From fc2fe31d35197a45076176a20544a9975f050784 Mon Sep 17 00:00:00 2001 From: Martin H Karrin Date: Sun, 12 Jul 2026 22:42:12 +0200 Subject: [PATCH] implemented autocorrelation --- README.md | 6 +- docs/assets/navigation.js | 2 +- docs/assets/search.js | 2 +- docs/classes/DateAlignmentError.html | 4 +- docs/classes/IncorrectArgumentComboError.html | 4 +- docs/classes/InitialValueZeroError.html | 4 +- docs/classes/MixedValuetypesError.html | 4 +- docs/classes/NoWeightsError.html | 4 +- docs/classes/OpenFrame.html | 26 ++- docs/classes/OpenTimeSeries.html | 36 ++- docs/classes/ResampleDataLossError.html | 4 +- docs/classes/ReturnSimulation.html | 4 +- docs/enums/ValueType.html | 4 +- docs/functions/dateFix.html | 2 +- docs/functions/dateToStr.html | 2 +- docs/functions/efficientFrontier.html | 2 +- docs/functions/fetchCaptorSeries.html | 2 +- docs/functions/fetchCaptorSeriesBatch.html | 2 +- docs/functions/filterBusinessDays.html | 2 +- docs/functions/filterToBusinessDays.html | 2 +- docs/functions/generateCalendarDateRange.html | 2 +- .../getPreviousBusinessDayBeforeToday.html | 2 +- docs/functions/isBusinessDay.html | 2 +- docs/functions/lastBusinessDayOfMonth.html | 2 +- docs/functions/lastBusinessDayOfYear.html | 2 +- docs/functions/mean.html | 2 +- docs/functions/offsetBusinessDays.html | 2 +- docs/functions/pctChange.html | 2 +- docs/functions/plotSeries.html | 2 +- docs/functions/plotSeriesHtml.html | 2 +- docs/functions/preparePlotData.html | 2 +- docs/functions/prevBusinessDay.html | 2 +- docs/functions/quantile.html | 2 +- docs/functions/randomGenerator.html | 2 +- docs/functions/reportHtml.html | 2 +- docs/functions/resampleToPeriodEnd.html | 2 +- docs/functions/sharpeplot.html | 2 +- docs/functions/sharpeplotHtml.html | 2 +- docs/functions/simulatePortfolios.html | 2 +- docs/functions/std.html | 2 +- docs/functions/timeseriesChain.html | 2 +- docs/index.html | 6 +- docs/interfaces/EfficientFrontierPoint.html | 4 +- docs/interfaces/LagSeries.html | 4 + docs/interfaces/OrdLeastSquaresResult.html | 4 +- docs/interfaces/PlotSeriesOptions.html | 14 +- docs/interfaces/ReportOptions.html | 4 +- docs/interfaces/SharpePlotOptions.html | 6 +- docs/interfaces/SharpePlotPoint.html | 6 +- docs/interfaces/SimulatedPortfolio.html | 4 +- docs/modules.html | 2 +- docs/types/CaptorSeriesResponse.html | 4 +- docs/types/CountryCode.html | 2 +- docs/types/DateRangeOptions.html | 4 +- docs/types/LiteralBizDayFreq.html | 2 +- docs/types/LiteralPortfolioWeightings.html | 2 +- docs/types/LjungBoxResult.html | 2 + docs/types/RandomGenerator.html | 2 +- docs/types/ResampleFreq.html | 2 +- scripts/compare-metrics.ts | 2 + src/autocorr.ts | 205 ++++++++++++++++++ src/frame.ts | 7 + src/index.ts | 1 + src/series.ts | 92 ++++++++ tests/autocorr.test.ts | 115 ++++++++++ tests/frame.test.ts | 14 ++ tests/series.test.ts | 68 ++++++ 67 files changed, 636 insertions(+), 102 deletions(-) create mode 100644 docs/interfaces/LagSeries.html create mode 100644 docs/types/LjungBoxResult.html create mode 100644 src/autocorr.ts create mode 100644 tests/autocorr.test.ts diff --git a/README.md b/README.md index f5b3889..0c1c4ba 100644 --- a/README.md +++ b/README.md @@ -23,7 +23,7 @@ console.log(series.maxDrawdown()); // Max drawdown ## Features - **OpenTimeSeries**: Single timeseries with risk metrics - (CAGR, volatility, VaR, CVaR, Sortino ratio, max drawdown, etc.) + (CAGR, volatility, VaR, CVaR, Sortino ratio, max drawdown, autocorrelation, etc.) - **OpenFrame**: Multi-series comparison, correlation, portfolio construction, rebalancing - **ReturnSimulation**: Monte Carlo with reproducible seeds @@ -47,6 +47,9 @@ console.log(series.maxDrawdown()); // Max drawdown - `valueToRet()`, `toCumret()` - Convert price ↔ returns - `geoRet()`, `arithmeticRet()`, `vol()`, `varDown()`, `cvarDown()` - `sortinoRatio()`, `retVolRatio()`, `maxDrawdown()`, `maxDrawdownBottomDate()`, `downsideDeviation()` +- `autocorr(lag?, opts?, squared?)` — lag-k autocorrelation of demeaned returns +- `acf(lags, opts?, squared?)`, `pacf(lags, opts?, squared?)`, `partialAutocorr(lag?, opts?, squared?)` +- `ljungBox(lags, opts?, squared?)` — Ljung–Box test `(statistic, pvalue, lags)` - `ewmaVolFunc()`, `ewmaVarFunc()` - EWMA risk measures ### OpenFrame @@ -55,6 +58,7 @@ console.log(series.maxDrawdown()); // Max drawdown - `toDrawdownSeries()` - Convert aligned columns to drawdown (value/peak - 1) - `makePortfolio()` - Weighted portfolio (eq_weights, inv_vol, max_div, min_vol_overweight) - `correlMatrix()`, `trackingError()`, `infoRatio()`, `beta()`, `jensenAlpha()` +- `autocorr(lag?, squared?)` — per-constituent lag-k autocorrelation (`number[]`) - `maxDrawdown()`, `maxDrawdownBottomDate()` - Per-column drawdown metrics - `captureRatio(ratio, baseColumn?, opts?)` - CAGR-based capture vs benchmark (`opts.freq` optional; when omitted, uses frame data as-is) diff --git a/docs/assets/navigation.js b/docs/assets/navigation.js index f119d9e..6ed8c96 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\ No newline at end of file diff --git a/docs/classes/DateAlignmentError.html b/docs/classes/DateAlignmentError.html index 2446d1f..5198072 100644 --- a/docs/classes/DateAlignmentError.html +++ b/docs/classes/DateAlignmentError.html @@ -1,11 +1,11 @@ -DateAlignmentError | @captor/openseries-ts - v1.0.1
@captor/openseries-ts - v1.0.1
    Preparing search index...

