d803bfe2b1
git-subtree-dir: vendor/ruvector git-subtree-split: b64c21726f2bb37286d9ee36a7869fef60cc6900
104 lines
2.6 KiB
TypeScript
104 lines
2.6 KiB
TypeScript
/**
|
|
* Portfolio Simulation and Management
|
|
*
|
|
* Generate realistic portfolio data for:
|
|
* - Multi-asset portfolios
|
|
* - Rebalancing scenarios
|
|
* - Risk-adjusted returns
|
|
* - Drawdown analysis
|
|
* - Performance attribution
|
|
*/
|
|
interface Asset {
|
|
symbol: string;
|
|
assetClass: 'equity' | 'fixedIncome' | 'commodity' | 'crypto' | 'alternative';
|
|
weight: number;
|
|
expectedReturn: number;
|
|
volatility: number;
|
|
}
|
|
interface PortfolioHolding {
|
|
timestamp: Date;
|
|
symbol: string;
|
|
shares: number;
|
|
price: number;
|
|
marketValue: number;
|
|
weight: number;
|
|
dayReturn: number;
|
|
totalReturn: number;
|
|
}
|
|
interface PortfolioMetrics {
|
|
timestamp: Date;
|
|
totalValue: number;
|
|
cashBalance: number;
|
|
totalReturn: number;
|
|
dailyReturn: number;
|
|
volatility: number;
|
|
sharpeRatio: number;
|
|
maxDrawdown: number;
|
|
beta: number;
|
|
alpha: number;
|
|
}
|
|
/**
|
|
* Generate a diversified multi-asset portfolio
|
|
*/
|
|
declare function generateMultiAssetPortfolio(): Promise<{
|
|
portfolioData: Map<string, PortfolioHolding[]>;
|
|
portfolioMetrics: PortfolioMetrics[];
|
|
assets: Asset[];
|
|
}>;
|
|
interface RebalanceEvent {
|
|
timestamp: Date;
|
|
type: 'calendar' | 'threshold' | 'opportunistic';
|
|
holdings: PortfolioHolding[];
|
|
targetWeights: Record<string, number>;
|
|
actualWeights: Record<string, number>;
|
|
trades: Trade[];
|
|
transactionCosts: number;
|
|
}
|
|
interface Trade {
|
|
symbol: string;
|
|
action: 'buy' | 'sell';
|
|
shares: number;
|
|
price: number;
|
|
value: number;
|
|
commission: number;
|
|
}
|
|
/**
|
|
* Generate portfolio rebalancing scenarios
|
|
*/
|
|
declare function generateRebalancingScenarios(): Promise<RebalanceEvent[]>;
|
|
interface RiskMetrics {
|
|
timestamp: Date;
|
|
portfolioReturn: number;
|
|
benchmarkReturn: number;
|
|
excessReturn: number;
|
|
trackingError: number;
|
|
informationRatio: number;
|
|
sharpeRatio: number;
|
|
sortinoRatio: number;
|
|
calmarRatio: number;
|
|
beta: number;
|
|
alpha: number;
|
|
correlation: number;
|
|
}
|
|
/**
|
|
* Calculate comprehensive risk-adjusted return metrics
|
|
*/
|
|
declare function generateRiskAdjustedReturns(): Promise<RiskMetrics[]>;
|
|
interface DrawdownPeriod {
|
|
startDate: Date;
|
|
troughDate: Date;
|
|
endDate: Date | null;
|
|
peakValue: number;
|
|
troughValue: number;
|
|
recoveryValue: number | null;
|
|
drawdown: number;
|
|
duration: number;
|
|
recoveryDuration: number | null;
|
|
underwater: boolean;
|
|
}
|
|
/**
|
|
* Analyze portfolio drawdowns
|
|
*/
|
|
declare function generateDrawdownAnalysis(): Promise<DrawdownPeriod[]>;
|
|
export { generateMultiAssetPortfolio, generateRebalancingScenarios, generateRiskAdjustedReturns, generateDrawdownAnalysis, };
|
|
//# sourceMappingURL=portfolio-simulation.d.ts.map
|