Class OpenTimeSeries

constructor

• new OpenTimeSeries(
      params: {
          countries?: string | string[];
          currency?: string;
          dates: string[];
          instrumentId?: string;
          label?: string;
          localCcy?: boolean;
          markets?: string | string[] | null;
          name: string;
          timeseriesId?: string;
          values: number[];
          valuetype?: ValueType;
      },
  ): OpenTimeSeries

  Parameters

  • params: {
        countries?: string | string[];
        currency?: string;
        dates: string[];
        instrumentId?: string;
        label?: string;
        localCcy?: boolean;
        markets?: string | string[] | null;
        name: string;
        timeseriesId?: string;
        values: number[];
        valuetype?: ValueType;
    }

  Returns OpenTimeSeries

countries

currency

Readonlydates

ReadonlyinstrumentId

label

localCcy

markets

Readonlyname

ReadonlytimeseriesId

tsdf

Readonlyvalues

valuetype

firstIdx

• get firstIdx(): string

  Returns string

lastIdx

• get lastIdx(): string

  Returns string

length

• get length(): number

  Returns number

periodsInAYear

• get periodsInAYear(): number

  Returns number

spanOfDays

• get spanOfDays(): number

  Returns number

yearfrac

• get yearfrac(): number

  Returns number

arithmeticRet

• arithmeticRet(opts?: DateRangeOptions): number

  Parameters

  • opts: DateRangeOptions = {}

  Returns number

cvarDown

• cvarDown(level?: number, opts?: DateRangeOptions): number

  Parameters

  • level: number = 0.95
  • opts: DateRangeOptions = {}

  Returns number

downsideDeviation

• downsideDeviation(opts?: DateRangeOptions, mar?: number): number

  Parameters

  • opts: DateRangeOptions = {}
  • mar: number = 0

  Returns number

ewmaVarFunc

• ewmaVarFunc(
      lmbda?: number,
      dayChunk?: number,
      level?: number,
      opts?: DateRangeOptions,
  ): number[]

  Parameters

  • lmbda: number = 0.94
  • dayChunk: number = 11
  • level: number = 0.95
  • opts: DateRangeOptions = {}

  Returns number[]

ewmaVolFunc

• ewmaVolFunc(
      lmbda?: number,
      dayChunk?: number,
      opts?: DateRangeOptions,
  ): number[]

  Parameters

  • lmbda: number = 0.94
  • dayChunk: number = 11
  • opts: DateRangeOptions = {}

  Returns number[]

filterToBusinessDays

• filterToBusinessDays(): this

  Filters tsdf to retain only business days. Mutates in place.

  Returns this

fromDeepcopy

• fromDeepcopy(): OpenTimeSeries

  Returns OpenTimeSeries

geoRet

• geoRet(opts?: DateRangeOptions): number

  Parameters

  • opts: DateRangeOptions = {}

  Returns number

getTsdfDates

• getTsdfDates(): string[]

  Returns string[]

getTsdfValues

• getTsdfValues(): number[]

  Returns number[]

kurtosis

• kurtosis(opts?: DateRangeOptions): number

  Parameters

  • opts: DateRangeOptions = {}

  Returns number

maxDrawdown

• maxDrawdown(opts?: DateRangeOptions): number

  Parameters

  • opts: DateRangeOptions = {}

  Returns number

maxDrawdownBottomDate

• maxDrawdownBottomDate(opts?: DateRangeOptions): string | undefined

  Returns the date when the max drawdown bottom occurs (the date of the lowest point relative to the preceding peak). Returns undefined if no drawdown occurs.

  Parameters

  • opts: DateRangeOptions = {}

  Returns string | undefined

positiveShare

• positiveShare(opts?: DateRangeOptions): number

  Parameters

  • opts: DateRangeOptions = {}

  Returns number

resampleToPeriodEnd

• resampleToPeriodEnd(freq?: ResampleFreq): this

  Resamples to business period-end frequency (week, month, quarter, year). Mutates tsdf. Throws on return series (use price series).

