public void ResultDailyData()
{
var riskfree = 0.05;
var res = PortfolioAnalytics.RealisedAlpha(asset, benchmark, riskfree);
var ralpha = CAPM.Alpha(timeSeries.Create(asset), timeSeries.Create(benchmark), riskfree).First();
Assert.AreEqual(ralpha, res, 0.001);
}
public void SimpleRegression()
{
var riskfree = 0.04;
var capm = PortfolioAnalytics.CAPModel(asset, benchmark, riskfree);
var ralpha = CAPM.Alpha(timeSeries.Create(asset), timeSeries.Create(benchmark), riskfree).First();
Assert.AreEqual(ralpha, capm.Alpha, 0.001);
var rbeta = CAPM.Beta(timeSeries.Create(asset), timeSeries.Create(benchmark), riskfree).First();
Assert.AreEqual(rbeta, capm.Beta, 0.001);
}
