quantitivecalc/dist/PortfolioAnalysis/calculateRebalancing.d.ts

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

import { PortfolioWeight, RebalancingResult } from './types';
/**
 * Calculates portfolio rebalancing actions over time based on asset prices, target weights, and a rebalance threshold.
 *
 * @param data - Array of records containing asset prices and dates for each period.
 * @param priceColumns - List of keys in each record that represent asset price columns.
 * @param targetWeights - Object mapping asset names to their target portfolio weights (e.g., `{ 'AAPL': 0.5, 'GOOG': 0.5 }`).
 * @param rebalanceThreshold - Maximum allowed drift from target weights before triggering a rebalance (default: `0.05`).
 * @param portfolioValue - Initial total value of the portfolio (default: `100000`).
 * @param dateColumn - Key in each record representing the date (default: `'date'`).
 * @returns Array of rebalancing results for each period, including current weights, drift, rebalance status, and required trades.
 *
 * @remarks
 * - The function assumes that `targetWeights` sum to 1.0.
 * - Trades are calculated as the number of shares to buy/sell to reach target weights when rebalancing is required.
 * - If no rebalance is required, trades will be zero for all assets.
 *
 * @example
 * ```typescript
 * const results = calculateRebalancing(
 *   priceData,
 *   ['AAPL', 'GOOG'],
 *   { AAPL: 0.6, GOOG: 0.4 },
 *   0.05,
 *   50000,
 *   'date'
 * );
 * ```
 */
export declare function calculateRebalancing(data: Array<Record<string, unknown>>, priceColumns: string[], targetWeights: PortfolioWeight, rebalanceThreshold?: number, portfolioValue?: number, dateColumn?: string): RebalancingResult[];
//# sourceMappingURL=calculateRebalancing.d.ts.map