/// <summary>
/// Gets the risk per annum of a performance time line.
/// </summary>
/// <param name="performanceValues">The performance values.</param>
/// <param name="valuesPerYear">The values per year.</param>
/// <returns></returns>
public static double?GetRiskPerAnnum(IEnumerable <double> performanceValues, double valuesPerYear)
{
if (performanceValues == null)
{
return(null);
}
if (performanceValues.Count() < Constants.MIN_PERFORMANCE_VALUES)
{
return(null);
}
if (valuesPerYear < 0)
{
return(null);
}
var standardDeviation = StatisticFunctions.GetStandardDeviation(performanceValues);
var squareRootOfValuesPerYear = Math.Sqrt(valuesPerYear);
return(standardDeviation * squareRootOfValuesPerYear);
}
/// <summary>
/// Gets the tracking error of a performance time line compared to another.
/// </summary>
/// <param name="performanceValues">The performance values.</param>
/// <param name="comparePerformanceValues">The compare performance values.</param>
/// <param name="valuesPerYear">The values per year.</param>
/// <returns></returns>
public static double?GetTrackingError(IEnumerable <double> performanceValues,
IEnumerable <double> comparePerformanceValues, double valuesPerYear)
{
if (performanceValues == null || comparePerformanceValues == null || valuesPerYear < 0 ||
!performanceValues.Any() || !comparePerformanceValues.Any())
{
return(null);
}
var diffValues = new List <double>();
var count = Math.Min(performanceValues.Count(), comparePerformanceValues.Count());
for (var i = 0; i < count; i++)
{
diffValues.Add(performanceValues.ElementAt(i) - comparePerformanceValues.ElementAt(i));
}
var diffStandardDeviation = StatisticFunctions.GetStandardDeviation(diffValues);
return(diffStandardDeviation * Math.Sqrt(valuesPerYear));
}
