Struct PerformanceCalculator 

pub struct PerformanceCalculator;

Stateless calculator for portfolio performance metrics.

Implementations

impl PerformanceCalculator

pub fn sharpe_ratio(returns: &[f64], risk_free_rate: f64) -> f64

Compute the annualised Sharpe ratio.

(mean_return - risk_free_rate) / std_return * sqrt(252)

Returns 0.0 if returns has fewer than 2 elements or std dev is zero.

pub fn sortino_ratio(returns: &[f64], risk_free_rate: f64, target: f64) -> f64

Compute the annualised Sortino ratio using downside deviation only.

Downside deviation is computed over returns below target.

Returns 0.0 if returns is empty or downside deviation is zero.

pub fn calmar_ratio(returns: &[f64]) -> f64

Compute the Calmar ratio: annualised return / |max_drawdown|.

Uses 252 periods per year. Returns 0.0 if returns is empty or max drawdown is zero.

pub fn omega_ratio(returns: &[f64], threshold: f64) -> f64

Compute the Omega ratio at the given threshold.

sum(max(r - threshold, 0)) / sum(max(threshold - r, 0))

Returns f64::INFINITY if the loss sum is zero and there are gains, or 0.0 if both sums are zero.

pub fn information_ratio(returns: &[f64], benchmark_returns: &[f64]) -> f64

Compute the Information Ratio: active return / tracking error.

Active return = mean(returns - benchmark_returns). Tracking error = std dev of (returns - benchmark_returns).

Returns 0.0 if lengths differ, fewer than 2 observations, or tracking error is zero.

pub fn max_drawdown(returns: &[f64]) -> f64

Compute the maximum peak-to-trough drawdown on the cumulative return series.

Cumulative returns are computed as product of (1 + r) factors. Returns a positive value representing the magnitude of the worst decline, or 0.0 if returns is empty.

pub fn cagr(returns: &[f64], periods_per_year: f64) -> f64

Compute the Compound Annual Growth Rate.

(product(1 + r))^(periods_per_year / n) - 1

Returns 0.0 if returns is empty.

pub fn compute_all( returns: &[f64], benchmark: Option<&[f64]>, risk_free_rate: f64, ) -> PerformanceMetrics

Compute all performance metrics in one pass.

If benchmark is None the information ratio is set to 0.0. risk_free_rate is a per-period (not annualised) rate, matching the frequency of returns.