quantitivecalc
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A TypeScript library providing advanced quantitative finance functions for risk analysis, performance metrics, and technical indicators. (Currently in development)
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TypeScript
import { calculateAlpha } from './calculateAlpha';
import { calculateAnnualizedReturns } from './calculateAnnualizedReturns';
import { calculateCalmarRatio } from './calculateCalmarRatio';
import { calculateCompoundReturns } from './calculateCompoundReturns';
import { calculateDailyReturns } from './calculateDailyReturns';
import { calculateInformationRatio } from './calculateInformationRatio';
import { addPeriodicCompoundReturnsToData, calculatePeriodicCompoundReturns } from './calculatePeriodicCompoundReturns';
import { calculateSortinoRatio } from './calculateSortinoRatio';
/**
* 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 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.
*/
export declare const performanceMetrics: {
calculateAlpha: typeof calculateAlpha;
calculateAnnualizedReturns: typeof calculateAnnualizedReturns;
calculateCalmarRatio: typeof calculateCalmarRatio;
calculateCompoundReturns: typeof calculateCompoundReturns;
calculateDailyReturns: typeof calculateDailyReturns;
calculateInformationRatio: typeof calculateInformationRatio;
calculateSortinoRatio: typeof calculateSortinoRatio;
calculatePeriodicCompoundReturns: typeof calculatePeriodicCompoundReturns;
addPeriodicCompoundReturnsToData: typeof addPeriodicCompoundReturnsToData;
};
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