Class GenericSequenceStatisticsExtensions

Namespace

NanoQL.Numerics

Assembly

NanoQL.dll

The members of GenericSequenceStatistics<TStats> that need more of its type parameter than its class does, lifted over the components: the empirical risk measures, where each component's statistics keeps its samples (IEmpiricalStatistics, with the members of RiskStatisticsExtensions), and the downside variance and deviation of IncrementalStatistics, its own. QuantLib's template compiles a lifted member only where its type parameter has it; C# 14 extension members with these constraints keep that.

public static class GenericSequenceStatisticsExtensions

Inheritance

object

GenericSequenceStatisticsExtensions

Inherited Members

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Methods

AverageShortfall<TStats>(GenericSequenceStatistics<TStats>, double)

Each component's average shortfall below a target.

public static ImmutableArray<double> AverageShortfall<TStats>(this GenericSequenceStatistics<TStats> statistics, double target) where TStats : IEmpiricalStatistics, new()

Parameters

statistics GenericSequenceStatistics<TStats>

target double

The target.

Returns

ImmutableArray<double>

The average shortfalls.

Type Parameters

TStats

DownsideDeviation(GenericSequenceStatistics<IncrementalStatistics>)

Each component's downside deviation, DownsideDeviation().

public static ImmutableArray<double> DownsideDeviation(this GenericSequenceStatistics<IncrementalStatistics> statistics)

Parameters

statistics GenericSequenceStatistics<IncrementalStatistics>

Returns

ImmutableArray<double>

The downside deviations.

DownsideDeviation<TStats>(GenericSequenceStatistics<TStats>)

Each component's downside deviation.

public static ImmutableArray<double> DownsideDeviation<TStats>(this GenericSequenceStatistics<TStats> statistics) where TStats : IEmpiricalStatistics, new()

Parameters

statistics GenericSequenceStatistics<TStats>

Returns

ImmutableArray<double>

The downside deviations.

Type Parameters

TStats

DownsideVariance(GenericSequenceStatistics<IncrementalStatistics>)

Each component's downside variance, DownsideVariance().

public static ImmutableArray<double> DownsideVariance(this GenericSequenceStatistics<IncrementalStatistics> statistics)

Parameters

statistics GenericSequenceStatistics<IncrementalStatistics>

Returns

ImmutableArray<double>

The downside variances.

DownsideVariance<TStats>(GenericSequenceStatistics<TStats>)

Each component's downside variance, the variance of its observations below 0.

public static ImmutableArray<double> DownsideVariance<TStats>(this GenericSequenceStatistics<TStats> statistics) where TStats : IEmpiricalStatistics, new()

Parameters

statistics GenericSequenceStatistics<TStats>

Returns

ImmutableArray<double>

The downside variances.

Type Parameters

TStats

ExpectedShortfall<TStats>(GenericSequenceStatistics<TStats>, double)

Each component's expected shortfall at a percentile.

public static ImmutableArray<double> ExpectedShortfall<TStats>(this GenericSequenceStatistics<TStats> statistics, double percentile) where TStats : IEmpiricalStatistics, new()

Parameters

statistics GenericSequenceStatistics<TStats>

percentile double

The percentile, in [0.9, 1).

Returns

ImmutableArray<double>

The expected shortfalls.

Type Parameters

TStats

Percentile<TStats>(GenericSequenceStatistics<TStats>, double)

Each component's empirical percentile.

public static ImmutableArray<double> Percentile<TStats>(this GenericSequenceStatistics<TStats> statistics, double y) where TStats : IEmpiricalStatistics, new()

Parameters

statistics GenericSequenceStatistics<TStats>

y double

The percentile, in (0, 1].

Returns

ImmutableArray<double>

The percentiles.

Type Parameters

TStats

PotentialUpside<TStats>(GenericSequenceStatistics<TStats>, double)

Each component's potential upside at a percentile.

public static ImmutableArray<double> PotentialUpside<TStats>(this GenericSequenceStatistics<TStats> statistics, double percentile) where TStats : IEmpiricalStatistics, new()

Parameters

statistics GenericSequenceStatistics<TStats>

percentile double

The percentile, in [0.9, 1).

Returns

ImmutableArray<double>

The potential upsides.

Type Parameters

TStats

Regret<TStats>(GenericSequenceStatistics<TStats>, double)

Each component's regret: the variance of its observations below a target.

public static ImmutableArray<double> Regret<TStats>(this GenericSequenceStatistics<TStats> statistics, double target) where TStats : IEmpiricalStatistics, new()

Parameters

statistics GenericSequenceStatistics<TStats>

target double

The target.

Returns

ImmutableArray<double>

The regrets.

Type Parameters

TStats

SemiDeviation<TStats>(GenericSequenceStatistics<TStats>)

Each component's semi-deviation.

public static ImmutableArray<double> SemiDeviation<TStats>(this GenericSequenceStatistics<TStats> statistics) where TStats : IEmpiricalStatistics, new()

Parameters

statistics GenericSequenceStatistics<TStats>

Returns

ImmutableArray<double>

The semi-deviations.

Type Parameters

TStats

SemiVariance<TStats>(GenericSequenceStatistics<TStats>)

Each component's semi-variance, the variance of its observations below its mean.

public static ImmutableArray<double> SemiVariance<TStats>(this GenericSequenceStatistics<TStats> statistics) where TStats : IEmpiricalStatistics, new()

Parameters

statistics GenericSequenceStatistics<TStats>

Returns

ImmutableArray<double>

The semi-variances.

Type Parameters

TStats

Shortfall<TStats>(GenericSequenceStatistics<TStats>, double)

Each component's probability of falling below a target.

public static ImmutableArray<double> Shortfall<TStats>(this GenericSequenceStatistics<TStats> statistics, double target) where TStats : IEmpiricalStatistics, new()

Parameters

statistics GenericSequenceStatistics<TStats>

target double

The target.

Returns

ImmutableArray<double>

The shortfalls.

Type Parameters

TStats

ValueAtRisk<TStats>(GenericSequenceStatistics<TStats>, double)

Each component's value-at-risk at a percentile.

public static ImmutableArray<double> ValueAtRisk<TStats>(this GenericSequenceStatistics<TStats> statistics, double percentile) where TStats : IEmpiricalStatistics, new()

Parameters

statistics GenericSequenceStatistics<TStats>

percentile double

The percentile, in [0.9, 1).

Returns

ImmutableArray<double>

The values-at-risk.

Type Parameters

TStats