srfm::portfolio::GeodesicLength Class Reference

#include <geodesic_path.hpp>

Static Public Member Functions
static double	compute (const Geodesic &geodesic, double dt=1.0) noexcept
static double	distance (const PortfolioState &a, const PortfolioState &b) noexcept
	Compute the Euclidean distance between two PortfolioState weight vectors.

Detailed Description

Computes the integrated arc length of a Geodesic.

Arc length = integral of ||dw/dt|| dt

Approximated numerically as sum of Euclidean distances between consecutive waypoints.

Definition at line 139 of file geodesic_path.hpp.

Member Function Documentation

compute()

double srfm::portfolio::GeodesicLength::compute ( const Geodesic &  geodesic, double  dt = 1.0  )

staticnoexcept

Compute the arc length of a discretised geodesic.

Parameters

geodesic	The path to measure.
dt	Time step between waypoints in the same units as timestamp_ms differences. If zero, defaults to 1.0.

Returns

Arc length (>= 0). Returns 0 for a path with < 2 states.

Definition at line 163 of file geodesic_path.cpp.

distance()

double srfm::portfolio::GeodesicLength::distance ( const PortfolioState &  a, const PortfolioState &  b  )

staticnoexcept

Compute the Euclidean distance between two PortfolioState weight vectors.

Definition at line 149 of file geodesic_path.cpp.

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

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