srfm::multi_asset::CorrelationMetric::Config Struct Reference

Construction parameters. More...

#include <multi_asset.hpp>

Public Attributes
std::size_t	window_size {60}
	Rolling window (number of bars).
double	c_market {1.0}
	Market speed-of-light.
double	regularisation_eps {1e-6}
	Ridge regularisation for ill-conditioned Σ.

Detailed Description

Construction parameters.

Definition at line 134 of file multi_asset.hpp.

Member Data Documentation

c_market

double srfm::multi_asset::CorrelationMetric::Config::c_market {1.0}

Market speed-of-light.

Definition at line 136 of file multi_asset.hpp.

regularisation_eps

double srfm::multi_asset::CorrelationMetric::Config::regularisation_eps {1e-6}

Ridge regularisation for ill-conditioned Σ.

Definition at line 137 of file multi_asset.hpp.

window_size

std::size_t srfm::multi_asset::CorrelationMetric::Config::window_size {60}

Rolling window (number of bars).

Definition at line 135 of file multi_asset.hpp.

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

• include/srfm/multi_asset.hpp