    Class DateAlignmentError

    Hierarchy

    • Error
      • DateAlignmentError
    Index

    Constructors

    constructor +DateAlignmentError | @captor/openseries-ts - v1.0.1
    @captor/openseries-ts - v1.0.1
      Preparing search index...

      Class DateAlignmentError

      Hierarchy

      • Error
        • DateAlignmentError
      Index

      Constructors

      constructor

      Properties

      message name stack? stackTraceLimit

      Methods

      captureStackTrace prepareStackTrace -

      Constructors

      Properties

      message: string
      name: string
      stack?: string
      stackTraceLimit: number

      The Error.stackTraceLimit property specifies the number of stack frames +

      Constructors

      Properties

      message: string
      name: string
      stack?: string
      stackTraceLimit: number

      The Error.stackTraceLimit property specifies the number of stack frames collected by a stack trace (whether generated by new Error().stack or Error.captureStackTrace(obj)).

      The default value is 10 but may be set to any valid JavaScript number. Changes diff --git a/docs/classes/IncorrectArgumentComboError.html b/docs/classes/IncorrectArgumentComboError.html index 4d3cef6..b30719b 100644 --- a/docs/classes/IncorrectArgumentComboError.html +++ b/docs/classes/IncorrectArgumentComboError.html @@ -1,11 +1,11 @@ -IncorrectArgumentComboError | @captor/openseries-ts - v1.0.1

      @captor/openseries-ts - v1.0.1
        Preparing search index...

        Class IncorrectArgumentComboError

        Hierarchy

        • Error
          • IncorrectArgumentComboError
        Index

        Constructors

        constructor +IncorrectArgumentComboError | @captor/openseries-ts - v1.0.1
        @captor/openseries-ts - v1.0.1
          Preparing search index...

          Class IncorrectArgumentComboError

          Hierarchy

          • Error
            • IncorrectArgumentComboError
          Index

          Constructors

          constructor

          Properties

          message name stack? stackTraceLimit

          Methods

          captureStackTrace prepareStackTrace -

          Constructors

          Properties

          message: string
          name: string
          stack?: string
          stackTraceLimit: number

          The Error.stackTraceLimit property specifies the number of stack frames +

          Constructors

          Properties

          message: string
          name: string
          stack?: string
          stackTraceLimit: number

          The Error.stackTraceLimit property specifies the number of stack frames collected by a stack trace (whether generated by new Error().stack or Error.captureStackTrace(obj)).

          The default value is 10 but may be set to any valid JavaScript number. Changes diff --git a/docs/classes/InitialValueZeroError.html b/docs/classes/InitialValueZeroError.html index e96f402..e51a109 100644 --- a/docs/classes/InitialValueZeroError.html +++ b/docs/classes/InitialValueZeroError.html @@ -1,11 +1,11 @@ -InitialValueZeroError | @captor/openseries-ts - v1.0.1

          @captor/openseries-ts - v1.0.1
            Preparing search index...

            Class InitialValueZeroError

            Hierarchy

            • Error
              • InitialValueZeroError
            Index

            Constructors

            constructor +InitialValueZeroError | @captor/openseries-ts - v1.0.1
            @captor/openseries-ts - v1.0.1
              Preparing search index...

              Class InitialValueZeroError

              Hierarchy

              • Error
                • InitialValueZeroError
              Index

              Constructors

              constructor

              Properties

              message name stack? stackTraceLimit

              Methods

              captureStackTrace prepareStackTrace -

              Constructors

              Properties

              message: string
              name: string
              stack?: string
              stackTraceLimit: number

              The Error.stackTraceLimit property specifies the number of stack frames +

              Constructors

              Properties

              message: string
              name: string
              stack?: string
              stackTraceLimit: number

              The Error.stackTraceLimit property specifies the number of stack frames collected by a stack trace (whether generated by new Error().stack or Error.captureStackTrace(obj)).

              The default value is 10 but may be set to any valid JavaScript number. Changes diff --git a/docs/classes/MixedValuetypesError.html b/docs/classes/MixedValuetypesError.html index 91be40c..f139f72 100644 --- a/docs/classes/MixedValuetypesError.html +++ b/docs/classes/MixedValuetypesError.html @@ -1,11 +1,11 @@ -MixedValuetypesError | @captor/openseries-ts - v1.0.1

              @captor/openseries-ts - v1.0.1
                Preparing search index...

                Class MixedValuetypesError

                Hierarchy

                • Error
                  • MixedValuetypesError
                Index

                Constructors

                constructor +MixedValuetypesError | @captor/openseries-ts - v1.0.1
                @captor/openseries-ts - v1.0.1
                  Preparing search index...

                  Class MixedValuetypesError

                  Hierarchy

                  • Error
                    • MixedValuetypesError
                  Index

                  Constructors

                  constructor

                  Properties

                  message name stack? stackTraceLimit

                  Methods

                  captureStackTrace prepareStackTrace -

                  Constructors

                  Properties

                  message: string
                  name: string
                  stack?: string
                  stackTraceLimit: number

                  The Error.stackTraceLimit property specifies the number of stack frames +

                  Constructors

                  Properties

                  message: string
                  name: string
                  stack?: string
                  stackTraceLimit: number

                  The Error.stackTraceLimit property specifies the number of stack frames collected by a stack trace (whether generated by new Error().stack or Error.captureStackTrace(obj)).

                  The default value is 10 but may be set to any valid JavaScript number. Changes diff --git a/docs/classes/NoWeightsError.html b/docs/classes/NoWeightsError.html index 32afa32..e046d15 100644 --- a/docs/classes/NoWeightsError.html +++ b/docs/classes/NoWeightsError.html @@ -1,11 +1,11 @@ -NoWeightsError | @captor/openseries-ts - v1.0.1

                  @captor/openseries-ts - v1.0.1
                    Preparing search index...

                    Class NoWeightsError

                    Hierarchy

                    • Error
                      • NoWeightsError
                    Index

                    Constructors

                    constructor +NoWeightsError | @captor/openseries-ts - v1.0.1
                    @captor/openseries-ts - v1.0.1
                      Preparing search index...

                      Class NoWeightsError

                      Hierarchy

                      • Error
                        • NoWeightsError
                      Index

                      Constructors

                      constructor

                      Properties

                      message name stack? stackTraceLimit

                      Methods

                      captureStackTrace prepareStackTrace -

                      Constructors

                      Properties

                      message: string
                      name: string
                      stack?: string
                      stackTraceLimit: number

                      The Error.stackTraceLimit property specifies the number of stack frames +

                      Constructors

                      Properties

                      message: string
                      name: string
                      stack?: string
                      stackTraceLimit: number

                      The Error.stackTraceLimit property specifies the number of stack frames collected by a stack trace (whether generated by new Error().stack or Error.captureStackTrace(obj)).

