quantitivecalc
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A TypeScript library providing advanced quantitative finance functions for risk analysis, performance metrics, and technical indicators. (Currently in development)
45 lines (44 loc) • 3.28 kB
JavaScript
;
Object.defineProperty(exports, "__esModule", { value: true });
exports.performanceMetrics = void 0;
const calculateAlpha_1 = require("./calculateAlpha");
const calculateAnnualizedReturns_1 = require("./calculateAnnualizedReturns");
const calculateCalmarRatio_1 = require("./calculateCalmarRatio");
const calculateCompoundReturns_1 = require("./calculateCompoundReturns");
const calculateDailyReturns_1 = require("./calculateDailyReturns");
const calculateDrawdown_1 = require("./calculateDrawdown");
const calculateInformationRatio_1 = require("./calculateInformationRatio");
const calculatePeriodicCompoundReturns_1 = require("./calculatePeriodicCompoundReturns");
const calculateSortinoRatio_1 = require("./calculateSortinoRatio");
const calculateTimeUnderWater_1 = require("./calculateTimeUnderWater");
const calculateUnderwaterData_1 = require("./calculateUnderwaterData");
/**
* A collection of functions for calculating various performance metrics in quantitative finance.
*
* @property calculateAlpha - Computes the alpha value, representing excess returns relative to a benchmark.
* @property calculateAnnualizedReturns - Calculates the annualized return of an investment.
* @property calculateCalmarRatio - Determines the Calmar ratio, measuring risk-adjusted returns.
* @property calculateCompoundReturns - Calculates compound returns over a period.
* @property calculateDailyReturns - Computes daily returns from a series of prices.
* @property calculateDrawdown - Calculates current drawdown at each point for underwater visualization.
* @property calculateInformationRatio - Calculates the information ratio, assessing risk-adjusted performance relative to a benchmark.
* @property calculateSortinoRatio - Determines the Sortino ratio, measuring risk-adjusted returns considering downside risk.
* @property calculatePeriodicCompoundReturns - Calculates compound returns over specified periods.
* @property addPeriodicCompoundReturnsToData - Adds periodic compound returns to each row in the dataset.
* @property calculateTimeUnderWater - Calculates the time under water (periods below previous peak) for a time series.
* @property calculateUnderwaterData - Combines drawdown and time under water calculations for complete underwater data.
*/
exports.performanceMetrics = {
calculateAlpha: calculateAlpha_1.calculateAlpha,
calculateAnnualizedReturns: calculateAnnualizedReturns_1.calculateAnnualizedReturns,
calculateCalmarRatio: calculateCalmarRatio_1.calculateCalmarRatio,
calculateCompoundReturns: calculateCompoundReturns_1.calculateCompoundReturns,
calculateDailyReturns: calculateDailyReturns_1.calculateDailyReturns,
calculateDrawdown: calculateDrawdown_1.calculateDrawdown,
calculateInformationRatio: calculateInformationRatio_1.calculateInformationRatio,
calculateSortinoRatio: calculateSortinoRatio_1.calculateSortinoRatio,
calculatePeriodicCompoundReturns: calculatePeriodicCompoundReturns_1.calculatePeriodicCompoundReturns,
addPeriodicCompoundReturnsToData: calculatePeriodicCompoundReturns_1.addPeriodicCompoundReturnsToData,
calculateTimeUnderWater: calculateTimeUnderWater_1.calculateTimeUnderWater,
calculateUnderwaterData: calculateUnderwaterData_1.calculateUnderwaterData,
};