@railpath/finance-toolkit/dist/schemas/SemideviationResultSchema.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.SemideviationResultSchema = void 0;
const zod_1 = require("zod");
exports.SemideviationResultSchema = zod_1.z.object({
    /**
     * Semideviation value (period-based)
     */
    semideviation: zod_1.z.number(),
    /**
     * Annualized semideviation value
     */
    annualizedSemideviation: zod_1.z.number(),
    /**
     * Number of downside returns (returns below threshold)
     */
    downsideCount: zod_1.z.number().int().min(0),
    /**
     * Total number of returns
     */
    totalCount: zod_1.z.number().int().positive(),
    /**
     * Percentage of returns that are downside returns
     */
    downsidePercentage: zod_1.z.number().min(0).max(100),
    /**
     * Threshold used for calculation
     */
    threshold: zod_1.z.number(),
    /**
     * Annualization factor used
     */
    annualizationFactor: zod_1.z.number(),
    /**
     * Mean return of the dataset
     */
    meanReturn: zod_1.z.number(),
    /**
     * Standard deviation of the dataset (for comparison)
     */
    standardDeviation: zod_1.z.number(),
});