                      The default value is 10 but may be set to any valid JavaScript number. Changes diff --git a/docs/classes/OpenFrame.html b/docs/classes/OpenFrame.html index 5ed9915..112a463 100644 --- a/docs/classes/OpenFrame.html +++ b/docs/classes/OpenFrame.html @@ -1,5 +1,5 @@ OpenFrame | @captor/openseries-ts - v1.0.1

                      @captor/openseries-ts - v1.0.1
                        Preparing search index...

                        Class OpenFrame

                        Collection of aligned timeseries with portfolio and correlation methods.

                        -
                        Index

                        Constructors

                        constructor +
                        Index

                        Constructors

                        constructor

                        Properties

                        columnLabels constituents countries @@ -11,6 +11,7 @@ length periodInAYear

                        Methods

                        addTimeseries +autocorr beta captureRatio correlMatrix @@ -27,34 +28,35 @@ toDrawdownSeries trackingError truncFrame -

                        Constructors

                        • Parameters

                          • constituents: OpenTimeSeries[]
                          • weights: number[] | null = null
                          • Optionaloptions: { countries?: string | string[] }

                          Returns OpenFrame

                        Properties

                        columnLabels: string[]
                        constituents: OpenTimeSeries[]
                        countries: string[]

                        Country code(s) for business calendar (holidays, resampling). Used when adapting data to business days.

                        -
                        tsdf: { columns: number[][]; dates: string[] }
                        weights: number[] | null

                        Accessors

                        Methods

                        • Parameters

                          • assetColumn: number
                          • marketColumn: number

                          Returns number

                        • CAGR-based capture ratio vs benchmark column. +

                        Constructors

                        • Parameters

                          • constituents: OpenTimeSeries[]
                          • weights: number[] | null = null
                          • Optionaloptions: { countries?: string | string[] }

                          Returns OpenFrame

                        Properties

                        columnLabels: string[]
                        constituents: OpenTimeSeries[]
                        countries: string[]

                        Country code(s) for business calendar (holidays, resampling). Used when adapting data to business days.

                        +
                        tsdf: { columns: number[][]; dates: string[] }
                        weights: number[] | null

                        Accessors

                        Methods

                        • Lag-k autocorrelation per constituent. Matches Python OpenFrame.autocorr_func.

                          +

                          Parameters

                          • lag: number = 1
                          • squared: boolean = false

                          Returns number[]

                        • Parameters

                          • assetColumn: number
                          • marketColumn: number

                          Returns number

                        • CAGR-based capture ratio vs benchmark column. Matches Python openseries capture_ratio_func behavior: uses frame data as-is (no resample) with dynamic time_factor = observations / (span_days/365.25).

                          Parameters

                          • ratio: "both" | "up" | "down"

                            "up" | "down" | "both" (up/down or both = up/down)

                          • baseColumn: number = -1

                            Benchmark column index (-1 = last)

                          • Optionalopts: { freq?: ResampleFreq }
                            • Optionalfreq?: ResampleFreq

                              If set, resample to period-end before computing (e.g. "ME" for monthly). When omitted, uses frame data as-is to match Python default.

                              -

                          Returns number[]

                        • Filters tsdf to retain only business days. Mutates in place.

                          -

                          Returns this

                        • Parameters

                          • baseColumn: number = -1

                          Returns number[]

                        • Parameters

                          • assetColumn: number
                          • marketColumn: number
                          • riskfreeRate: number = 0

                          Returns number

                        • Max drawdown per column (price series). Returns array of max drawdowns.

                          -

                          Returns number[]

                        • Date when max drawdown bottom occurs per column. +

                        Returns number[]

                        • Filters tsdf to retain only business days. Mutates in place.

                          +

                          Returns this

                        • Parameters

                          • baseColumn: number = -1

                          Returns number[]

                        • Parameters

                          • assetColumn: number
                          • marketColumn: number
                          • riskfreeRate: number = 0

                          Returns number

                        • Max drawdown per column (price series). Returns array of max drawdowns.

                          +

                          Returns number[]

                        • Date when max drawdown bottom occurs per column. Returns array of date strings (or undefined when no drawdown).

                          -

                          Returns (string | undefined)[]

                        • Parameters

                          • how: "inner" | "outer" = "outer"

                          Returns this

                        • Ordinary Least Squares fit of y on x. +

                          Returns (string | undefined)[]

                        • Parameters

                          • how: "inner" | "outer" = "outer"

                          Returns this

                        • Ordinary Least Squares fit of y on x. Regresses tsdf column yColumn (dependent) on xColumn (explanatory). Matches Python openseries ord_least_squares_fit.

                          Parameters

                          • yColumn: number

                            Column index of dependent variable y

                          • xColumn: number

                            Column index of exogenous variable x

                          • Optionalopts: { fittedSeries?: boolean }
                            • OptionalfittedSeries?: boolean

                              If true, add fitted values as new column (default true)

                          Returns OrdLeastSquaresResult

                          Object with coefficient (slope), intercept, and rsquared

                          -

                        • Resamples all constituents to business period-end frequency, then re-merges. +

                        • Resamples all constituents to business period-end frequency, then re-merges. Throws if any constituent is a return series.

                          -

                          Parameters

                          Returns this

                        • Returns return columns (first element 0). Throws if mixed PRICE/RTRN.

                          -

                          Returns number[][]

                        • Converts each column to drawdown series (value / running peak - 1). +

                          Parameters

                          Returns this

                        • Returns return columns (first element 0). Throws if mixed PRICE/RTRN.

                          +

                          Returns number[][]

                        • Converts each column to drawdown series (value / running peak - 1). Operates on the frame's aligned tsdf. Call after mergeSeries and truncate so drawdown is computed on the truncated date range.

                          -

                          Returns this

                        • Parameters

                          • baseColumn: number = -1
                          • Optional_opts: { fromDate?: string; toDate?: string }

                          Returns number[]

                        • Truncates frame and constituents to a common date range.

                          +

                          Returns this

                        • Parameters

                          • baseColumn: number = -1
                          • Optional_opts: { fromDate?: string; toDate?: string }

                          Returns number[]

                        • Truncates frame and constituents to a common date range.

