 52 for weekly, 12 for monthly — and expressed as a percentage.

Example

use wickra_core::{Indicator, HistoricalVolatility};

// 20-bar window, 252 trading days per year.
let mut indicator = HistoricalVolatility::new(20, 252).unwrap();
let mut last = None;
for i in 0..80 {
    last = indicator.update(100.0 + (f64::from(i) * 0.3).sin() * 5.0);
}
assert!(last.is_some());

Implementations

impl HistoricalVolatility

pub fn new(period: usize, trading_periods: usize) -> Result<Self>

Construct a new Historical Volatility indicator.

period is the number of log returns in the rolling window; trading_periods is the annualisation factor (252 daily, 52 weekly, 12 monthly).

Errors

Returns Error::PeriodZero if period or trading_periods is 0, or Error::InvalidPeriod if period == 1 (the sample standard deviation needs at least two returns).

pub const fn periods(&self) -> (usize, usize)

Configured (period, trading_periods).

pub const fn value(&self) -> Option<f64>

Current value if available.

Trait Implementations

impl Clone for HistoricalVolatility

fn clone(&self) -> HistoricalVolatility

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for HistoricalVolatility

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

Formats the value using the given formatter.

impl Indicator for HistoricalVolatility

type Input = f64

Type of one input data point (typically f64 for a price, or Candle / Tick).

type Output = f64

Type of one output value.

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

Feed one new data point into the indicator and return the freshly computed output, or None if the indicator is still warming up.

fn reset(&mut self)

Reset all internal state, leaving the indicator equivalent to a freshly constructed instance with the same parameters.

fn warmup_period(&self) -> usize

Number of inputs required before the first non-None output can be produced.

fn is_ready(&self) -> bool

Whether the indicator has emitted at least one value since the last reset.

fn name(&self) -> &'static str

Stable, human-readable indicator name. Used by chaining and diagnostics.