public void ZeroChangeData()
{
var ts = TimeSeriesFactory <double> .Create(Enumerable.Repeat(10.0, 100), 1, DataFrequency.Daily);
var sd = PortfolioAnalytics.AnnualisedStdDev(ts);
Assert.AreEqual(0, sd);
}
public void ResultDailyData()
{
// Data
int elements = 100;
TimeSeriesFactory <double> .SampleData.RandomSeed = seed;
// Monthly data test
var sdm = PortfolioAnalytics.AnnualisedStdDev(monthlySampleTS);
Assert.IsNotNull(sdm);
Assert.AreEqual(sigma * Math.Sqrt(12), sdm, sigma);
}
public void ResultMonthlyData()
{
// Data
int elements = 100;
TimeSeriesFactory <double> .SampleData.RandomSeed = 5;
// Monthly data test
var returns1 = Normal.Samples(new Random(5), 0.01, 0.02).Take(elements);
var sdm = PortfolioAnalytics.AnnualisedStdDev(monthlySampleTS);
Assert.IsNotNull(sdm);
Assert.AreEqual(Statistics.StandardDeviation(returns1) * Math.Sqrt(12), sdm, 0.001);
}
