srfm::portfolio::LorentzBoost Class Reference

#include <lorentz_portfolio.hpp>

Public Member Functions
	LorentzBoost ()=delete

Static Public Member Functions
static PortfolioFourVector	transform (const PortfolioFourVector &portfolio, double beta)

Detailed Description

Applies a Lorentz boost to a PortfolioFourVector.

The boost is performed along the (return, volatility) plane, analogous to a boost along the x-axis in standard SR with (t, x) → (ret, vol).

Definition at line 95 of file lorentz_portfolio.hpp.

Constructor & Destructor Documentation

LorentzBoost()

srfm::portfolio::LorentzBoost::LorentzBoost ( )

delete

Member Function Documentation

transform()

static PortfolioFourVector srfm::portfolio::LorentzBoost::transform ( const PortfolioFourVector &  portfolio, double  beta  )

inlinestatic

Apply a boost with velocity β to portfolio.

Parameters

portfolio	The portfolio 4-vector in the lab frame.
beta	Boost velocity ∈ (-1, 1). Positive β "tilts" the frame toward higher return / lower volatility.

Returns

Boosted PortfolioFourVector. skew and kurt are unchanged.

Exceptions

std::domain_error

if |β| ≥ 1.

Definition at line 106 of file lorentz_portfolio.hpp.

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

• include/srfm/lorentz_portfolio.hpp