quantitivecalc
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A TypeScript library providing advanced quantitative finance functions for risk analysis, performance metrics, and technical indicators. (Currently in development)
32 lines (31 loc) • 1.76 kB
JavaScript
;
Object.defineProperty(exports, "__esModule", { value: true });
exports.riskAndVolatilityAnalysis = void 0;
const calculateBeta_1 = require("./calculateBeta");
const calculateMaxDrawdown_1 = require("./calculateMaxDrawdown");
const calculateSharpeRatio_1 = require("./calculateSharpeRatio");
const calculateVaR_1 = require("./calculateVaR");
const calculateVolatility_1 = require("./calculateVolatility");
const getZScore_1 = require("./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.
*/
exports.riskAndVolatilityAnalysis = {
calculateBeta: calculateBeta_1.calculateBeta,
calculateMaxDrawdown: calculateMaxDrawdown_1.calculateMaxDrawdown,
calculateSharpeRatio: calculateSharpeRatio_1.calculateSharpeRatio,
calculateVaR: calculateVaR_1.calculateVaR,
calculateVolatility: calculateVolatility_1.calculateVolatility,
getZScore: getZScore_1.getZScore,
};