Sharpe ratio is the relation between the risk-free rate discounted retuns and the volatility of an investment. More...

#include <stats.h>

Data Fields
double(*	update )(struct WU_SharpeRatio_ *self, WU_PerformanceUpdate perf)
void(*	delete )(struct WU_SharpeRatio_ *self)
double	value
WU_Mean	mean
WU_StDev	stdev
double	risk_free_rate
double	initial_value
double	prev_value
int64_t	count
int64_t	start_time
int64_t	end_time
WU_TimeUnit	time_unit

Detailed Description

Sharpe ratio is the relation between the risk-free rate discounted retuns and the volatility of an investment.

It is an annualizated average.

Definition at line 12 of file stats.h.

Field Documentation

◆ count

int64_t WU_SharpeRatio::count

Definition at line 21 of file stats.h.

◆ delete

void(* WU_SharpeRatio::delete) (struct WU_SharpeRatio_ *self)

Definition at line 14 of file stats.h.

◆ end_time

int64_t WU_SharpeRatio::end_time

Definition at line 23 of file stats.h.

◆ initial_value

double WU_SharpeRatio::initial_value

Definition at line 19 of file stats.h.

◆ mean

WU_Mean WU_SharpeRatio::mean

Definition at line 16 of file stats.h.

◆ prev_value

double WU_SharpeRatio::prev_value

Definition at line 20 of file stats.h.

◆ risk_free_rate

double WU_SharpeRatio::risk_free_rate

Definition at line 18 of file stats.h.

◆ start_time

int64_t WU_SharpeRatio::start_time

Definition at line 22 of file stats.h.

◆ stdev

WU_StDev WU_SharpeRatio::stdev

Definition at line 17 of file stats.h.

◆ time_unit

WU_TimeUnit WU_SharpeRatio::time_unit

Definition at line 24 of file stats.h.

◆ update

double(* WU_SharpeRatio::update) (struct WU_SharpeRatio_ *self, WU_PerformanceUpdate perf)

Definition at line 13 of file stats.h.

◆ value

double WU_SharpeRatio::value

Definition at line 15 of file stats.h.

The documentation for this struct was generated from the following file:

include/wu/stats.h

Data Fields