コード例 #1
0
        /// <summary>
        /// Computes the beta value of the target in relation with the reference
        /// using the target and reference returns
        /// </summary>
        private void ComputeBeta()
        {
            var varianceComputed   = _referenceReturns.Variance();
            var covarianceComputed = _targetReturns.Covariance(_referenceReturns);

            // Avoid division with NaN or by zero
            var variance   = !varianceComputed.IsNaNOrZero() ? varianceComputed : 1;
            var covariance = !covarianceComputed.IsNaNOrZero() ? covarianceComputed : 0;

            _beta = (decimal)(covariance / variance);
        }