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); }