pineforge::metrics::fold_detail::ReturnVariance Struct Reference

#include <metrics_fold.hpp>

Public Member Functions
double	check (double value, const char *field)
void	prepare (const EquityReturnSummary &first, double risk_free, double annualization, bool allowed, const char *sharpe_name, const char *sortino_name)
void	fold (double value)
bool	complete () const
void	finish (double &sharpe, double &sortino)

Data Fields
std::size_t	expected_count = 0
std::size_t	count = 0
double	mean = 0.0
double	rf = 0.0
double	ann = 0.0
double	var = 0.0
double	down = 0.0
const char *	sharpe_field = nullptr
const char *	sortino_field = nullptr
const char *	nonfinite_field = nullptr
bool	enabled = false

Detailed Description

Definition at line 240 of file metrics_fold.hpp.

Member Function Documentation

check()

double pineforge::metrics::fold_detail::ReturnVariance::check ( double value, const char * field )

inline

Definition at line 248 of file metrics_fold.hpp.

References pineforge::metrics::fold_detail::defer_nonfinite(), and nonfinite_field.

Referenced by finish(), fold(), and prepare().

prepare()

void pineforge::metrics::fold_detail::ReturnVariance::prepare ( const EquityReturnSummary & first, double risk_free, double annualization, bool allowed, const char * sharpe_name, const char * sortino_name )

inline

Definition at line 251 of file metrics_fold.hpp.

References ann, check(), pineforge::metrics::EquityReturnSummary::count, enabled, expected_count, mean, rf, sharpe_field, sortino_field, and pineforge::metrics::EquityReturnSummary::sum.

fold()

void pineforge::metrics::fold_detail::ReturnVariance::fold ( double value )

inline

Definition at line 263 of file metrics_fold.hpp.

References check(), count, down, enabled, mean, rf, sharpe_field, sortino_field, and var.

complete()

bool pineforge::metrics::fold_detail::ReturnVariance::complete ( ) const

inline

Definition at line 272 of file metrics_fold.hpp.

References count, enabled, and expected_count.

Referenced by finish().

finish()

void pineforge::metrics::fold_detail::ReturnVariance::finish ( double & sharpe, double & sortino )

inline

Definition at line 273 of file metrics_fold.hpp.

References ann, check(), complete(), down, enabled, expected_count, mean, pineforge::metrics::fold_detail::nan, rf, sharpe_field, sortino_field, and var.

Field Documentation

expected_count

std::size_t pineforge::metrics::fold_detail::ReturnVariance::expected_count = 0

Definition at line 241 of file metrics_fold.hpp.

Referenced by complete(), finish(), and prepare().

count

std::size_t pineforge::metrics::fold_detail::ReturnVariance::count = 0

Definition at line 241 of file metrics_fold.hpp.

Referenced by complete(), and fold().

mean

double pineforge::metrics::fold_detail::ReturnVariance::mean = 0.0

Definition at line 242 of file metrics_fold.hpp.

Referenced by finish(), fold(), and prepare().

rf

double pineforge::metrics::fold_detail::ReturnVariance::rf = 0.0

Definition at line 242 of file metrics_fold.hpp.

Referenced by finish(), fold(), and prepare().

ann

double pineforge::metrics::fold_detail::ReturnVariance::ann = 0.0

Definition at line 242 of file metrics_fold.hpp.

Referenced by finish(), and prepare().

var

double pineforge::metrics::fold_detail::ReturnVariance::var = 0.0

Definition at line 243 of file metrics_fold.hpp.

Referenced by finish(), and fold().

down

double pineforge::metrics::fold_detail::ReturnVariance::down = 0.0

Definition at line 243 of file metrics_fold.hpp.

Referenced by finish(), and fold().

sharpe_field

const char* pineforge::metrics::fold_detail::ReturnVariance::sharpe_field = nullptr

Definition at line 244 of file metrics_fold.hpp.

Referenced by finish(), fold(), and prepare().

sortino_field

const char* pineforge::metrics::fold_detail::ReturnVariance::sortino_field = nullptr

Definition at line 245 of file metrics_fold.hpp.

Referenced by finish(), fold(), and prepare().

nonfinite_field

const char* pineforge::metrics::fold_detail::ReturnVariance::nonfinite_field = nullptr

Definition at line 246 of file metrics_fold.hpp.

Referenced by check().

enabled

bool pineforge::metrics::fold_detail::ReturnVariance::enabled = false

Definition at line 247 of file metrics_fold.hpp.

Referenced by complete(), finish(), fold(), and prepare().

---

The documentation for this struct was generated from the following file:

• metrics_fold.hpp