@railpath/finance-toolkit/dist/risk/calculateCalmarRatio.d.ts

Production-ready finance library for portfolio construction, risk analytics, quantitative metrics, and ML-based regime detection

import { CalmarRatioOptions } from '../schemas/CalmarRatioOptionsSchema';
import { CalmarRatioResult } from '../schemas/CalmarRatioResultSchema';
/**
 * Calculate Calmar Ratio
 *
 * Calmar = Annualized Return / Max Drawdown
 *
 * Measures return per unit of downside risk (drawdown).
 * Higher is better; typically calculated over 36 months.
 *
 * @param options - Prices, returns, annualization factor
 * @returns Calmar Ratio and components
 */
export declare function calculateCalmarRatio(options: CalmarRatioOptions): CalmarRatioResult;