Struct RealizedVolatility 

pub struct RealizedVolatility { /* private fields */ }

Realized Volatility — the square root of the sum of squared log returns over the trailing period bars.

r_t = ln(price_t / price_{t−1})
RV  = √( Σ r_t²  over the last `period` returns )

Unlike HistoricalVolatility — which reports the annualised sample standard deviation of log returns (mean-centred, divided by n − 1, scaled by √trading_periods and ×100) — realized volatility is the raw, un-centred, un-annualised quadratic variation estimator used in high-frequency econometrics. It makes no Gaussian assumption and no mean subtraction: it simply accumulates squared returns, which converges to the integrated variance of the price path as the sampling frequency rises. Multiply by √trading_periods yourself if an annual figure is wanted.

Non-finite and non-positive prices are ignored (the log return would be undefined): the tick is dropped, state is left untouched, and the last value is returned.

Each update is O(1): a running sum of squared returns is maintained over the rolling window.

Example

use wickra_core::{Indicator, RealizedVolatility};

let mut indicator = RealizedVolatility::new(20).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 RealizedVolatility

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

Construct a new realized-volatility indicator.

period is the number of squared log returns accumulated in the window.

Errors

Returns Error::PeriodZero if period == 0.

pub const fn period(&self) -> usize

Configured period.

Trait Implementations

impl Clone for RealizedVolatility

fn clone(&self) -> RealizedVolatility

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for RealizedVolatility

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

Formats the value using the given formatter.

impl Indicator for RealizedVolatility

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.