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); }