                          Parameters

                          • opts: { endCut?: string; startCut?: string; where?: "before" | "after" | "both" } = {}

                            Truncation options

                            • OptionalendCut?: string

                              New last date (default: earliest last date if where includes 'after')

                            • OptionalstartCut?: string

                              New first date (default: latest first date of all constituents if where includes 'before')

                            • Optionalwhere?: "before" | "after" | "both"

                              Which end(s) to truncate when cuts not provided

                              -

                          Returns this

                        Settings

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                        Accessors
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                        +

                        Returns this

                        Settings

                        Member Visibility

                        On This Page

                        Constructors
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                        Accessors
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                        diff --git a/docs/classes/OpenTimeSeries.html b/docs/classes/OpenTimeSeries.html index 68512f5..5af0b4d 100644 --- a/docs/classes/OpenTimeSeries.html +++ b/docs/classes/OpenTimeSeries.html @@ -1,5 +1,5 @@ OpenTimeSeries | @captor/openseries-ts - v1.0.1
                        @captor/openseries-ts - v1.0.1
                          Preparing search index...

                          Class OpenTimeSeries

                          Timeseries of dates and values with methods for risk metrics.

                          -
                          Index

                          Constructors

                          constructor +
                          Index

                          Constructors

                          constructor

                          Properties

                          countries currency dates @@ -18,7 +18,9 @@ periodsInAYear spanOfDays yearfrac -

                          Methods

                          arithmeticRet +

                          Methods

                          acf +arithmeticRet +autocorr cvarDown downsideDeviation ewmaVarFunc @@ -29,8 +31,11 @@ getTsdfDates getTsdfValues kurtosis +ljungBox maxDrawdown maxDrawdownBottomDate +pacf +partialAutocorr positiveShare resampleToPeriodEnd retVolRatio @@ -50,15 +55,24 @@ fromArrays fromDateColumns fromObject -

                          Constructors

                          • Parameters

                            • params: {
                                  countries?: string | string[];
                                  currency?: string;
                                  dates: string[];
                                  instrumentId?: string;
                                  label?: string;
                                  localCcy?: boolean;
                                  markets?: string | string[] | null;
                                  name: string;
                                  timeseriesId?: string;
                                  values: number[];
                                  valuetype?: ValueType;
                              }

                            Returns OpenTimeSeries

                          Properties

                          countries: string | string[]

                          Country code(s) for business calendar (holidays, resampling). Default "SE".

                          -
                          currency: string
                          dates: string[]
                          instrumentId: string
                          label: string
                          localCcy: boolean
                          markets: string | string[] | null
                          name: string
                          timeseriesId: string
                          tsdf: { date: string; value: number }[]
                          values: number[]
                          valuetype: ValueType

                          Accessors

                          Methods

                          • Parameters

                            • lmbda: number = 0.94
                            • dayChunk: number = 11
                            • level: number = 0.95
                            • opts: DateRangeOptions = {}

                            Returns number[]

                          • Filters tsdf to retain only business days. Mutates in place.

                            -

                            Returns this

                          • Returns the date when the max drawdown bottom occurs (the date of the lowest point +

                          Constructors

                          • Parameters

                            • params: {
                                  countries?: string | string[];
                                  currency?: string;
                                  dates: string[];
                                  instrumentId?: string;
                                  label?: string;
                                  localCcy?: boolean;
                                  markets?: string | string[] | null;
                                  name: string;
                                  timeseriesId?: string;
                                  values: number[];
                                  valuetype?: ValueType;
                              }

                            Returns OpenTimeSeries

                          Properties

                          countries: string | string[]

                          Country code(s) for business calendar (holidays, resampling). Default "SE".

                          +
                          currency: string
                          dates: string[]
                          instrumentId: string
                          label: string
                          localCcy: boolean
                          markets: string | string[] | null
                          name: string
                          timeseriesId: string
                          tsdf: { date: string; value: number }[]
                          values: number[]
                          valuetype: ValueType

                          Accessors

                          Methods

                          • Autocorrelation function for specified lags. +If lags is an int, compute ACF from lag 0 through that value (inclusive).

                            +

                            Parameters

                            Returns LagSeries

                          • Lag-k autocorrelation of demeaned returns. +For price series, returns are derived via pct_change; for return series, +values are demeaned. Matches Python openseries autocorr_func.

                            +

                            Parameters

                            Returns number

                          • Parameters

                            • lmbda: number = 0.94
                            • dayChunk: number = 11
                            • level: number = 0.95
                            • opts: DateRangeOptions = {}

                            Returns number[]

                          • Filters tsdf to retain only business days. Mutates in place.

                            +

                            Returns this

                          • Returns the date when the max drawdown bottom occurs (the date of the lowest point relative to the preceding peak). Returns undefined if no drawdown occurs.

                            -

                            Parameters

                            Returns string | undefined

                          • Partial autocorrelation function for specified lags. +If lags is an int, compute PACF from lag 0 through that value (inclusive).

                            +

                            Parameters

                            Returns LagSeries

                          • Partial autocorrelation at a given lag.

                            +

                            Parameters

                            Returns number

                          • Resamples to business period-end frequency (week, month, quarter, year). Mutates tsdf. Throws on return series (use price series).

                            -

                            Parameters

                            Returns this

                          • Parameters

                            • riskfreeRate: number = 0
                            • minAcceptedReturn: number = 0
                            • opts: DateRangeOptions = {}

                            Returns number

                          • Parameters

                            • riskfreeRate: number = 0
                            • minAcceptedReturn: number = 0
                            • opts: DateRangeOptions = {}

                            Returns number

                          • Worst single calendar month return (business-month-end based). Uses filterToBusinessDays + resampleToPeriodEnd(ME) + min of monthly returns.

                            -

                            Parameters

                            Returns number

                          • Creates an OpenTimeSeries from a name, dates array, and values array.

                            -

                            Parameters

                            • name: string
                            • dates: string[]
                            • values: number[]
                            • Optionaloptions: {
                                  baseccy?: string;
                                  countries?: string | string[];
                                  instrumentId?: string;
                                  localCcy?: boolean;
                                  timeseriesId?: string;
                                  valuetype?: ValueType;
                              }

                            Returns OpenTimeSeries

                          • Creates an OpenTimeSeries from simulation dateColumns by column index.

                            -

                            Parameters

                            • dateColumns: { columns: { name: string; values: number[] }[]; dates: string[] }
                            • Optionaloptions: { columnIndex?: number; countries?: string | string[]; valuetype?: ValueType }

                            Returns OpenTimeSeries

                          • Creates an OpenTimeSeries from a record or array of {date, value}.

                            -

                            Parameters

                            • data: Record<string, number> | { date: string; value: number }[]

                            Returns OpenTimeSeries

                          Settings

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                          +

                          Parameters

                          Returns number

                          • Creates an OpenTimeSeries from a name, dates array, and values array.

                            +

                            Parameters

                            • name: string
                            • dates: string[]
                            • values: number[]
                            • Optionaloptions: {
                                  baseccy?: string;
                                  countries?: string | string[];
                                  instrumentId?: string;
                                  localCcy?: boolean;
                                  timeseriesId?: string;
                                  valuetype?: ValueType;
                              }

                            Returns OpenTimeSeries

                          • Creates an OpenTimeSeries from simulation dateColumns by column index.

