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) -> Self

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 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.