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// Historical Volatility
//
// historical_volatility
//
// Historical volatility of log returns
//
// stddev(log(C[t]/C[t-1])) over period
//
// Inputs: 1
// Outputs: 1
// Constants: 1
#include <math.h>
#include "ts.h"
typedef struct {
uint_t k;
} ts_historical_volatility_params_t;
ts_parameter_t const ts_historical_volatility_p = { .n_inputs = 1, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_historical_volatility_params_t) };
uint_t ts_historical_volatility_offset( ts_constant_t const *c )
{
( void )c;
return ( c ? ((ts_historical_volatility_params_t const *)c)->k > 0 ? ((ts_historical_volatility_params_t const *)c)->k - 1 : 0 : 0 );
}
int ts_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_historical_volatility_p );
if ( !c ) return -1;
uint_t k = ((ts_historical_volatility_params_t const *)c)->k;
if (k == 0 || n < k + 1) return -1;
for ( uint_t d = k - 1; d < n - 1; ++d )
{
fp_t sum = 0;
fp_t sum2 = 0;
for ( uint_t j = d - k + 1; j <= d; ++j )
{
fp_t lr = 0;
if ( x[0][j] > 0 && x[0][j + 1] > 0 )
lr = log( x[0][j + 1] / x[0][j] );
sum += lr;
sum2 += lr * lr;
}
fp_t mean = sum / ( fp_t )k;
fp_t variance = sum2 / ( fp_t )k - mean * mean;
y[0][d] = variance > 0 ? sqrt( variance ) * sqrt( 252.0 ) : 0;
}
y[0][n - 1] = 0;
return 0;
}
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