quant_econometrics: 5 tools.
| Tool | What it does | Notes |
|---|---|---|
quant_returns | Returns of a dated price series over a number of observations or a tenor (simple, logarithmic or absolute), the price path implied by a return series, the series rebased to a starting level or net of its first value, annualized by its date spacing, or its excess-return index over a cash rate or cash index. | |
quant_drawdown | Rolling maximum peak-to-trough drawdown of a price or level series as a ratio (-0.25 = a 25% fall from the window’s peak), over a window of observations or a tenor; with no window, the running maximum drawdown since the start. | |
quant_sharpe_ratio | Rolling Sharpe ratio of a price series: its annualized excess return (over a cash rate or cash index) divided by its annualized volatility, over a window of observations or a tenor (default: since the start). | |
quant_volatility | Volatility of a dated price (or return) series in annualized percent: rolling realized volatility over a window of observations or a tenor, the volatility-swap convention (log returns, zero mean, window observations), or exponentially weighted volatility of returns or of daily changes for spreads. | |
quant_correlation | Rolling co-movement of two dated series over a window of observations or a tenor: correlation of returns, the correlation-swap convention, beta of x against benchmark y, or covariance. |
fincept_describe_tool.