  Parameters

  • freq: ResampleFreq = "ME"

  Returns this

retVolRatio

• retVolRatio(riskfreeRate?: number, opts?: DateRangeOptions): number

  Parameters

  • riskfreeRate: number = 0
  • opts: DateRangeOptions = {}

  Returns number

setNewLabel

• setNewLabel(lvlZero?: string, lvlOne?: ValueType): this

  Parameters

  • OptionallvlZero: string
  • OptionallvlOne: ValueType

  Returns this

skew

• skew(opts?: DateRangeOptions): number

  Parameters

  • opts: DateRangeOptions = {}

  Returns number

sortinoRatio

• sortinoRatio(
      riskfreeRate?: number,
      minAcceptedReturn?: number,
      opts?: DateRangeOptions,
  ): number

  Parameters

  • riskfreeRate: number = 0
  • minAcceptedReturn: number = 0
  • opts: DateRangeOptions = {}

  Returns number

toCumret

• toCumret(): this

  Returns this

toDrawdownSeries

• toDrawdownSeries(): this

  Returns this

valueRet

• valueRet(opts?: DateRangeOptions): number

  Parameters

  • opts: DateRangeOptions = {}

  Returns number

valueToRet

• valueToRet(): this

  Returns this

varDown

• varDown(level?: number, opts?: DateRangeOptions): number

  Parameters

  • level: number = 0.95
  • opts: DateRangeOptions = {}

  Returns number

vol

• vol(opts?: DateRangeOptions): number

  Parameters

  • opts: DateRangeOptions = {}

  Returns number

volFromVar

• volFromVar(level?: number, opts?: DateRangeOptions): number

  Parameters

  • level: number = 0.95
  • opts: DateRangeOptions = {}

  Returns number

worst

• worst(observations?: number, opts?: DateRangeOptions): number

  Parameters

  • observations: number = 1
  • opts: DateRangeOptions = {}

  Returns number

worstMonth

• worstMonth(opts?: DateRangeOptions): number

  Worst single calendar month return (business-month-end based). Uses filterToBusinessDays + resampleToPeriodEnd(ME) + min of monthly returns.

  Parameters

  • opts: DateRangeOptions = {}

  Returns number

zScore

• zScore(opts?: DateRangeOptions): number

  Parameters

  • opts: DateRangeOptions = {}

  Returns number

StaticfromArrays

• fromArrays(
      name: string,
      dates: string[],
      values: number[],
      options?: {
          baseccy?: string;
          countries?: string | string[];
          instrumentId?: string;
          localCcy?: boolean;
          timeseriesId?: string;
          valuetype?: ValueType;
      },
  ): OpenTimeSeries

  Creates an OpenTimeSeries from a name, dates array, and values array.

  Parameters

  • name: string
  • dates: string[]
  • values: number[]
  • Optionaloptions: {
        baseccy?: string;
        countries?: string | string[];
        instrumentId?: string;
        localCcy?: boolean;
        timeseriesId?: string;
        valuetype?: ValueType;
    }

  Returns OpenTimeSeries

StaticfromDateColumns

• fromDateColumns(
      dateColumns: {
          columns: { name: string; values: number[] }[];
          dates: string[];
      },
      options?: {
          columnIndex?: number;
          countries?: string | string[];
          valuetype?: ValueType;
      },
  ): OpenTimeSeries

  Creates an OpenTimeSeries from simulation dateColumns by column index.

  Parameters

  • dateColumns: { columns: { name: string; values: number[] }[]; dates: string[] }
  • Optionaloptions: { columnIndex?: number; countries?: string | string[]; valuetype?: ValueType }

  Returns OpenTimeSeries

StaticfromObject

• fromObject(
      data: Record<string, number> | { date: string; value: number }[],
  ): OpenTimeSeries

  Creates an OpenTimeSeries from a record or array of {date, value}.

  Parameters

  • data: Record<string, number> | { date: string; value: number }[]

  Returns OpenTimeSeries