                            +

                            Parameters

                            • dateColumns: { columns: { name: string; values: number[] }[]; dates: string[] }
                            • Optionaloptions: { columnIndex?: number; countries?: string | string[]; valuetype?: ValueType }

                            Returns OpenTimeSeries

                          • Creates an OpenTimeSeries from a record or array of {date, value}.

                            +

                            Parameters

                            • data: Record<string, number> | { date: string; value: number }[]

                            Returns OpenTimeSeries

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                          diff --git a/docs/classes/ResampleDataLossError.html b/docs/classes/ResampleDataLossError.html index 0bc5253..79b8e35 100644 --- a/docs/classes/ResampleDataLossError.html +++ b/docs/classes/ResampleDataLossError.html @@ -1,11 +1,11 @@ -ResampleDataLossError | @captor/openseries-ts - v1.0.1
                          @captor/openseries-ts - v1.0.1
                            Preparing search index...

                            Class ResampleDataLossError

                            Hierarchy

                            • Error
                              • ResampleDataLossError
                            Index

                            Constructors

                            constructor +ResampleDataLossError | @captor/openseries-ts - v1.0.1
                            @captor/openseries-ts - v1.0.1
                              Preparing search index...

                              Class ResampleDataLossError

                              Hierarchy

                              • Error
                                • ResampleDataLossError
                              Index

                              Constructors

                              constructor

                              Properties

                              message name stack? stackTraceLimit

                              Methods

                              captureStackTrace prepareStackTrace -

                              Constructors

                              Properties

                              message: string
                              name: string
                              stack?: string
                              stackTraceLimit: number

                              The Error.stackTraceLimit property specifies the number of stack frames +

                              Constructors

                              Properties

                              message: string
                              name: string
                              stack?: string
                              stackTraceLimit: number

                              The Error.stackTraceLimit property specifies the number of stack frames collected by a stack trace (whether generated by new Error().stack or Error.captureStackTrace(obj)).

                              The default value is 10 but may be set to any valid JavaScript number. Changes diff --git a/docs/classes/ReturnSimulation.html b/docs/classes/ReturnSimulation.html index f56b51a..192775f 100644 --- a/docs/classes/ReturnSimulation.html +++ b/docs/classes/ReturnSimulation.html @@ -1,5 +1,5 @@ ReturnSimulation | @captor/openseries-ts - v1.0.1

                              @captor/openseries-ts - v1.0.1
                                Preparing search index...

                                Class ReturnSimulation

                                Monte Carlo return simulation with optional seed for reproducibility.

                                -
                                Index

                                Constructors

                                constructor +
                                Index

                                Constructors

                                constructor

                                Properties

                                dframe jumpsLamda jumpsMu @@ -18,4 +18,4 @@ fromLognormal fromMertonJumpGbm fromNormal -

                                Constructors

                                • Parameters

                                  • params: {
                                        dframe: number[][];
                                        jumps_lamda?: number;
                                        jumps_mu?: number;
                                        jumps_sigma?: number;
                                        mean_annual_return: number;
                                        mean_annual_vol: number;
                                        number_of_sims: number;
                                        seed?: number;
                                        trading_days: number;
                                        trading_days_in_year: number;
                                    }

                                  Returns ReturnSimulation

                                Properties

                                dframe: number[][]
                                jumpsLamda: number
                                jumpsMu: number
                                jumpsSigma: number
                                meanAnnualReturn: number
                                meanAnnualVol: number
                                numberOfSims: number
                                seed?: number
                                tradingDays: number
                                tradingDaysInYear: number

                                Accessors

                                Methods

                                • Parameters

                                  • name: string
                                  • Optionaloptions: { asReturns?: boolean; end?: string; start?: string }

                                  Returns { columns: { name: string; values: number[] }[]; dates: string[] }

                                • Parameters

                                  • number_of_sims: number
                                  • mean_annual_return: number
                                  • mean_annual_vol: number
                                  • trading_days: number
                                  • trading_days_in_year: number = 252
                                  • Optionalseed: number

                                  Returns ReturnSimulation

                                • Parameters

                                  • number_of_sims: number
                                  • mean_annual_return: number
                                  • mean_annual_vol: number
                                  • trading_days: number
                                  • trading_days_in_year: number = 252
                                  • Optionalseed: number

                                  Returns ReturnSimulation

                                • Parameters

                                  • number_of_sims: number
                                  • trading_days: number
                                  • mean_annual_return: number
                                  • mean_annual_vol: number
                                  • jumps_lamda: number
                                  • jumps_sigma: number = 0
                                  • jumps_mu: number = 0
                                  • trading_days_in_year: number = 252
                                  • Optionalseed: number

                                  Returns ReturnSimulation

                                • Parameters

                                  • number_of_sims: number
                                  • mean_annual_return: number
                                  • mean_annual_vol: number
                                  • trading_days: number
                                  • trading_days_in_year: number = 252
                                  • Optionalseed: number

                                  Returns ReturnSimulation

                                Settings

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                                Constructors
                                Properties
                                Accessors
                                Methods
                                +

                                Constructors

                                • Parameters

                                  • params: {
                                        dframe: number[][];
                                        jumps_lamda?: number;
                                        jumps_mu?: number;
                                        jumps_sigma?: number;
                                        mean_annual_return: number;
                                        mean_annual_vol: number;
                                        number_of_sims: number;
                                        seed?: number;
                                        trading_days: number;
                                        trading_days_in_year: number;
                                    }

                                  Returns ReturnSimulation

                                Properties

                                dframe: number[][]
                                jumpsLamda: number
                                jumpsMu: number
                                jumpsSigma: number
                                meanAnnualReturn: number
                                meanAnnualVol: number
                                numberOfSims: number
                                seed?: number
                                tradingDays: number
                                tradingDaysInYear: number

                                Accessors

                                Methods

                                • Parameters

                                  • name: string
                                  • Optionaloptions: { asReturns?: boolean; end?: string; start?: string }

                                  Returns { columns: { name: string; values: number[] }[]; dates: string[] }

                                • Parameters

                                  • number_of_sims: number
                                  • mean_annual_return: number
                                  • mean_annual_vol: number
                                  • trading_days: number
                                  • trading_days_in_year: number = 252
                                  • Optionalseed: number

                                  Returns ReturnSimulation

                                • Parameters

                                  • number_of_sims: number
                                  • mean_annual_return: number
                                  • mean_annual_vol: number
                                  • trading_days: number
                                  • trading_days_in_year: number = 252
                                  • Optionalseed: number

