Struct ConditionalValueAtRisk 

pub struct ConditionalValueAtRisk { /* private fields */ }

Rolling Conditional Value-at-Risk (Expected Shortfall).

Where crate::ValueAtRisk reports the loss at the lower-tail quantile, CVaR averages all returns below that quantile — the expected loss conditional on being in the bad tail:

q       = 1 − confidence
tail    = returns over window with rank fraction ≤ q
CVaR    = − mean(tail)                        if mean is negative
CVaR    = 0                                   otherwise

The tail comprises the floor(q · n) smallest returns; if floor rounds down to zero the smallest single return is used so the metric stays defined for any period ≥ 2. Output is the magnitude of the expected shortfall (sign-flipped to be non-negative). CVaR is by construction ≥ VaR because it averages losses beyond the VaR threshold.

Each update is O(period · log period).

Example

use wickra_core::{ConditionalValueAtRisk, Indicator};

let mut c = ConditionalValueAtRisk::new(100, 0.95).unwrap();
let mut last = None;
for i in 0..120 {
    last = c.update((f64::from(i) * 0.1).sin() * 0.02);
}
assert!(last.is_some());

Implementations

impl ConditionalValueAtRisk

pub fn new(period: usize, confidence: f64) -> Result<Self>

Construct a new rolling CVaR.

Errors

Returns Error::InvalidPeriod if period < 2, or if confidence is outside (0, 1).

pub const fn period(&self) -> usize

Configured window length.

pub const fn confidence(&self) -> f64

Configured confidence level.

Trait Implementations

impl Clone for ConditionalValueAtRisk

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 ConditionalValueAtRisk

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

Formats the value using the given formatter.

impl Indicator for ConditionalValueAtRisk

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.