Struct VolatilityOfVolatility 

pub struct VolatilityOfVolatility { /* private fields */ }

Volatility of Volatility — the standard deviation of a rolling realized- volatility series (“vol-of-vol”).

r_t   = ln(price_t / price_{t−1})
vol_t = stddev_sample(r over vol_window)          (rolling realized volatility)
VoV   = stddev_sample(vol over vov_window)         (dispersion of that series)

This is a two-stage estimator: the first stage measures the rolling sample volatility of log returns (the same quantity HistoricalVolatility annualises), and the second stage measures how much that volatility itself moves. A high vol-of-vol means the volatility regime is unstable — turbulent periods alternate with calm ones — which is exactly the convexity that long-gamma and volatility-trading strategies care about. Both stages use the unbiased n − 1 sample standard deviation. Each update is O(1).

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.

Example

use wickra_core::{Indicator, VolatilityOfVolatility};

let mut indicator = VolatilityOfVolatility::new(20, 20).unwrap();
let mut last = None;
for i in 0..120 {
    last = indicator.update(100.0 + (f64::from(i) * 0.3).sin() * 5.0);
}
assert!(last.is_some());

Implementations

impl VolatilityOfVolatility

pub fn new(vol_window: usize, vov_window: usize) -> Result<Self>

Construct a new vol-of-vol indicator.

vol_window is the window for the inner realized-volatility series; vov_window is the window over which its dispersion is measured.

Errors

Returns Error::PeriodZero if either window is 0, or Error::InvalidPeriod if either is 1 (a sample standard deviation needs at least two observations).

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

Configured (vol_window, vov_window).

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

Current value if available.

Trait Implementations

impl Clone for VolatilityOfVolatility

fn clone(&self) -> VolatilityOfVolatility

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for VolatilityOfVolatility

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

Formats the value using the given formatter.

impl Indicator for VolatilityOfVolatility

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.