Finance (Deedle) | Deedle

Finance Type

Namespace: Deedle.Math
Assembly: Deedle.Math.dll
Base Type: obj

Financial analysis Financial Analysis

Static members

Static member	Description
`Finance.ewmCorr (df, ?com, ?span, ?halfLife, ?alpha)` Full Usage: `Finance.ewmCorr (df, ?com, ?span, ?halfLife, ?alpha)` Parameters: df : `Frame<'R, 'C>` ?com : `float` ?span : `float` ?halfLife : `float` ?alpha : `float` Returns: `Series<'R, Frame<'C, 'C>>`	Exponentially weighted moving correlation frame Exponentially Weighted Moving df : `Frame<'R, 'C>` ?com : `float` ?span : `float` ?halfLife : `float` ?alpha : `float` Returns: `Series<'R, Frame<'C, 'C>>`
`Finance.ewmCorrMatrix (df, ?com, ?span, ?halfLife, ?alpha)` Full Usage: `Finance.ewmCorrMatrix (df, ?com, ?span, ?halfLife, ?alpha)` Parameters: df : `Frame<'R, 'C>` ?com : `float` ?span : `float` ?halfLife : `float` ?alpha : `float` Returns: `Series<'R, Matrix<float>>`	Exponentially weighted moving correlation matrix Exponentially Weighted Moving df : `Frame<'R, 'C>` ?com : `float` ?span : `float` ?halfLife : `float` ?alpha : `float` Returns: `Series<'R, Matrix<float>>`
`Finance.ewmCov (df, ?com, ?span, ?halfLife, ?alpha)` Full Usage: `Finance.ewmCov (df, ?com, ?span, ?halfLife, ?alpha)` Parameters: df : `Frame<'R, 'C>` ?com : `float` ?span : `float` ?halfLife : `float` ?alpha : `float` Returns: `Series<'R, Frame<'C, 'C>>`	Exponentially weighted moving covariance frame Exponentially Weighted Moving df : `Frame<'R, 'C>` ?com : `float` ?span : `float` ?halfLife : `float` ?alpha : `float` Returns: `Series<'R, Frame<'C, 'C>>`
`Finance.ewmCovMatrix (df, ?com, ?span, ?halfLife, ?alpha)` Full Usage: `Finance.ewmCovMatrix (df, ?com, ?span, ?halfLife, ?alpha)` Parameters: df : `Frame<'R, 'C>` ?com : `float` ?span : `float` ?halfLife : `float` ?alpha : `float` Returns: `Series<'R, Matrix<float>>`	Exponentially weighted moving covariance matrix Exponentially Weighted Moving df : `Frame<'R, 'C>` ?com : `float` ?span : `float` ?halfLife : `float` ?alpha : `float` Returns: `Series<'R, Matrix<float>>`
`Finance.ewmVar (df, ?com, ?span, ?halfLife, ?alpha)` Full Usage: `Finance.ewmVar (df, ?com, ?span, ?halfLife, ?alpha)` Parameters: df : `Frame<'R, 'C>` ?com : `float` ?span : `float` ?halfLife : `float` ?alpha : `float` Returns: `Frame<'R, 'C>`	Exponentially weighted moving variance on frame Exponentially Weighted Moving df : `Frame<'R, 'C>` ?com : `float` ?span : `float` ?halfLife : `float` ?alpha : `float` Returns: `Frame<'R, 'C>`
`Finance.ewmVar (x, ?com, ?span, ?halfLife, ?alpha)` Full Usage: `Finance.ewmVar (x, ?com, ?span, ?halfLife, ?alpha)` Parameters: x : `Series<'R, float>` ?com : `float` ?span : `float` ?halfLife : `float` ?alpha : `float` Returns: `Series<'R, float>`	Exponentially weighted moving variance on series x : `Series<'R, float>` ?com : `float` ?span : `float` ?halfLife : `float` ?alpha : `float` Returns: `Series<'R, float>`
`Finance.ewmVolRMS (df, ?com, ?span, ?halfLife, ?alpha)` Full Usage: `Finance.ewmVolRMS (df, ?com, ?span, ?halfLife, ?alpha)` Parameters: df : `Frame<'R, 'C>` ?com : `float` ?span : `float` ?halfLife : `float` ?alpha : `float` Returns: `Frame<'R, 'C>`	Exponentially weighted moving volatility using root mean square (no mean correction) applied to each column of a frame. Exponentially Weighted Moving df : `Frame<'R, 'C>` ?com : `float` ?span : `float` ?halfLife : `float` ?alpha : `float` Returns: `Frame<'R, 'C>`
`Finance.ewmVolRMS (x, ?com, ?span, ?halfLife, ?alpha)` Full Usage: `Finance.ewmVolRMS (x, ?com, ?span, ?halfLife, ?alpha)` Parameters: x : `Series<'R, float>` ?com : `float` ?span : `float` ?halfLife : `float` ?alpha : `float` Returns: `Series<'R, float>`	Exponentially weighted moving volatility using root mean square (no mean correction). Computes vol as sqrt(EWM(x²)), which equals ewmMean for strictly positive sequences. Appropriate for returns series that are already mean-centred (e.g. zero-mean returns). Exponentially Weighted Moving x : `Series<'R, float>` ?com : `float` ?span : `float` ?halfLife : `float` ?alpha : `float` Returns: `Series<'R, float>`
`Finance.ewmVolStdDev (df, ?com, ?span, ?halfLife, ?alpha)` Full Usage: `Finance.ewmVolStdDev (df, ?com, ?span, ?halfLife, ?alpha)` Parameters: df : `Frame<'R, 'C>` ?com : `float` ?span : `float` ?halfLife : `float` ?alpha : `float` Returns: `Frame<'R, 'C>`	Exponentially weighted moving volatility using standard deviation (mean-corrected) applied to each column of a frame. Exponentially Weighted Moving df : `Frame<'R, 'C>` ?com : `float` ?span : `float` ?halfLife : `float` ?alpha : `float` Returns: `Frame<'R, 'C>`
`Finance.ewmVolStdDev (x, ?com, ?span, ?halfLife, ?alpha)` Full Usage: `Finance.ewmVolStdDev (x, ?com, ?span, ?halfLife, ?alpha)` Parameters: x : `Series<'R, float>` ?com : `float` ?span : `float` ?halfLife : `float` ?alpha : `float` Returns: `Series<'R, float>`	Exponentially weighted moving volatility using standard deviation (mean-corrected). Tracks the EWM mean and computes volatility as the sqrt of the EWM variance of deviations from that mean. Exponentially Weighted Moving x : `Series<'R, float>` ?com : `float` ?span : `float` ?halfLife : `float` ?alpha : `float` Returns: `Series<'R, float>`