                                  Returns ReturnSimulation

                                • Parameters

                                  • number_of_sims: number
                                  • trading_days: number
                                  • mean_annual_return: number
                                  • mean_annual_vol: number
                                  • jumps_lamda: number
                                  • jumps_sigma: number = 0
                                  • jumps_mu: number = 0
                                  • trading_days_in_year: number = 252
                                  • Optionalseed: number

                                  Returns ReturnSimulation

                                • Parameters

                                  • number_of_sims: number
                                  • mean_annual_return: number
                                  • mean_annual_vol: number
                                  • trading_days: number
                                  • trading_days_in_year: number = 252
                                  • Optionalseed: number

                                  Returns ReturnSimulation

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                                Constructors
                                Properties
                                Accessors
                                Methods
                                diff --git a/docs/enums/ValueType.html b/docs/enums/ValueType.html index 4a7417c..ab5f227 100644 --- a/docs/enums/ValueType.html +++ b/docs/enums/ValueType.html @@ -1,4 +1,4 @@ -ValueType | @captor/openseries-ts - v1.0.1
                                @captor/openseries-ts - v1.0.1
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                                  Enumeration ValueType

                                  Index

                                  Enumeration Members

                                  EWMA_VAR +ValueType | @captor/openseries-ts - v1.0.1
                                  @captor/openseries-ts - v1.0.1
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                                    Enumeration ValueType

                                    Index

                                    Enumeration Members

                                    EWMA_VAR EWMA_VOL PRICE RELRTRN @@ -10,4 +10,4 @@ ROLLVAR ROLLVOL RTRN -

                                    Enumeration Members

                                    EWMA_VAR: "EWMA VaR"
                                    EWMA_VOL: "EWMA volatility"
                                    PRICE: "Price(Close)"
                                    RELRTRN: "Relative return"
                                    ROLLBETA: "Beta"
                                    ROLLCORR: "Rolling correlation"
                                    ROLLCVAR: "Rolling CVaR"
                                    ROLLINFORATIO: "Information Ratio"
                                    ROLLRTRN: "Rolling returns"
                                    ROLLVAR: "Rolling VaR"
                                    ROLLVOL: "Rolling volatility"
                                    RTRN: "Return(Total)"

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                                    Enumeration Members

                                    EWMA_VAR: "EWMA VaR"
                                    EWMA_VOL: "EWMA volatility"
                                    PRICE: "Price(Close)"
                                    RELRTRN: "Relative return"
                                    ROLLBETA: "Beta"
                                    ROLLCORR: "Rolling correlation"
                                    ROLLCVAR: "Rolling CVaR"
                                    ROLLINFORATIO: "Information Ratio"
                                    ROLLRTRN: "Rolling returns"
                                    ROLLVAR: "Rolling VaR"
                                    ROLLVOL: "Rolling volatility"
                                    RTRN: "Return(Total)"

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                                    diff --git a/docs/functions/dateFix.html b/docs/functions/dateFix.html index bb1524b..bd3ebcf 100644 --- a/docs/functions/dateFix.html +++ b/docs/functions/dateFix.html @@ -1,2 +1,2 @@ dateFix | @captor/openseries-ts - v1.0.1
                                    @captor/openseries-ts - v1.0.1
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                                      Function dateFix

                                      • Normalizes string or Date input to a Date.

                                        -

                                        Parameters

                                        • input: string | Date

                                        Returns Date

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                                      Parameters

                                      Returns Date

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                                      diff --git a/docs/functions/dateToStr.html b/docs/functions/dateToStr.html index 0e8ceeb..8604d49 100644 --- a/docs/functions/dateToStr.html +++ b/docs/functions/dateToStr.html @@ -1,2 +1,2 @@ dateToStr | @captor/openseries-ts - v1.0.1
                                      @captor/openseries-ts - v1.0.1
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                                        Function dateToStr

                                        • Returns a Date as YYYY-MM-DD string.

                                          -

                                          Parameters

                                          • d: Date

                                          Returns string

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                                        Parameters

                                        Returns string

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                                        diff --git a/docs/functions/efficientFrontier.html b/docs/functions/efficientFrontier.html index cf3523f..ab91bee 100644 --- a/docs/functions/efficientFrontier.html +++ b/docs/functions/efficientFrontier.html @@ -1,2 +1,2 @@ efficientFrontier | @captor/openseries-ts - v1.0.1
                                        @captor/openseries-ts - v1.0.1
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                                          Function efficientFrontier

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                                          Parameters

                                          Returns {
                                              frontier: EfficientFrontierPoint[];
                                              maxSharpe: EfficientFrontierPoint;
                                              simulated: SimulatedPortfolio[];
                                          }

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                                          diff --git a/docs/functions/fetchCaptorSeries.html b/docs/functions/fetchCaptorSeries.html index db95e17..dc4ff1e 100644 --- a/docs/functions/fetchCaptorSeries.html +++ b/docs/functions/fetchCaptorSeries.html @@ -1,4 +1,4 @@ fetchCaptorSeries | @captor/openseries-ts - v1.0.1
                                          @captor/openseries-ts - v1.0.1
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                                            Function fetchCaptorSeries

                                            • Fetches a single timeseries from the Captor Open API.

                                              Parameters

                                              • id: string

                                                The timeseries ID (e.g. "638f681e0c2f4c8d28a13392")

                                              Returns Promise<CaptorSeriesResponse>

                                              The timeseries data with dates and values arrays

                                              -

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                                            diff --git a/docs/functions/fetchCaptorSeriesBatch.html b/docs/functions/fetchCaptorSeriesBatch.html index 39465cb..870c17d 100644 --- a/docs/functions/fetchCaptorSeriesBatch.html +++ b/docs/functions/fetchCaptorSeriesBatch.html @@ -1,4 +1,4 @@ fetchCaptorSeriesBatch | @captor/openseries-ts - v1.0.1
                                            @captor/openseries-ts - v1.0.1
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                                              Function fetchCaptorSeriesBatch

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                                              diff --git a/docs/functions/filterBusinessDays.html b/docs/functions/filterBusinessDays.html index 1ee6558..5fcac1d 100644 --- a/docs/functions/filterBusinessDays.html +++ b/docs/functions/filterBusinessDays.html @@ -3,4 +3,4 @@

                                              Parameters

                                              Returns string[]

                                              Array of business-day date strings (subsequence of input, preserving order)

                                              -

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                                              diff --git a/docs/functions/filterToBusinessDays.html b/docs/functions/filterToBusinessDays.html index cf267e4..bfe424b 100644 --- a/docs/functions/filterToBusinessDays.html +++ b/docs/functions/filterToBusinessDays.html @@ -1,3 +1,3 @@ filterToBusinessDays | @captor/openseries-ts - v1.0.1
                                              @captor/openseries-ts - v1.0.1
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                                                Function filterToBusinessDays

                                                • Filters (dates, columns) to retain only rows where the date is a business day. Preserves alignment across all columns.

