srfm::multi_asset::MultiAssetLorentz::TransformResult Struct Reference

Result of a multi-asset Lorentz transform. More...

#include <multi_asset.hpp>

Public Attributes
std::vector< double >	adjusted_prices
	γ-scaled price adjustments.
double	beta_portfolio
	Portfolio velocity ∈ [0, 1).
LorentzFactor	gamma_portfolio
	Portfolio Lorentz factor.
std::vector< double >	per_asset_beta
	Individual β_i values.
std::vector< double >	per_asset_gamma
	Individual γ(β_i) values.

Detailed Description

Result of a multi-asset Lorentz transform.

Definition at line 210 of file multi_asset.hpp.

Member Data Documentation

adjusted_prices

std::vector<double> srfm::multi_asset::MultiAssetLorentz::TransformResult::adjusted_prices

γ-scaled price adjustments.

Definition at line 211 of file multi_asset.hpp.

beta_portfolio

double srfm::multi_asset::MultiAssetLorentz::TransformResult::beta_portfolio

Portfolio velocity ∈ [0, 1).

Definition at line 212 of file multi_asset.hpp.

gamma_portfolio

LorentzFactor srfm::multi_asset::MultiAssetLorentz::TransformResult::gamma_portfolio

Portfolio Lorentz factor.

Definition at line 213 of file multi_asset.hpp.

per_asset_beta

std::vector<double> srfm::multi_asset::MultiAssetLorentz::TransformResult::per_asset_beta

Individual β_i values.

Definition at line 214 of file multi_asset.hpp.

per_asset_gamma

std::vector<double> srfm::multi_asset::MultiAssetLorentz::TransformResult::per_asset_gamma

Individual γ(β_i) values.

Definition at line 215 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