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 LargeRiskfreeRate()
{
var res = PortfolioAnalytics.RealisedAlpha(asset, benchmark, 1.05);
}
public void NegativeRiskfreeRate()
{
var res = PortfolioAnalytics.RealisedAlpha(asset, benchmark, -0.04);
}
