Struct FactorModel 

pub struct FactorModel;

Multi-factor risk model supporting OLS regression and auxiliary analytics.

Implementations

impl FactorModel

pub fn ols(y: &[f64], x: &[Vec<f64>]) -> (Vec<f64>, f64)

Solve an OLS system using Gaussian elimination on the augmented matrix of the normal equations (X^T X) β = X^T y.

Returns (coefficients, r_squared). x rows are observations; columns are regressors (the intercept column must already be included by the caller).

pub fn t_statistics( coefficients: &[f64], x: &[Vec<f64>], y: &[f64], betas: &[f64], ) -> Vec<f64>

Compute t-statistics for each coefficient: β_i / SE_i where SE is derived from the OLS residual variance.

pub fn fit( &self, asset_returns: &[f64], factors: &[Factor], ) -> FactorModelResult

Fit the factor model: regress asset_returns onto the provided factors.

The design matrix includes an intercept column (index 0).

pub fn fama_french_3( asset_returns: &[f64], mkt_rf: &[f64], smb: &[f64], hml: &[f64], rf_rate: f64, ) -> FactorModelResult

Fama-French three-factor model: regress excess asset returns onto MKT-RF, SMB, HML.

rf_rate is the per-period risk-free rate subtracted from asset_returns.

pub fn information_ratio(alpha: f64, residuals: &[f64]) -> f64

Annualised information ratio: alpha / tracking_error * sqrt(252).

Returns 0.0 when tracking_error is (near) zero.

pub fn factor_contribution( exposures: &[FactorExposure], factor_returns: &[f64], ) -> Vec<f64>

Per-period factor contribution: beta_i * factor_return_i for each period.

pub fn systematic_return( exposures: &[FactorExposure], period_factor_returns: &[f64], ) -> f64

Total systematic return for a single period: sum of beta_i * factor_return_i.

pub fn idiosyncratic_return(asset_return: f64, systematic: f64) -> f64

Idiosyncratic (alpha) return for a single period.

Trait Implementations

impl Clone for FactorModel

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 FactorModel

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

Formats the value using the given formatter.

impl Default for FactorModel

fn default() -> Self

Returns the “default value” for a type.