                                                  -

                                                  Parameters

                                                  • dates: string[]
                                                  • columns: number[][]
                                                  • countries: string | string[]

                                                  Returns { columns: number[][]; dates: string[] }

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                                                Parameters

                                                Returns { columns: number[][]; dates: string[] }

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                                                diff --git a/docs/functions/generateCalendarDateRange.html b/docs/functions/generateCalendarDateRange.html index 69be7ae..d80b0e7 100644 --- a/docs/functions/generateCalendarDateRange.html +++ b/docs/functions/generateCalendarDateRange.html @@ -1,2 +1,2 @@ generateCalendarDateRange | @captor/openseries-ts - v1.0.1
                                                @captor/openseries-ts - v1.0.1
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                                                  Function generateCalendarDateRange

                                                  • Returns an array of business-day date strings (excludes weekends).

                                                    -

                                                    Parameters

                                                    • tradingDays: number
                                                    • Optionaloptions: { end?: string; start?: string }

                                                    Returns string[]

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                                                  Parameters

                                                  Returns string[]

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                                                  diff --git a/docs/functions/getPreviousBusinessDayBeforeToday.html b/docs/functions/getPreviousBusinessDayBeforeToday.html index 2f010e0..f608002 100644 --- a/docs/functions/getPreviousBusinessDayBeforeToday.html +++ b/docs/functions/getPreviousBusinessDayBeforeToday.html @@ -1,3 +1,3 @@ getPreviousBusinessDayBeforeToday | @captor/openseries-ts - v1.0.1
                                                  @captor/openseries-ts - v1.0.1
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                                                    Function getPreviousBusinessDayBeforeToday

                                                    • Returns the most recent business day strictly before today. Uses the given country code(s) for holiday calendar (e.g. "SE" for XSTO/Stockholm).

                                                      -

                                                      Parameters

                                                      • countries: string | string[]

                                                      Returns string

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                                                    Parameters

                                                    Returns string

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                                                    diff --git a/docs/functions/isBusinessDay.html b/docs/functions/isBusinessDay.html index 58220d4..5665395 100644 --- a/docs/functions/isBusinessDay.html +++ b/docs/functions/isBusinessDay.html @@ -1,2 +1,2 @@ isBusinessDay | @captor/openseries-ts - v1.0.1
                                                    @captor/openseries-ts - v1.0.1
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                                                      Function isBusinessDay

                                                      • Checks whether a date is a business day.

                                                        -

                                                        Parameters

                                                        • dateStr: string
                                                        • countries: string | string[]

                                                        Returns boolean

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                                                      Parameters

                                                      Returns boolean

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                                                      diff --git a/docs/functions/lastBusinessDayOfMonth.html b/docs/functions/lastBusinessDayOfMonth.html index 4b78f52..74bf889 100644 --- a/docs/functions/lastBusinessDayOfMonth.html +++ b/docs/functions/lastBusinessDayOfMonth.html @@ -1,2 +1,2 @@ lastBusinessDayOfMonth | @captor/openseries-ts - v1.0.1
                                                      @captor/openseries-ts - v1.0.1
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                                                        Function lastBusinessDayOfMonth

                                                        • Last business day of the given month (1-indexed).

                                                          -

                                                          Parameters

                                                          • year: number
                                                          • month: number
                                                          • countries: string | string[]

                                                          Returns string

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                                                        Parameters

                                                        Returns string

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                                                        diff --git a/docs/functions/lastBusinessDayOfYear.html b/docs/functions/lastBusinessDayOfYear.html index 6a321a8..6fad1d0 100644 --- a/docs/functions/lastBusinessDayOfYear.html +++ b/docs/functions/lastBusinessDayOfYear.html @@ -1,2 +1,2 @@ lastBusinessDayOfYear | @captor/openseries-ts - v1.0.1
                                                        @captor/openseries-ts - v1.0.1
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                                                          Function lastBusinessDayOfYear

                                                          • Last business day of the given year.

                                                            -

                                                            Parameters

                                                            • year: number
                                                            • countries: string | string[]

                                                            Returns string

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                                                          Parameters

                                                          Returns string

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                                                          diff --git a/docs/functions/mean.html b/docs/functions/mean.html index d6e42dd..cd1062f 100644 --- a/docs/functions/mean.html +++ b/docs/functions/mean.html @@ -1,2 +1,2 @@ mean | @captor/openseries-ts - v1.0.1
                                                          @captor/openseries-ts - v1.0.1
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                                                            Function mean

                                                            • Returns the arithmetic mean of an array.

                                                              -

                                                              Parameters

                                                              • arr: number[]

                                                              Returns number

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                                                            Parameters

                                                            Returns number

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                                                            diff --git a/docs/functions/offsetBusinessDays.html b/docs/functions/offsetBusinessDays.html index b78bfc3..076fb07 100644 --- a/docs/functions/offsetBusinessDays.html +++ b/docs/functions/offsetBusinessDays.html @@ -1,2 +1,2 @@ offsetBusinessDays | @captor/openseries-ts - v1.0.1
                                                            @captor/openseries-ts - v1.0.1
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                                                              Function offsetBusinessDays

                                                              • Offsets a date by a number of business days.

                                                                -

                                                                Parameters

                                                                • ddate: Date
                                                                • days: number

                                                                Returns Date

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                                                              Parameters

                                                              Returns Date

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                                                              diff --git a/docs/functions/pctChange.html b/docs/functions/pctChange.html index d44e139..0039058 100644 --- a/docs/functions/pctChange.html +++ b/docs/functions/pctChange.html @@ -1,2 +1,2 @@ pctChange | @captor/openseries-ts - v1.0.1
                                                              @captor/openseries-ts - v1.0.1
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                                                                Function pctChange

                                                                • Returns period-over-period percentage change. First element is 0.

