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fix: correct the get_parkinson_vol spelling in the public API #23

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fix: correct the get_parkinson_vol spelling in the public API #23

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5 changes: 3 additions & 2 deletions crates/openquant/src/util/volatility.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -48,8 +48,9 @@ pub fn get_daily_vol(close: &[(NaiveDateTime, f64)], lookback: usize) -> Vec<(Na
}

/// Parkinson volatility estimator.
/// Mirrors mlfinlab.util.volatility.get_parksinson_vol.
pub fn get_parksinson_vol(high: &[f64], low: &[f64], window: usize) -> Vec<f64> {
/// Mirrors mlfinlab's `get_parksinson_vol` — note that upstream misspells
/// "Parkinson"; this crate spells it correctly.
pub fn get_parkinson_vol(high: &[f64], low: &[f64], window: usize) -> Vec<f64> {
assert_eq!(high.len(), low.len(), "high/low length mismatch");
let estimator: Vec<f64> = high
.iter()
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4 changes: 2 additions & 2 deletions crates/openquant/tests/volatility_features.rs
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@@ -1,5 +1,5 @@
use csv::ReaderBuilder;
use openquant::util::volatility::{get_garman_class_vol, get_parksinson_vol, get_yang_zhang_vol};
use openquant::util::volatility::{get_garman_class_vol, get_parkinson_vol, get_yang_zhang_vol};
use serde::Deserialize;

#[derive(Debug, Deserialize)]
Expand Down Expand Up @@ -47,7 +47,7 @@ fn test_volatility_estimators_match_mlfinlab_baseline() {
let (open, high, low, close) = load_ohlc();
let gm_vol = get_garman_class_vol(&open, &high, &low, &close, 20);
let yz_vol = get_yang_zhang_vol(&open, &high, &low, &close, 20);
let park_vol = get_parksinson_vol(&high, &low, 20);
let park_vol = get_parkinson_vol(&high, &low, 20);

assert_eq!(close.len(), gm_vol.len());
assert_eq!(close.len(), yz_vol.len());
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8 changes: 4 additions & 4 deletions crates/pyopenquant/src/volatility.rs
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Expand Up @@ -14,9 +14,9 @@ fn volatility_get_daily_vol(
Ok(result.into_iter().map(|(ts, v)| (ts.format("%Y-%m-%d %H:%M:%S").to_string(), v)).collect())
}

#[pyfunction(name = "get_parksinson_vol")]
fn volatility_get_parksinson_vol(high: Vec<f64>, low: Vec<f64>, window: usize) -> Vec<f64> {
openquant::util::volatility::get_parksinson_vol(&high, &low, window)
#[pyfunction(name = "get_parkinson_vol")]
fn volatility_get_parkinson_vol(high: Vec<f64>, low: Vec<f64>, window: usize) -> Vec<f64> {
openquant::util::volatility::get_parkinson_vol(&high, &low, window)
}

#[pyfunction(name = "get_garman_class_vol")]
Expand Down Expand Up @@ -44,7 +44,7 @@ fn volatility_get_yang_zhang_vol(
pub fn register(py: Python<'_>, parent: &Bound<'_, PyModule>) -> PyResult<()> {
let m = PyModule::new(py, "volatility")?;
m.add_function(wrap_pyfunction!(volatility_get_daily_vol, &m)?)?;
m.add_function(wrap_pyfunction!(volatility_get_parksinson_vol, &m)?)?;
m.add_function(wrap_pyfunction!(volatility_get_parkinson_vol, &m)?)?;
m.add_function(wrap_pyfunction!(volatility_get_garman_class_vol, &m)?)?;
m.add_function(wrap_pyfunction!(volatility_get_yang_zhang_vol, &m)?)?;
parent.add_submodule(&m)?;
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