quantitivecalc/dist/RiskAndVolatilityAnalysis/all.d.ts

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

import { calculateBeta } from './calculateBeta';
import { calculateMaxDrawdown } from './calculateMaxDrawdown';
import { calculateSharpeRatio } from './calculateSharpeRatio';
import { calculateVaR } from './calculateVaR';
import { calculateVolatility } from './calculateVolatility';
import { getZScore } from './getZScore';
/**
 * A collection of quantitative risk and volatility analysis functions.
 *
 * @remarks
 * This object provides methods for calculating various financial risk and volatility metrics,
 * including Beta, Maximum Drawdown, Sharpe Ratio, Value at Risk (VaR), Volatility, and Z-Score.
 *
 * @property calculateBeta - Computes the Beta coefficient, measuring the volatility of an asset relative to the market.
 * @property calculateMaxDrawdown - Calculates the maximum observed loss from a peak to a trough.
 * @property calculateSharpeRatio - Determines the Sharpe Ratio, indicating risk-adjusted return.
 * @property calculateVaR - Estimates Value at Risk (VaR), quantifying potential loss in value of an asset.
 * @property calculateVolatility - Measures the statistical volatility of asset returns.
 * @property getZScore - Calculates the Z-Score, representing the number of standard deviations from the mean.
 */
export declare const riskAndVolatilityAnalysis: {
    calculateBeta: typeof calculateBeta;
    calculateMaxDrawdown: typeof calculateMaxDrawdown;
    calculateSharpeRatio: typeof calculateSharpeRatio;
    calculateVaR: typeof calculateVaR;
    calculateVolatility: typeof calculateVolatility;
    getZScore: typeof getZScore;
};
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