multi_asset.hpp File Reference

Multi-asset spacetime extension for the SRFM library. More...

#include "srfm/types.hpp"
#include "srfm/constants.hpp"
#include "srfm/manifold/n_asset_interval.hpp"
#include "srfm/tensor/n_asset_manifold.hpp"
#include <Eigen/Dense>
#include <optional>
#include <span>
#include <string>
#include <vector>

Go to the source code of this file.

Classes
struct	srfm::multi_asset::MultiAssetEvent
	A snapshot of N correlated financial assets at a point in time. More...
class	srfm::multi_asset::MultiAssetInterval
	N-dimensional spacetime interval between two MultiAssetEvents. More...
class	srfm::multi_asset::CorrelationMetric
	Builds the Lorentzian metric tensor from a rolling correlation matrix. More...
struct	srfm::multi_asset::CorrelationMetric::Config
	Construction parameters. More...
class	srfm::multi_asset::MultiAssetLorentz
	Applies simultaneous Lorentz boosts to N correlated price series. More...
struct	srfm::multi_asset::MultiAssetLorentz::TransformResult
	Result of a multi-asset Lorentz transform. More...
class	srfm::multi_asset::PortfolioGeodesic
	Geodesic in multi-asset spacetime: the optimal portfolio path. More...
struct	srfm::multi_asset::PortfolioGeodesic::GeodesicStep
	A single step on the geodesic path. More...

Namespaces
namespace	srfm
namespace	srfm::multi_asset

Detailed Description

Multi-asset spacetime extension for the SRFM library.

Extends the single-asset spacetime framework (SpacetimeEvent, SpacetimeInterval) to handle N correlated financial assets simultaneously by:

1. Embedding a portfolio snapshot as an (N+1)-dimensional spacetime event.
2. Computing the N-dimensional Lorentzian interval using a rolling correlation matrix as the spatial metric block.
3. Applying simultaneous Lorentz transforms across all correlated price series.
4. Computing portfolio geodesics that represent the optimal portfolio path under the given metric geometry.

Physical Interpretation

In multi-asset spacetime, the metric tensor couples price dimensions through the pairwise correlations ρ_ij. A TIMELIKE interval in the multi-asset sense implies that the portfolio as a whole moved causally — the joint price motion was consistent with sub-light correlated propagation. A SPACELIKE interval implies decorrelated (stochastic) joint motion.

Guarantees

• All fallible operations return std::optional (no exceptions).
• All const methods are thread-safe.
• No raw pointers in the public API.
• Eigen3 is used for all linear algebra.

Definition in file multi_asset.hpp.