Struct ConditionalValueAtRisk 

pub struct ConditionalValueAtRisk { /* private fields */ }

Rolling Conditional Value-at-Risk (Expected Shortfall).

Where crate::ValueAtRisk reports the loss at the lower-tail quantile, CVaR averages all returns below that quantile — the expected loss conditional on being in the bad tail:

q       = 1 − confidence
tail    = returns over window with rank fraction ≤ q
CVaR    = − mean(tail)                        if mean is negative
CVaR    = 0                                   otherwise

The tail comprises the floor(q · n) smallest returns; if floor rounds down to zero the smallest single return is used so the metric stays defined for any period ≥ 2. Output is the magnitude of the expected shortfall (sign-flipped to be non-negative). CVaR is by construction ≥ VaR because it averages losses beyond the VaR threshold.

Each update is O(period · log period).

Example

use wickra_core::{ConditionalValueAtRisk, Indicator};

let mut c = ConditionalValueAtRisk::new(100, 0.95).unwrap();
let mut last = None;
for i in 0..120 {
    last = c.update((f64::from(i) * 0.1).sin() * 0.02);
}
assert!(last.is_some());

Implementations

impl ConditionalValueAtRisk

pub fn new(period: usize, confidence: f64) -> Result<Self>

Construct a new rolling CVaR.

Errors

Returns Error::InvalidPeriod if period < 2, or if confidence is outside (0, 1).

pub const fn period(&self) -> usize

Configured window length.

pub const fn confidence(&self) -> f64

Configured confidence level.

Trait Implementations

impl Clone for ConditionalValueAtRisk

fn clone(&self) -> ConditionalValueAtRisk

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for ConditionalValueAtRisk

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

Formats the value using the given formatter.

impl Indicator for ConditionalValueAtRisk

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.