Module 5Vectors & IteratorsLesson 3 of 822 min
windows & Log Returns
Pair consecutive prices into returns with windows(2).
windows
rust
for w in prices.windows(2) {
let r = w[1] / w[0] - 1.0;
}Log returns
rust
(w[1] / w[0]).ln()Log returns add over time and match continuous models (GBM, BS).
Challenge
Compute sample variance of log returns (n-1).
Tips
- windows(2) needs >=2 points
- ln is natural log
- Keep prices positive
Try it live
windows & Log ReturnsRust 2021
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Output
Press Run to compile and execute.