Struct ReturnsVolatility 

pub struct ReturnsVolatility { /* private fields */ }

Calculates the annualized volatility (standard deviation) of portfolio returns.

Volatility is calculated as the standard deviation of returns, annualized by multiplying the daily standard deviation by the square root of the period: Standard Deviation * sqrt(period)

Uses Bessel’s correction (ddof=1) for sample standard deviation. This provides a measure of the portfolio’s risk or uncertainty of returns.

References

• CFA Institute Level I Curriculum: Quantitative Methods
• Hull, J. C. (2018). Options, Futures, and Other Derivatives (10th ed.). Pearson.
• Fabozzi, F. J., et al. (2002). The Handbook of Financial Instruments. Wiley.

Implementations

impl ReturnsVolatility

pub fn new(period: Option<usize>) -> Self

Creates a new ReturnsVolatility instance.

Trait Implementations

impl Clone for ReturnsVolatility

fn clone(&self) -> ReturnsVolatility

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for ReturnsVolatility

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

Formats the value using the given formatter.

impl Display for ReturnsVolatility

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

Formats the value using the given formatter.

impl<'a, 'py> FromPyObject<'a, 'py> for ReturnsVolatility

where Self: Clone,

type Error = PyClassGuardError<'a, 'py>

The type returned in the event of a conversion error.

fn extract( obj: Borrowed<'a, 'py, PyAny>, ) -> Result<Self, <Self as FromPyObject<'a, 'py>>::Error>

Extracts Self from the bound smart pointer obj.

impl<'py> IntoPyObject<'py> for ReturnsVolatility

type Target = ReturnsVolatility

The Python output type

type Output = Bound<'py, <ReturnsVolatility as IntoPyObject<'py>>::Target>

The smart pointer type to use.

type Error = PyErr

The type returned in the event of a conversion error.

fn into_pyobject( self, py: Python<'py>, ) -> Result<<Self as IntoPyObject<'_>>::Output, <Self as IntoPyObject<'_>>::Error>

Performs the conversion.

impl PortfolioStatistic for ReturnsVolatility

type Item = f64

fn name(&self) -> String

Returns the name of this statistic for display and identification purposes.

fn calculate_from_returns(&self, raw_returns: &Returns) -> Option<Self::Item>

Calculates the statistic from time-indexed returns data.

fn calculate_from_realized_pnls( &self, _realized_pnls: &[f64], ) -> Option<Self::Item>

Calculates the statistic from realized profit and loss values.

fn calculate_from_positions( &self, _positions: &[Position], ) -> Option<Self::Item>

Calculates the statistic from position data.

fn calculate_from_orders( &self, orders: Vec<Box<dyn Order>>, ) -> Option<Self::Item>

Calculates the statistic from order data.

fn check_valid_returns(&self, returns: &Returns) -> bool

Validates that returns data is not empty.

fn downsample_to_daily_bins(&self, returns: &Returns) -> Returns

Downsamples high-frequency returns to daily bins for daily statistics calculation.

fn calculate_std(&self, returns: &Returns) -> f64

Calculates the standard deviation of returns with Bessel’s correction.

impl PyClass for ReturnsVolatility

const NAME: &str = "ReturnsVolatility"

Name of the class.

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for ReturnsVolatility

const MODULE: Option<&str>

Module which the class will be associated with.

const IS_BASETYPE: bool = false

#[pyclass(subclass)]

const IS_SUBCLASS: bool = false

#[pyclass(extends=…)]

const IS_MAPPING: bool = false

#[pyclass(mapping)]

const IS_SEQUENCE: bool = false

#[pyclass(sequence)]

const IS_IMMUTABLE_TYPE: bool = false

#[pyclass(immutable_type)]

const RAW_DOC: &'static CStr = /// Calculates the annualized volatility (standard deviation) of portfolio returns. /// /// Volatility is calculated as the standard deviation of returns, annualized by /// multiplying the daily standard deviation by the square root of the period: /// `Standard Deviation * sqrt(period)` /// /// Uses Bessel's correction (ddof=1) for sample standard deviation. /// This provides a measure of the portfolio's risk or uncertainty of returns. /// /// # References /// /// - CFA Institute Level I Curriculum: Quantitative Methods /// - Hull, J. C. (2018). *Options, Futures, and Other Derivatives* (10th ed.). Pearson. /// - Fabozzi, F. J., et al. (2002). *The Handbook of Financial Instruments*. Wiley.

Docstring for the class provided on the struct or enum.

const DOC: &'static CStr

Fully rendered class doc, including the text_signature if a constructor is defined.

type Layout = <<ReturnsVolatility as PyClassImpl>::BaseNativeType as PyClassBaseType>::Layout<ReturnsVolatility>

Description of how this class is laid out in memory

type BaseType = PyAny

Base class

type ThreadChecker = NoopThreadChecker

This handles following two situations:

type Inventory = Pyo3MethodsInventoryForReturnsVolatility

type PyClassMutability = <<PyAny as PyClassBaseType>::PyClassMutability as PyClassMutability>::MutableChild

Immutable or mutable

type Dict = PyClassDummySlot

Specify this class has #[pyclass(dict)] or not.

type WeakRef = PyClassDummySlot

Specify this class has #[pyclass(weakref)] or not.

type BaseNativeType = PyAny

The closest native ancestor. This is PyAny by default, and when you declare #[pyclass(extends=PyDict)], it’s PyDict.

fn items_iter() -> PyClassItemsIter

fn lazy_type_object() -> &'static LazyTypeObject<Self>

fn dict_offset() -> Option<PyObjectOffset>

Used to provide the dictoffset slot (equivalent to tp_dictoffset)

fn weaklist_offset() -> Option<PyObjectOffset>

Used to provide the weaklistoffset slot (equivalent to tp_weaklistoffset

impl PyClassNewTextSignature for ReturnsVolatility

const TEXT_SIGNATURE: &'static str = "(period=None)"

impl PyStubType for ReturnsVolatility

fn type_output() -> TypeInfo

The type to be used in the output signature, i.e. return type of the Python function or methods.

fn type_input() -> TypeInfo

The type to be used in the input signature, i.e. the arguments of the Python function or methods.

impl PyTypeInfo for ReturnsVolatility

const NAME: &str = <Self as ::pyo3::PyClass>::NAME

👎Deprecated since 0.28.0:

prefer using ::type_object(py).name() to get the correct runtime value

Class name.

const MODULE: Option<&str> = <Self as ::pyo3::impl_::pyclass::PyClassImpl>::MODULE

👎Deprecated since 0.28.0:

prefer using ::type_object(py).module() to get the correct runtime value

Module name, if any.

fn type_object_raw(py: Python<'_>) -> *mut PyTypeObject

Returns the PyTypeObject instance for this type.

fn type_object(py: Python<'_>) -> Bound<'_, PyType>

Returns the safe abstraction over the type object.

fn is_type_of(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type or a subclass of this type.

fn is_exact_type_of(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type.

impl DerefToPyAny for ReturnsVolatility