Struct BipowerVariation 

pub struct BipowerVariation { /* private fields */ }

Realized Bipower Variation — the sum of adjacent absolute log-return products over the trailing period returns, scaled to estimate integrated variance.

r_t = ln(price_t / price_{t−1})
BV  = (π / 2) · Σ |r_t| · |r_{t−1}|   over the window

Bipower variation (Barndorff-Nielsen & Shephard 2004) estimates the same integrated variance as RealizedVolatility’s Σ r², but by multiplying neighbouring absolute returns rather than squaring a single one. A price jump inflates exactly one return; because that return appears in a product with its (ordinary) neighbour rather than squared, its contribution stays bounded — so BV is robust to jumps while realized variance is not. The constant π / 2 = μ₁⁻² (with μ₁ = E|Z| = √(2/π) for a standard normal) debiases the product of two half-normal magnitudes back to a variance scale.

The output is on the variance scale (the jump-robust counterpart of realized variance, not volatility); take its square root for a volatility, and compare RV − BV to isolate the jump contribution. A window of period returns contributes period − 1 adjacent products; each update is O(1) via a running sum.

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::{BipowerVariation, Indicator};

let mut indicator = BipowerVariation::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 BipowerVariation

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

Construct a new bipower-variation indicator.

period is the number of log returns in the rolling window; the estimate uses the period − 1 adjacent products between them.

Errors

Returns Error::PeriodZero if period == 0, or Error::InvalidPeriod if period == 1 (an adjacent product needs at least two returns).

pub const fn period(&self) -> usize

Configured period.

Trait Implementations

impl Clone for BipowerVariation

fn clone(&self) -> BipowerVariation

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for BipowerVariation

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

Formats the value using the given formatter.

impl Indicator for BipowerVariation

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.