srfm::multi_asset::CorrelationMetric Class Reference

Builds the Lorentzian metric tensor from a rolling correlation matrix. More...

#include <multi_asset.hpp>

Classes
struct	Config
	Construction parameters. More...

Public Member Functions
	CorrelationMetric (std::size_t n_assets, Config cfg={})
	Construct with given configuration.
std::optional< Eigen::MatrixXd >	update (const std::vector< double > &prices)
	Add a new bar observation and update the metric.
std::optional< Eigen::MatrixXd >	current_metric () const noexcept
	Return the current metric tensor (last computed).
std::optional< Eigen::MatrixXd >	correlation_matrix () const noexcept
	Return the rolling correlation matrix (spatial block only).
std::size_t	n_assets () const noexcept
	Return the number of assets.
std::size_t	observation_count () const noexcept
	Return the number of observations seen so far.
const Config &	config () const noexcept
	Return the configuration.
void	reset () noexcept
	Reset the window (clears all observations).

Detailed Description

Builds the Lorentzian metric tensor from a rolling correlation matrix.

Maintains a sliding window of N-asset price observations and computes the (N+1)×(N+1) metric tensor g_μν with:

• g_00 = -c_market²
• g_ij = rolling_correlation[i,j] × sqrt(rolling_variance[i] × rolling_variance[j])

The Cholesky decomposition of the spatial block is checked on every update; if the covariance matrix is not positive-definite (ill-conditioned or singular correlation), the metric is regularised by adding regularisation_eps × I to the spatial block.

Definition at line 131 of file multi_asset.hpp.

Constructor & Destructor Documentation

CorrelationMetric()

srfm::multi_asset::CorrelationMetric::CorrelationMetric ( std::size_t  n_assets, Config  cfg = {}  )

explicit

Construct with given configuration.

Definition at line 103 of file multi_asset.cpp.

Member Function Documentation

config()

const Config & srfm::multi_asset::CorrelationMetric::config ( ) const

inlinenoexcept

Return the configuration.

Definition at line 163 of file multi_asset.hpp.

correlation_matrix()

std::optional< Eigen::MatrixXd > srfm::multi_asset::CorrelationMetric::correlation_matrix ( ) const

noexcept

Return the rolling correlation matrix (spatial block only).

Definition at line 151 of file multi_asset.cpp.

current_metric()

std::optional< Eigen::MatrixXd > srfm::multi_asset::CorrelationMetric::current_metric ( ) const

noexcept

Return the current metric tensor (last computed).

Definition at line 146 of file multi_asset.cpp.

n_assets()

std::size_t srfm::multi_asset::CorrelationMetric::n_assets ( ) const

inlinenoexcept

Return the number of assets.

Definition at line 157 of file multi_asset.hpp.

observation_count()

std::size_t srfm::multi_asset::CorrelationMetric::observation_count ( ) const

inlinenoexcept

Return the number of observations seen so far.

Definition at line 160 of file multi_asset.hpp.

reset()

void srfm::multi_asset::CorrelationMetric::reset ( )

noexcept

Reset the window (clears all observations).

Definition at line 167 of file multi_asset.cpp.

update()

std::optional< Eigen::MatrixXd > srfm::multi_asset::CorrelationMetric::update

(

const std::vector< double > &

prices

)

Add a new bar observation and update the metric.

Parameters

prices

New price observations for each asset.

Returns

Updated metric tensor, or std::nullopt if fewer than 2 observations.

Definition at line 116 of file multi_asset.cpp.

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The documentation for this class was generated from the following files:

• include/srfm/multi_asset.hpp
• src/multi_asset.cpp