Struct RollingCovariance 

pub struct RollingCovariance { /* private fields */ }

Rolling covariance of the returns of two synchronised series.

Each update takes one (x, y) level pair, differences each channel into a one-step return, and reports the population covariance of those returns over the trailing window of period return pairs:

rxₜ = xₜ − xₜ₋₁          ryₜ = yₜ − yₜ₋₁
cov = (1/n) · Σ rx·ry − r̄x · r̄y

Unlike crate::RollingCorrelation the result is not normalised to [−1, 1]: it carries the units of the two return streams multiplied together, so it scales with volatility. It is the raw building block behind correlation, beta and portfolio variance — positive when the two return streams tend to move the same way, negative when they offset.

Each update is O(1): three running sums (Σrx, Σry, Σrxry) are maintained as the window slides. The first level in each channel produces no return, so a period-pair covariance needs period + 1 updates of warmup.

Example

use wickra_core::{Indicator, RollingCovariance};

let mut rc = RollingCovariance::new(5).unwrap();
let mut last = None;
for i in 0..20 {
    let x = f64::from(i);
    last = rc.update((x, 3.0 * x)); // y's return is 3× x's return
}
// cov(rx, ry) = cov(1, 3) over constant unit returns = 3 · var(rx) = 0
// for a constant return; use a varying path in practice. Here returns are
// constant (1 and 3) ⇒ covariance 0.
assert!(last.unwrap().abs() < 1e-9);

Implementations

impl RollingCovariance

pub fn new(period: usize) -> Result<RollingCovariance, Error>

Construct a new rolling return-covariance.

Errors

Returns Error::InvalidPeriod if period < 2 — covariance is undefined for fewer than two return pairs.

pub const fn period(&self) -> usize

Configured window of returns.

Trait Implementations

impl Clone for RollingCovariance

fn clone(&self) -> RollingCovariance

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for RollingCovariance

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

Formats the value using the given formatter.

impl Indicator for RollingCovariance

type Input = (f64, 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, f64)) -> Option<f64>

Feed one new data point into the indicator and return the freshly computed output, or None if the indicator is still warming up.

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.