#include <lorentz_portfolio.hpp>

Public Member Functions
double	sharpe () const noexcept
	Sharpe ratio in this frame: ret / vol. Returns 0 if vol == 0.

Public Attributes
double	ret = 0.0
	Annualised expected return (time-like component)

double	vol = 0.0
	Annualised volatility (space-like)

double	skew = 0.0
	Skewness (space-like, transverse)

double	kurt = 0.0
	Excess kurtosis (space-like, transverse)

Detailed Description

The "spacetime position" of a portfolio.

The four components map statistical moments to coordinates in financial spacetime. The first component (ret) plays the role of the time-like coordinate; vol, skew, kurt are space-like.

Definition at line 55 of file lorentz_portfolio.hpp.

Member Function Documentation

◆ sharpe()

double srfm::portfolio::PortfolioFourVector::sharpe ( ) const

inlinenoexcept

Sharpe ratio in this frame: ret / vol. Returns 0 if vol == 0.

Definition at line 62 of file lorentz_portfolio.hpp.

Member Data Documentation

◆ kurt

double srfm::portfolio::PortfolioFourVector::kurt = 0.0

Excess kurtosis (space-like, transverse)

Definition at line 59 of file lorentz_portfolio.hpp.

◆ ret

double srfm::portfolio::PortfolioFourVector::ret = 0.0

Annualised expected return (time-like component)

Definition at line 56 of file lorentz_portfolio.hpp.

◆ skew

double srfm::portfolio::PortfolioFourVector::skew = 0.0

Skewness (space-like, transverse)

Definition at line 58 of file lorentz_portfolio.hpp.

◆ vol

double srfm::portfolio::PortfolioFourVector::vol = 0.0

Annualised volatility (space-like)

Definition at line 57 of file lorentz_portfolio.hpp.

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

include/srfm/lorentz_portfolio.hpp

Public Member Functions

Public Attributes