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

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

import { PortfolioVolatilityOptions } from '../schemas/PortfolioVolatilityOptionsSchema';
import { PortfolioVolatilityResult } from '../schemas/PortfolioVolatilityResultSchema';
/**
 * Calculate Portfolio Volatility
 *
 * σ_p = √(w^T × Σ × w)
 * where:
 * w = weight vector
 * Σ = covariance matrix
 *
 * Accounts for correlations between assets.
 *
 * @param options - Weights, return series, annualization factor
 * @returns Portfolio volatility (period and annualized)
 */
export declare function calculatePortfolioVolatility(options: PortfolioVolatilityOptions): PortfolioVolatilityResult;