                                                                  -

                                                                  Parameters

                                                                  • values: number[]

                                                                  Returns number[]

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                                                                Parameters

                                                                Returns number[]

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                                                                diff --git a/docs/functions/plotSeries.html b/docs/functions/plotSeries.html index 41b2da5..9642d07 100644 --- a/docs/functions/plotSeries.html +++ b/docs/functions/plotSeries.html @@ -3,4 +3,4 @@

                                                                Parameters

                                                                Returns Promise<string>

                                                                Path to the written HTML file

                                                                -

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                                                                diff --git a/docs/functions/plotSeriesHtml.html b/docs/functions/plotSeriesHtml.html index 860c671..3b0b177 100644 --- a/docs/functions/plotSeriesHtml.html +++ b/docs/functions/plotSeriesHtml.html @@ -4,4 +4,4 @@

                                                                Parameters

                                                                Returns string

                                                                HTML string

                                                                -

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                                                                diff --git a/docs/functions/preparePlotData.html b/docs/functions/preparePlotData.html index dd5f308..5f6f4d0 100644 --- a/docs/functions/preparePlotData.html +++ b/docs/functions/preparePlotData.html @@ -1,3 +1,3 @@ preparePlotData | @captor/openseries-ts - v1.0.1
                                                                @captor/openseries-ts - v1.0.1
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                                                                  Function preparePlotData

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                                                                  Parameters

                                                                  Returns SharpePlotPoint[]

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                                                                  diff --git a/docs/functions/prevBusinessDay.html b/docs/functions/prevBusinessDay.html index 4f61459..39d2a13 100644 --- a/docs/functions/prevBusinessDay.html +++ b/docs/functions/prevBusinessDay.html @@ -1,2 +1,2 @@ prevBusinessDay | @captor/openseries-ts - v1.0.1
                                                                  @captor/openseries-ts - v1.0.1
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                                                                    Function prevBusinessDay

                                                                    • Finds the last business day on or before the given date.

                                                                      -

                                                                      Parameters

                                                                      • dateStr: string
                                                                      • countries: string | string[]

                                                                      Returns string

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                                                                    Parameters

                                                                    Returns string

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                                                                    diff --git a/docs/functions/quantile.html b/docs/functions/quantile.html index 86defc8..0b264ac 100644 --- a/docs/functions/quantile.html +++ b/docs/functions/quantile.html @@ -1,2 +1,2 @@ quantile | @captor/openseries-ts - v1.0.1
                                                                    @captor/openseries-ts - v1.0.1
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                                                                      Function quantile

                                                                      • Returns the quantile at q (0-1) using linear interpolation.

                                                                        -

                                                                        Parameters

                                                                        • arr: number[]
                                                                        • q: number
                                                                        • sorted: boolean = false

                                                                        Returns number

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                                                                      Parameters

                                                                      Returns number

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                                                                      diff --git a/docs/functions/randomGenerator.html b/docs/functions/randomGenerator.html index d1dccd6..eb6b496 100644 --- a/docs/functions/randomGenerator.html +++ b/docs/functions/randomGenerator.html @@ -1,2 +1,2 @@ randomGenerator | @captor/openseries-ts - v1.0.1
                                                                      @captor/openseries-ts - v1.0.1
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                                                                        Function randomGenerator

                                                                        • Returns a seeded RNG function returning values in [0, 1).

                                                                          -

                                                                          Parameters

                                                                          • Optionalseed: number

                                                                          Returns () => number

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                                                                        Parameters

                                                                        Returns () => number

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                                                                        diff --git a/docs/functions/reportHtml.html b/docs/functions/reportHtml.html index 641eeb1..a4c7db4 100644 --- a/docs/functions/reportHtml.html +++ b/docs/functions/reportHtml.html @@ -8,4 +8,4 @@
                                                                      • options: ReportOptions = {}

                                                                        Report options (title, logo). Countries come from frame.countries.

                                                                        • Returns string

                                                                        HTML string

                                                                        Error when frame has fewer than 2 constituents

                                                                        -

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                                                                        diff --git a/docs/functions/resampleToPeriodEnd.html b/docs/functions/resampleToPeriodEnd.html index 3214f6f..bbc2c39 100644 --- a/docs/functions/resampleToPeriodEnd.html +++ b/docs/functions/resampleToPeriodEnd.html @@ -4,4 +4,4 @@
                                                                      • columns: number[][]

                                                                        Value columns (same length as dates)

                                                                      • freq: ResampleFreq

                                                                        WE (week-end), ME (month-end), QE (quarter-end), YE (year-end)

                                                                      • countries: string | string[]

                                                                        Country code(s) for holiday filtering

                                                                        -

                                                                        • Returns { columns: number[][]; dates: string[] }

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                                                                        Returns { columns: number[][]; dates: string[] }

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                                                                        diff --git a/docs/functions/sharpeplot.html b/docs/functions/sharpeplot.html index b9d5bb3..44fdf34 100644 --- a/docs/functions/sharpeplot.html +++ b/docs/functions/sharpeplot.html @@ -1,2 +1,2 @@ sharpeplot | @captor/openseries-ts - v1.0.1
                                                                        @captor/openseries-ts - v1.0.1
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                                                                          Function sharpeplot

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                                                                          Parameters

                                                                          Returns Promise<string>

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                                                                          diff --git a/docs/functions/sharpeplotHtml.html b/docs/functions/sharpeplotHtml.html index 16ffd5f..684e9b4 100644 --- a/docs/functions/sharpeplotHtml.html +++ b/docs/functions/sharpeplotHtml.html @@ -1,3 +1,3 @@ sharpeplotHtml | @captor/openseries-ts - v1.0.1
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                                                                            Function sharpeplotHtml

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                                                                            Parameters

                                                                            Returns string

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                                                                            diff --git a/docs/functions/simulatePortfolios.html b/docs/functions/simulatePortfolios.html index 5d28ae7..ae2fd60 100644 --- a/docs/functions/simulatePortfolios.html +++ b/docs/functions/simulatePortfolios.html @@ -1,2 +1,2 @@ simulatePortfolios | @captor/openseries-ts - v1.0.1
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                                                                              Function simulatePortfolios

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                                                                              Parameters

                                                                              Returns SimulatedPortfolio[]

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                                                                              diff --git a/docs/functions/std.html b/docs/functions/std.html index e790bb7..fbae247 100644 --- a/docs/functions/std.html +++ b/docs/functions/std.html @@ -1,2 +1,2 @@ std | @captor/openseries-ts - v1.0.1
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                                                                                Function std

                                                                                • Returns the sample standard deviation.

                                                                                  -

                                                                                  Parameters

                                                                                  • arr: number[]
                                                                                  • ddof: number = 1

                                                                                  Returns number

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                                                                                Parameters

                                                                                Returns number

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                                                                                diff --git a/docs/functions/timeseriesChain.html b/docs/functions/timeseriesChain.html index 9572172..1495e03 100644 --- a/docs/functions/timeseriesChain.html +++ b/docs/functions/timeseriesChain.html @@ -1,2 +1,2 @@ timeseriesChain | @captor/openseries-ts - v1.0.1
                                                                                @captor/openseries-ts - v1.0.1
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                                                                                  Function timeseriesChain

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                                                                                  Parameters

                                                                                  Returns OpenTimeSeries

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                                                                                  diff --git a/docs/index.html b/docs/index.html index 8a9b463..3978607 100644 --- a/docs/index.html +++ b/docs/index.html @@ -10,7 +10,7 @@