Struct Beta 

pub struct Beta { /* private fields */ }

Rolling Beta of an asset series relative to a benchmark series.

Each update receives one (asset, benchmark) pair. Over the trailing window of period pairs:

cov_ab = (1/n) · Σ a·b − ā·b̄
var_b  = (1/n) · Σ b² − b̄²
Beta   = cov_ab / var_b

Beta measures how much the asset moves for a unit move in the benchmark. A reading of 1.0 means the two move together one-for-one; 2.0 means the asset typically doubles the benchmark’s moves; 0.5 means it moves only half as much; 0.0 means moves are uncorrelated; negative Betas signal a hedge. It is the slope of the OLS regression of the asset on the benchmark and the foundation of the CAPM. Unlike crate::PearsonCorrelation, Beta is not unit-free — it carries the ratio of standard deviations.

Each update is O(1): four running sums (Σa, Σb, Σb², Σa·b) are maintained as the window slides. A flat benchmark window has zero variance and Beta is undefined; the indicator returns 0 in that case rather than producing NaN.

Conventionally Beta is computed on returns (typically log-returns) rather than raw prices; feed the indicator pre-computed returns if that is your convention. The pure rolling OLS slope is the same either way.

Example

use wickra_core::{Beta, Indicator};

let mut indicator = Beta::new(20).unwrap();
let mut last = None;
for i in 0..40 {
    // Asset doubles every benchmark move.
    last = indicator.update((2.0 * f64::from(i), f64::from(i)));
}
assert!((last.unwrap() - 2.0).abs() < 1e-9);

Implementations

impl Beta

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

Construct a new rolling Beta.

Errors

Returns Error::InvalidPeriod if period < 2.

pub const fn period(&self) -> usize

Configured period.

Trait Implementations

impl Clone for Beta

fn clone(&self) -> Beta

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for Beta

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

Formats the value using the given formatter.

impl Indicator for Beta

type Input = (f64, f64)

(asset, benchmark) pair.

type Output = f64

Type of one output value.

fn update(&mut self, input: (f64, 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.