Struct MaximizeSharpeRatio 

pub struct MaximizeSharpeRatio {
    pub risk_free_rate: Decimal,
}

Objective function to maximize Sharpe Ratio.

Fields

risk_free_rate: Decimal

Risk-free rate.

Implementations

impl MaximizeSharpeRatio

pub fn new(risk_free_rate: Decimal) -> Self

Creates a new MaximizeSharpeRatio objective.

Trait Implementations

impl Clone for MaximizeSharpeRatio

fn clone(&self) -> MaximizeSharpeRatio

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Copy for MaximizeSharpeRatio

impl Debug for MaximizeSharpeRatio

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Default for MaximizeSharpeRatio

fn default() -> Self

Returns the “default value” for a type.

impl ObjectiveFunction for MaximizeSharpeRatio

fn evaluate(&self, result: &SimulationResult) -> Decimal

Evaluates the simulation result and returns a score.

fn name(&self) -> &'static str

Returns the name of the objective function.

fn compare(&self, a: &SimulationResult, b: &SimulationResult) -> Ordering

Compares two simulation results.