@railpath/finance-toolkit/dist/schemas/RiskMetricsResultSchema.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.RiskMetricsResultSchema = void 0;
const zod_1 = require("zod");
exports.RiskMetricsResultSchema = zod_1.z.object({
    /**
     * Beta for each asset relative to benchmark (NaN if no benchmark or insufficient data)
     */
    betas: zod_1.z.array(zod_1.z.number()),
    /**
     * Correlation matrix between all assets (NaN if insufficient data)
     */
    correlationMatrix: zod_1.z.array(zod_1.z.array(zod_1.z.number())),
    /**
     * Downside deviation for each asset
     */
    downsideDeviations: zod_1.z.array(zod_1.z.number()),
    /**
     * Annualized downside deviation for each asset
     */
    downsideDeviationsAnnualized: zod_1.z.array(zod_1.z.number()),
    /**
     * Number of assets
     */
    assets: zod_1.z.number(),
    /**
     * Number of periods
     */
    periods: zod_1.z.number(),
    /**
     * Annualization factor used
     */
    annualizationFactor: zod_1.z.number(),
    /**
     * Confidence level used for downside deviation
     */
    confidenceLevel: zod_1.z.number(),
    /**
     * Risk-free rate used (if provided)
     */
    riskFreeRate: zod_1.z.number().optional(),
});