Types in MathNet.Numerics.Financial

Type AbsoluteRiskMeasures

Namespace MathNet.Numerics.Financial

Static Functions

Public Static Functions

double DownsideDeviation(this IEnumerable<double> data, double minimalAcceptableReturn)

This measure is similar to the loss standard deviation except the downside deviation considers only returns that fall below a defined minimum acceptable return (MAR) rather than the arithmetic mean. For example, if the MAR is 7%, the downside deviation would measure the variation of each period that falls below 7%. (The loss standard deviation, on the other hand, would take only losing periods, calculate an average return for the losing periods, and then measure the variation between each losing return and the losing return average).

double GainLossRatio(this IEnumerable<double> data)

Measures a fund’s average gain in a gain period divided by the fund’s average loss in a losing period. Periods can be monthly or quarterly depending on the data frequency.

double GainStandardDeviation(this IEnumerable<double> data)

Calculation is similar to Standard Deviation , except it calculates an average (mean) return only for periods with a gain and measures the variation of only the gain periods around the gain mean. Measures the volatility of upside performance. © Copyright 1996, 1999 Gary L.Gastineau. First Edition. © 1992 Swiss Bank Corporation.

double LossStandardDeviation(this IEnumerable<double> data)

Similar to standard deviation, except this statistic calculates an average (mean) return for only the periods with a loss and then measures the variation of only the losing periods around this loss mean. This statistic measures the volatility of downside performance.

double SemiDeviation(this IEnumerable<double> data)

A measure of volatility in returns below the mean. It's similar to standard deviation, but it only looks at periods where the investment return was less than average return.