Struct EwmaVolatility 

pub struct EwmaVolatility { /* private fields */ }

EWMA Volatility — the RiskMetrics exponentially-weighted estimate of the volatility of log returns.

r_t  = ln(price_t / price_{t−1})
σ²_t = λ · σ²_{t−1} + (1 − λ) · r²_t
EWMA = √σ²_t

Unlike HistoricalVolatility — an equally weighted, mean-centred sample standard deviation over a fixed window — the EWMA estimator weights recent squared returns geometrically by the decay factor λ. The most recent return carries weight 1 − λ, the one before it λ(1 − λ), and so on, so the estimate reacts to a volatility shock immediately and then forgets it at rate λ. This is the J.P. Morgan RiskMetrics one-parameter model; the standard daily decay is λ = 0.94 (monthly 0.97). No mean is subtracted: squared returns are the variance contribution, which matches the RiskMetrics assumption of a zero conditional mean over short horizons.

The recursion is seeded with the first squared return (σ²₁ = r²₁) and emits from the first return onward, so the very first reading is a one-observation estimate that the decay then refines. 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::{EwmaVolatility, Indicator};

let mut indicator = EwmaVolatility::new(0.94).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 EwmaVolatility

pub fn new(lambda: f64) -> Result<Self>

Construct a new EWMA-volatility indicator.

lambda is the decay factor, strictly between 0 and 1 (RiskMetrics uses 0.94 for daily data). Larger lambda means a longer memory and a smoother estimate.

Errors

Returns Error::InvalidParameter if lambda is not finite or not in the open interval (0, 1).

pub const fn lambda(&self) -> f64

Configured decay factor.

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

Current value if available.

Trait Implementations

impl Clone for EwmaVolatility

fn clone(&self) -> EwmaVolatility

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for EwmaVolatility

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

Formats the value using the given formatter.

impl Indicator for EwmaVolatility

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.