regit_covariance/lib.rs
1// Copyright 2026 Regit.io — Nicolas Koenig
2// SPDX-License-Identifier: Apache-2.0
3
4//! # regit-covariance
5//!
6//! Covariance matrix denoising for financial risk validation.
7//!
8//! This crate implements Marchenko-Pastur filtering, Ledoit-Wolf shrinkage,
9//! and detoning for large-dimensional covariance matrices. Built to validate
10//! PRIIPs risk metrics against prescribed regulatory methodology.
11//!
12//! Pure mathematical core: no I/O, no async, no network. Compatible with
13//! `wasm32-unknown-unknown` and `wasm32-wasi` targets. The full pipeline
14//! (returns -> correlation -> denoise -> `VaR` -> SRI) runs synchronously
15//! and deterministically.
16//!
17//! For market-data ingestion (Yahoo Finance) see the companion crate
18//! `regit-covariance-yahoo`. For an HTTP demo server see
19//! `regit-covariance-server`.
20//!
21//! Part of [Regit OS](https://www.regit.io), the operating system for
22//! investment products.
23//!
24//! ## Modules
25//!
26//! - [`data`] — Log-return computation from price levels.
27//! - [`math`] — Covariance estimation, denoising, shrinkage, risk metrics.
28
29#![forbid(unsafe_code)]
30
31pub mod data;
32pub mod math;