Deedle


Finance

Namespace: Deedle.Math

Financial analysis

Table of contents

Exponentially Weighted Moving 

Static members

Static memberDescription
Finance.ewmCorr(...)
Signature: (df:Frame<'R,'C> * com:float<MeasureOne> option * span:float<MeasureOne> option * halfLife:float<MeasureOne> option * alpha:float<MeasureOne> option) -> Series<'R,Frame<'C,'C>>
Type parameters: 'R, 'C

Exponentially weighted moving correlation frame

Finance.ewmCorrMatrix(...)
Signature: (df:Frame<'R,'C> * com:float<MeasureOne> option * span:float<MeasureOne> option * halfLife:float<MeasureOne> option * alpha:float<MeasureOne> option) -> Series<'R,Matrix<float>>
Type parameters: 'R, 'C

Exponentially weighted moving correlation matrix

Finance.ewmCov(...)
Signature: (df:Frame<'R,'C> * com:float<MeasureOne> option * span:float<MeasureOne> option * halfLife:float<MeasureOne> option * alpha:float<MeasureOne> option) -> Series<'R,Frame<'C,'C>>
Type parameters: 'R, 'C

Exponentially weighted moving covariance frame

Finance.ewmCovMatrix(...)
Signature: (df:Frame<'R,'C> * com:float<MeasureOne> option * span:float<MeasureOne> option * halfLife:float<MeasureOne> option * alpha:float<MeasureOne> option) -> Series<'R,Matrix<float>>
Type parameters: 'R, 'C

Exponentially weighted moving covariance matrix

Finance.ewmVar(...)
Signature: (df:Frame<'R,'C> * com:float<MeasureOne> option * span:float<MeasureOne> option * halfLife:float<MeasureOne> option * alpha:float<MeasureOne> option) -> Frame<'R,'C>
Type parameters: 'R, 'C

Exponentially weighted moving variance on frame

Finance.ewmVol(...)
Signature: (df:Frame<'R,'C> * com:float<MeasureOne> option * span:float<MeasureOne> option * halfLife:float<MeasureOne> option * alpha:float<MeasureOne> option) -> Frame<'R,'C>
Type parameters: 'R, 'C

Exponentially weighted moving volatility on frame

Finance.ewmVol(...)
Signature: (x:Series<'R,float> * com:float<MeasureOne> option * span:float<MeasureOne> option * halfLife:float<MeasureOne> option * alpha:float<MeasureOne> option) -> Series<'R,float>
Type parameters: 'R

Exponentially weighted moving volatility on series

Other type members 

Static members

Static memberDescription
Finance.ewmVar(...)
Signature: (x:Series<'R,float> * com:float<MeasureOne> option * span:float<MeasureOne> option * halfLife:float<MeasureOne> option * alpha:float<MeasureOne> option) -> Series<'R,float>
Type parameters: 'R

Exponentially weighted moving variance on series

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