Struct ValueAtRisk 

pub struct ValueAtRisk { /* private fields */ }

Rolling historical Value-at-Risk.

Input is treated as a period return. Over the trailing window of period returns the indicator reports the empirical lower-tail quantile at the given confidence level (e.g. 0.95 = the 95 %-confident worst-case loss). The output is the magnitude of that loss, sign-flipped to be a non-negative number (so a 5 % VaR is reported as 0.05, not -0.05):

q       = (1 − confidence)
VaR_t   = − percentile(returns over window, q · 100)   if it is negative
VaR_t   = 0                                            otherwise

percentile uses linear interpolation between the two closest order statistics (“type 7” in R / NumPy default). If the q-quantile of the window is itself non-negative (a window where every return was at or above zero) the indicator returns 0.0 — there is no loss to report.

Each update is O(period · log period) due to the window-sort. Good enough for the typical period ≤ 252 rolling-VaR workflow.

Example

use wickra_core::{Indicator, ValueAtRisk};

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

Implementations

impl ValueAtRisk

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

Construct a new rolling historical VaR.

Errors

Returns Error::InvalidPeriod if period < 2, or if confidence is outside the open interval (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 ValueAtRisk

fn clone(&self) -> ValueAtRisk

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for ValueAtRisk

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

Formats the value using the given formatter.

impl Indicator for ValueAtRisk

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.