Struct ValueAtRisk 

pub struct ValueAtRisk { /* private fields */ }

Rolling historical Value-at-Risk.

Input is treated as a period return. Over the trailing window of period returns the indicator reports the empirical lower-tail quantile at the given confidence level (e.g. 0.95 = the 95 %-confident worst-case loss). The output is the magnitude of that loss, sign-flipped to be a non-negative number (so a 5 % VaR is reported as 0.05, not -0.05):

q       = (1 − confidence)
VaR_t   = − percentile(returns over window, q · 100)   if it is negative
VaR_t   = 0                                            otherwise

percentile uses linear interpolation between the two closest order statistics (“type 7” in R / NumPy default). If the q-quantile of the window is itself non-negative (a window where every return was at or above zero) the indicator returns 0.0 — there is no loss to report.

Each update is O(period · log period) due to the window-sort. Good enough for the typical period ≤ 252 rolling-VaR workflow.

Example

use wickra_core::{Indicator, ValueAtRisk};

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

Implementations

impl ValueAtRisk

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

Construct a new rolling historical VaR.

Errors

Returns Error::InvalidPeriod if period < 2, or if confidence is outside the open interval (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 ValueAtRisk

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 ValueAtRisk

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

Formats the value using the given formatter.

impl Indicator for ValueAtRisk

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.