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

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

import { CorrelationMatrixOptions } from '../schemas/CorrelationMatrixOptionsSchema';
import { CorrelationMatrixResult } from '../schemas/CorrelationMatrixResultSchema';
/**
 * Calculate Correlation Matrix
 *
 * Pearson correlation coefficient between all pairs of return series.
 * ρ(X,Y) = Cov(X,Y) / (σ_X × σ_Y)
 *
 * Range: [-1, 1]
 * +1: perfect positive correlation
 * 0: no correlation
 * -1: perfect negative correlation
 *
 * @param options - Array of return series and optional labels
 * @returns Correlation matrix with stats
 */
export declare function calculateCorrelationMatrix(options: CorrelationMatrixOptions): CorrelationMatrixResult;