srfm::multi_asset::PortfolioGeodesic::GeodesicStep Struct Reference

A single step on the geodesic path. More...

#include <multi_asset.hpp>

Public Attributes
MultiAssetEvent	event
	Predicted portfolio event.
double	proper_time
	Cumulative proper time τ.
double	path_length
	Cumulative geodesic arc length.
double	deviation
	|actual − predicted| in price space.

Detailed Description

A single step on the geodesic path.

Definition at line 264 of file multi_asset.hpp.

Member Data Documentation

deviation

double srfm::multi_asset::PortfolioGeodesic::GeodesicStep::deviation

|actual − predicted| in price space.

Definition at line 268 of file multi_asset.hpp.

event

MultiAssetEvent srfm::multi_asset::PortfolioGeodesic::GeodesicStep::event

Predicted portfolio event.

Definition at line 265 of file multi_asset.hpp.

path_length

double srfm::multi_asset::PortfolioGeodesic::GeodesicStep::path_length

Cumulative geodesic arc length.

Definition at line 267 of file multi_asset.hpp.

proper_time

double srfm::multi_asset::PortfolioGeodesic::GeodesicStep::proper_time

Cumulative proper time τ.

Definition at line 266 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