srfm::multi_asset Namespace Reference

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