nautilus_analysis/python/statistics/
returns_volatility.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16use std::collections::BTreeMap;
17
18use nautilus_model::position::Position;
19use pyo3::prelude::*;
20
21use super::transform_returns;
22use crate::{statistic::PortfolioStatistic, statistics::returns_volatility::ReturnsVolatility};
23
24#[pymethods]
25#[pyo3_stub_gen::derive::gen_stub_pymethods]
26impl ReturnsVolatility {
27    /// Calculates the annualized volatility (standard deviation) of portfolio returns.
28    ///
29    /// Volatility is calculated as the standard deviation of returns, annualized by
30    /// multiplying the daily standard deviation by the square root of the period:
31    /// `Standard Deviation * sqrt(period)`
32    ///
33    /// Uses Bessel's correction (ddof=1) for sample standard deviation.
34    /// This provides a measure of the portfolio's risk or uncertainty of returns.
35    ///
36    /// # References
37    ///
38    /// - CFA Institute Level I Curriculum: Quantitative Methods
39    /// - Hull, J. C. (2018). *Options, Futures, and Other Derivatives* (10th ed.). Pearson.
40    /// - Fabozzi, F. J., et al. (2002). *The Handbook of Financial Instruments*. Wiley.
41    #[new]
42    #[pyo3(signature = (period=None))]
43    fn py_new(period: Option<usize>) -> Self {
44        Self::new(period)
45    }
46
47    fn __repr__(&self) -> String {
48        self.to_string()
49    }
50
51    #[getter]
52    #[pyo3(name = "name")]
53    fn py_name(&self) -> String {
54        self.name()
55    }
56
57    #[pyo3(name = "calculate_from_returns")]
58    #[expect(clippy::needless_pass_by_value)]
59    fn py_calculate_from_returns(&mut self, raw_returns: BTreeMap<u64, f64>) -> Option<f64> {
60        self.calculate_from_returns(&transform_returns(&raw_returns))
61    }
62
63    #[pyo3(name = "calculate_from_realized_pnls")]
64    fn py_calculate_from_realized_pnls(&mut self, _realized_pnls: Vec<f64>) -> Option<f64> {
65        None
66    }
67
68    #[pyo3(name = "calculate_from_positions")]
69    fn py_calculate_from_positions(&mut self, _positions: Vec<Position>) -> Option<f64> {
70        None
71    }
72}
nautilus_analysis/python/statistics/returns_volatility.rs

nautilus_analysis/python/statistics/
returns_volatility.rs
