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// 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 *)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;
uint_t k = ((ts_annualized_historical_volatility_params_t *)c)->k;
if (k == 0 || n <= k) return -1;
/* 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;
}
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