public void ResultDailyData()
{
var riskfree = 0.05;
var res = PortfolioAnalytics.RealisedBeta(asset, benchmark, riskfree);
var rbeta = CAPM.Beta(timeSeries.Create(asset), timeSeries.Create(benchmark), riskfree).First();
Assert.AreEqual(rbeta, res, 0.001);
}
public void LargeRiskfreeRate()
{
// Should throw exception for a risk-free rate larger than 1
var res = PortfolioAnalytics.RealisedBeta(asset, benchmark, 1.05);
}
public void NegativeRiskfreeRate()
{
// Should throw exception for a risk-free rate smaller than 0
var res = PortfolioAnalytics.RealisedBeta(asset, benchmark, -0.04);
}
