/// <summary>
///
/// </summary>
/// <param name="portfolio"></param>
/// <param name="riskFreeRate">Risk-free rate of return specified as a fractional value, e.g. 0.05 for 5%</param>
/// <returns></returns>
public static double SharpeRatio(ITimeSeries <double> portfolio, double riskFreeRate = 0)
{
// Check parameters
if (riskFreeRate >= 1 || riskFreeRate < 0)
{
throw new ArgumentException("The risk-free rate should be a value between 0 and 1");
}
return(Math.Round((portfolio.AnnualisedMean() - riskFreeRate) / portfolio.AnnualisedStdDev(), DecimalDigits));
}
/// <summary>
/// Calculates the annualised return of the given time series
/// </summary>
/// <param name="timeseries">A time series of returns</param>
/// <returns>Annualised return</returns>
public static double AnnualisedReturn(ITimeSeries <double> timeseries)
{
return(Math.Round(timeseries.AnnualisedMean(), DecimalDigits));
}
/// <summary>
/// Calculates the portfolio active premium, i.e. the difference between the annualised mean of the portfolio and the benchmark return
/// </summary>
/// <param name="portfolio">Portfolio time series</param>
/// <param name="benchmark">Benchmark time series</param>
/// <returns>Annualised active premium</returns>
public static double ActivePremium(ITimeSeries <double> portfolio, ITimeSeries <double> benchmark)
{
return(Math.Round(portfolio.AnnualisedMean() - benchmark.AnnualisedMean(), DecimalDigits));
}