Struct HistoricalVolatility 

pub struct HistoricalVolatility { /* private fields */ }

Historical Volatility — the annualised standard deviation of log returns.

This is the realised (backward-looking) volatility used to price options and size risk:

r_t = ln(price_t / price_{t−1})
HV  = stddev_sample(r over period) · √trading_periods · 100

The log returns over the window are measured with the sample standard deviation (divisor n − 1, the unbiased estimator), then scaled to an annual figure by √trading_periods — 252 for daily bars, 52 for weekly, 12 for monthly — and expressed as a percentage.

Example

use wickra_core::{Indicator, HistoricalVolatility};

// 20-bar window, 252 trading days per year.
let mut indicator = HistoricalVolatility::new(20, 252).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 HistoricalVolatility

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

Construct a new Historical Volatility indicator.

period is the number of log returns in the rolling window; trading_periods is the annualisation factor (252 daily, 52 weekly, 12 monthly).

Errors

Returns Error::PeriodZero if period or trading_periods is 0, or Error::InvalidPeriod if period == 1 (the sample standard deviation needs at least two returns).

pub const fn periods(&self) -> (usize, usize)

Configured (period, trading_periods).

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

Current value if available.

Trait Implementations

impl Clone for HistoricalVolatility

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 HistoricalVolatility

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

Formats the value using the given formatter.

impl Indicator for HistoricalVolatility

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.