// Annualized Historical Volatility
//
// annualized_historical_volatility - ahv
//
// y[t] = stddev(log(x[t-k..t])) * sqrt(252)
//
// X_n - 1
// Y_n - 1
// C_n - 1

#include <math.h>
#include "ts.h"

typedef struct {
    uint_t k;
} ts_annualized_historical_volatility_params_t;

ts_parameter_t const ts_annualized_historical_volatility_p = { .n_inputs = 1, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_annualized_historical_volatility_params_t) };

uint_t ts_annualized_historical_volatility_offset( ts_constant_t const *c )
{
	( void )c;
	return ( c ? ((ts_annualized_historical_volatility_params_t const *)c)->k : 0 );
}

int ts_annualized_historical_volatility(
	fp_t * const *y, uint_t y_n,
	fp_t const * const *x, uint_t x_n,
	uint_t n, ts_constant_t const *c
)
{
	TS_PROLOGUE( ts_annualized_historical_volatility_p );
	if ( !c ) return -1;
	TS_CHECK_INPUT(x, x_n, n);
    uint_t k = ((ts_annualized_historical_volatility_params_t const *)c)->k;
    if (k == 0 || n <= k) return -1;

    for ( uint_t i = 0; i < k; ++i )
        y[0][i] = NAN;

    /* Compute log returns, then stddev, then annualize */
    for (uint_t i = k; i < n; ++i)
    {
        fp_t sum = 0;
        fp_t sum2 = 0;
        uint_t count = 0;
        for (uint_t j = i - k + 1; j <= i; ++j)
        {
            if (x[0][j - 1] <= 0 || x[0][j] <= 0) continue;
            fp_t ret = log(x[0][j] / x[0][j - 1]);
            sum += ret;
            sum2 += ret * ret;
            count++;
        }
        if (count == 0) { y[0][i] = 0; continue; }
        fp_t mean = sum / count;
        fp_t variance = sum2 / count - mean * mean;
        if (variance < 0) variance = 0;
        y[0][i] = sqrt(variance) * sqrt(252.0);
    }
	return 0;
}