@railpath/finance-toolkit/dist/schemas/RiskMetricsOptionsSchema.js

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

"use strict";
Object.defineProperty(exports, "__esModule", { value: true });
exports.RiskMetricsOptionsSchema = void 0;
const zod_1 = require("zod");
exports.RiskMetricsOptionsSchema = zod_1.z.object({
    /**
     * Asset returns for each asset and period (asset x period matrix)
     */
    assetReturns: zod_1.z.array(zod_1.z.array(zod_1.z.number())).min(1),
    /**
     * Benchmark returns for each period (optional for some metrics)
     */
    benchmarkReturns: zod_1.z.array(zod_1.z.number()).optional(),
    /**
     * Risk-free rate (optional, for beta calculation)
     */
    riskFreeRate: zod_1.z.number().optional(),
    /**
     * Annualization factor (e.g., 252 for daily, 12 for monthly, 1 for annual)
     */
    annualizationFactor: zod_1.z.number().positive().default(252),
    /**
     * Confidence level for downside deviation (e.g., 0.05 for 5%)
     */
    confidenceLevel: zod_1.z.number().min(0).max(1).default(0.05),
});