From d692476d05f9e542ebb2eede4658f01afa57e5c9 Mon Sep 17 00:00:00 2001
From: Palash Tyagi <23239946+Magnus167@users.noreply.github.com>
Date: Tue, 26 Nov 2024 00:31:59 +0000
Subject: [PATCH] add annualization factor and implement frequency calculation
 for historic volatility

---
 src/panel/historic_vol.rs | 94 +++++++++++++++------------------------
 1 file changed, 37 insertions(+), 57 deletions(-)

diff --git a/src/panel/historic_vol.rs b/src/panel/historic_vol.rs
index 74cdde5..a7f6077 100644
--- a/src/panel/historic_vol.rs
+++ b/src/panel/historic_vol.rs
@@ -1,6 +1,14 @@
+use chrono::NaiveDate;
 use ndarray::{Array, Array1, Zip};
 use polars::prelude::*;
 
+/// Returns the annualization factor for 252 trading days.
+/// (SQRT(252))
+#[allow(dead_code)]
+fn annualization_factor() -> f64 {
+    252f64.sqrt()
+}
+
 #[allow(dead_code)]
 fn expo_weights(lback_periods: usize, half_life: f64) -> Array1<f64> {
     // Calculates exponential series weights for finite horizon, normalized to 1.
@@ -48,25 +56,37 @@ fn flat_std(x: &Array1<f64>, remove_zeros: bool) -> f64 {
     filtered_x.mapv(f64::abs).mean().unwrap_or(0.0)
 }
 
+fn freq_daily_calc(
+    dfw: &DataFrame,
+    lback_periods: usize,
+    lback_method: &str,
+    half_life: Option<f64>,
+    remove_zeros: bool,
+    nan_tolerance: f64,
+) -> Result<DataFrame, Box<dyn std::error::Error>> {
+    if lback_method == "xma" {
+        assert!(
+            half_life.is_some(),
+            "If lback_method is 'xma', half_life must be provided."
+        );
+    }
 
+    let mut new_df = DataFrame::new(vec![])?;
+    match lback_method {
+        "ma" => Ok(new_df),
+        "xma" => Ok(new_df),
+        _ => Err("Invalid lookback method.".into()),
+    }
+}
 
 // #[allow(dead_code)]
-// fn single
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+// fn single_calc(
+//     // end_date: -- naive datetime
+//     end_date: NaiveDate,
+//     wide_df: &DataFrame,
+//     lback_periods: usize,
+//     lback_method: &str,
+//     nan_tolerance: f64,
 
 /// Calculate historic volatility.
 /// Arguments:
@@ -101,46 +121,6 @@ pub fn historic_vol(
 ) -> Result<DataFrame, Box<dyn std::error::Error>> {
     println!("Calculating historic volatility with the following parameters:");
     println!("xcat: {:?},\ncids: {:?},\nlback_periods: {:?},lback_method: {:?},\nhalf_life: {:?},\nstart: {:?},\nend: {:?},\nest_freq: {:?},\nremove_zeros: {:?},\npostfix: {:?},\nnan_tolerance: {:?}", xcat, cids, lback_periods,lback_method, half_life, start, end, est_freq, remove_zeros, postfix, nan_tolerance);
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     Ok(df.to_owned())
 }