Struct FactorPortfolio 

pub struct FactorPortfolio {
    pub exposures: Vec<(String, f64)>,
}

Portfolio-level factor exposure: weighted sum of individual asset exposures.

Fields

exposures: Vec<(String, f64)>

Asset identifiers matching the order of exposures.

Implementations

impl FactorPortfolio

pub fn new(exposures: Vec<(String, f64)>) -> Self

Creates a new FactorPortfolio from a list of (asset, weight) pairs.

pub fn aggregate( &self, asset_exposures: &[FactorExposure], ) -> Option<FactorExposure>

Aggregates per-asset FactorExposures into a portfolio-level exposure.

The result’s betas are the weighted sum of individual asset betas. The result’s alpha is the weighted sum of individual asset alphas. r_squared and residual_variance are weight-averaged.

Trait Implementations

impl Clone for FactorPortfolio

fn clone(&self) -> Self

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for FactorPortfolio

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

Formats the value using the given formatter.