quantitivecalc/dist/PortfolioAnalysis/calculatePortfolioReturns.d.ts

A TypeScript library providing advanced quantitative finance functions for risk analysis, performance metrics, and technical indicators. (Currently in development)

import { AssetReturn, PortfolioWeight } from './types';
/**
 * Calculates the portfolio returns for a given dataset of asset returns and weights.
 *
 * Iterates over each row of asset returns, computes the weighted return for specified assets,
 * and normalizes the result if the total weight does not sum to 1. The function adds the calculated
 * portfolio return, total weight, and count of valid assets to each row.
 *
 * @param data - Array of asset return objects, where each object represents a row of asset returns.
 * @param weights - An object mapping asset column names to their respective portfolio weights.
 * @param returnColumns - Array of column names representing the assets to include in the calculation.
 * @param portfolioReturnColumn - (Optional) Name of the column to store the calculated portfolio return. Defaults to 'portfolio_return'.
 * @returns An array of objects, each containing the original row data, the calculated portfolio return,
 *          the total weight used, and the number of valid assets considered.
 */
export declare function calculatePortfolioReturns(data: AssetReturn[], weights: PortfolioWeight, returnColumns: string[], portfolioReturnColumn?: string): Array<Record<string, unknown>>;
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