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VarianceDecomposition

fin_primitives::factor

Struct VarianceDecomposition 

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pub struct VarianceDecomposition {
    pub systematic_variance: f64,
    pub idiosyncratic_variance: f64,
    pub factor_contributions: Vec<(String, f64)>,
}
Expand description

Decomposes an asset’s total variance into systematic and idiosyncratic parts.

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§systematic_variance: f64

Variance explained by the factor model: β' Σ β.

§idiosyncratic_variance: f64

Residual variance not explained by factors.

§factor_contributions: Vec<(String, f64)>

Per-factor contributions including cross terms with all subsequent factors.

factor_contributions[i] = β_i² σ_i² + 2 Σ_{j>i} β_i β_j cov(i,j)

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impl Clone for VarianceDecomposition

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fn clone(&self) -> Self

Returns a duplicate of the value. Read more
1.0.0 (const: unstable) · Source§

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

Performs copy-assignment from source. Read more
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impl Debug for VarianceDecomposition

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

Formats the value using the given formatter. Read more

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impl<T> Any for T
where T: 'static + ?Sized,

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fn type_id(&self) -> TypeId

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impl<T> Borrow<T> for T
where T: ?Sized,

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fn borrow(&self) -> &T

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impl<T> BorrowMut<T> for T
where T: ?Sized,

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fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more
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impl<T> CloneToUninit for T
where T: Clone,

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unsafe fn clone_to_uninit(&self, dest: *mut u8)

🔬This is a nightly-only experimental API. (clone_to_uninit)
Performs copy-assignment from self to dest. Read more
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impl<T> From<T> for T

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fn from(t: T) -> T

Returns the argument unchanged.

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impl<T, U> Into<U> for T
where U: From<T>,

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fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

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impl<T> ToOwned for T
where T: Clone,

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type Owned = T

The resulting type after obtaining ownership.
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fn to_owned(&self) -> T

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fn clone_into(&self, target: &mut T)

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impl<T, U> TryFrom<U> for T
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type Error = !

The type returned in the event of a conversion error.
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fn try_from(value: U) -> Result<T, !>

Performs the conversion.
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impl<T, U> TryInto<U> for T
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type Error = <U as TryFrom<T>>::Error

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fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Performs the conversion.