quantitivecalc/dist/PortfolioAnalysis/types.d.ts

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

/**
 * Represents the return values for multiple assets on a specific date.
 *
 * @property date - The date for which the asset returns are recorded (ISO string).
 * @property [assetName: string] - The return value for each asset, where the key is the asset name and the value is a number (return) or string (date).
 */
export interface AssetReturn {
    date: string;
    [assetName: string]: number | string;
}
/**
 * Represents the weights of assets in a portfolio.
 *
 * Each key is the name of an asset, and its value is the corresponding weight (as a number).
 * The sum of all weights typically equals 1, representing the full allocation of the portfolio.
 *
 * @example
 * const weights: PortfolioWeight = {
 *   'AAPL': 0.5,
 *   'GOOG': 0.3,
 *   'TSLA': 0.2
 * };
 */
export interface PortfolioWeight {
    [assetName: string]: number;
}
/**
 * Represents a correlation matrix between assets.
 * Each key is an asset name, mapping to an object where keys are other asset names and values are the correlation coefficients between the two assets.
 *
 * @example
 * {
 *   "AssetA": { "AssetA": 1, "AssetB": 0.5 },
 *   "AssetB": { "AssetA": 0.5, "AssetB": 1 }
 * }
 */
export interface CorrelationMatrix {
    [asset1: string]: {
        [asset2: string]: number;
    };
}
/**
 * Represents the result of a portfolio rebalancing operation.
 *
 * @property date - The date when the rebalancing calculation was performed.
 * @property currentWeights - The current weights of assets in the portfolio.
 * @property targetWeights - The target weights for assets in the portfolio.
 * @property driftFromTarget - The deviation of current weights from target weights.
 * @property rebalanceRequired - Indicates whether rebalancing is necessary.
 * @property trades - An object mapping asset names to trade amounts (positive for buy, negative for sell).
 */
export interface RebalancingResult {
    date: string;
    currentWeights: PortfolioWeight;
    targetWeights: PortfolioWeight;
    driftFromTarget: PortfolioWeight;
    rebalanceRequired: boolean;
    trades: {
        [assetName: string]: number;
    };
}
/**
 * Represents the risk contribution details for each asset in a portfolio.
 *
 * The keys are asset names, and the values contain risk metrics for each asset:
 * - `volatility`: The standard deviation of the asset's returns.
 * - `marginalRisk`: The incremental risk added by the asset to the portfolio.
 * - `componentRisk`: The portion of total portfolio risk attributed to the asset.
 * - `contributionPercent`: The percentage contribution of the asset to the portfolio's total risk.
 */
export interface RiskContribution {
    [assetName: string]: {
        volatility: number;
        marginalRisk: number;
        componentRisk: number;
        contributionPercent: number;
    };
}
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