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) -> Self

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 there is no value for this input.

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.

fn batch_nan_into(&mut self, inputs: &[Self::Input], out: &mut [f64])

where Self::Input: Copy, Self::Output: Into<f64>,

Run the indicator over inputs, writing one output per input into the caller-owned out buffer (NaN where update returns None). It exists for every indicator whose output converts to an f64; the batch pipelines use it for the scalar f64 -> f64 ones.

fn batch_fast_into(&mut self, inputs: &[Self::Input], out: &mut [f64])

where Self::Input: Copy, Self::Output: Into<f64>,

Opt-in fast batch: like batch_nan_into, but an indicator with a vectorised kernel may reassociate its arithmetic to run it in SIMD lanes. Each value then agrees with the exact batch to within the tolerance the indicator documents (a few units in the last place), not bit for bit; warmup positions, NaN placement and the output length are identical. The kernels are deterministic: the same input produces the same bits on every platform, with or without SIMD hardware.