elemento-alpha-tools 1.2.32 → 1.2.33
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
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@@ -43,14 +43,16 @@ class VolatilityGoal extends Goal_1.Goal {
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return returns;
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}
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calculateCovariance(returns1, returns2) {
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const
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const n = Math.min(returns1.length, returns2.length);
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if (n < 2)
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return 0;
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const mean1 = returns1.slice(0, n).reduce((s, v) => s + v, 0) / n;
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const mean2 = returns2.slice(0, n).reduce((s, v) => s + v, 0) / n;
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let covariance = 0;
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for (let i = 0; i <
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for (let i = 0; i < n; i++) {
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covariance += (returns1[i] - mean1) * (returns2[i] - mean2);
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}
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return covariance /
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return covariance / (n - 1);
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}
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buildCovarianceMatrix() {
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var _a;
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@@ -70,8 +72,7 @@ class VolatilityGoal extends Goal_1.Goal {
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for (let i = 0; i < totalAssets; i++) {
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this.covarianceMatrix[i] = [];
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for (let j = 0; j < totalAssets; j++) {
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-
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this.covarianceMatrix[i][j] = cov * 365;
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this.covarianceMatrix[i][j] = this.calculateCovariance(returnsMatrix[i], returnsMatrix[j]) * 365;
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}
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}
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}
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@@ -1 +1 @@
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1
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-
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{"version":3,"file":"VolatilityGoal.js","sourceRoot":"","sources":["../../../../../src/optimization/search/portfolio/goals/VolatilityGoal.ts"],"names":[],"mappings":";;;;;;;;;;;;AAGA,qCAAkC;AAGlC,MAAa,cAAe,SAAQ,WAAsD;IAKxF,YAAY,KAAoB,EAAE,aAA8B,EAAE,UAA0B;;QAC1F,KAAK,CAAC,KAAK,CAAC,CAAC;QAJP,aAAQ,GAAa,EAAE,CAAC;QACxB,qBAAgB,GAAe,EAAE,CAAC;QAIxC,IAAI,CAAC,QAAQ,GAAG,CAAA,MAAA,MAAA,aAAa,aAAb,aAAa,uBAAb,aAAa,CAAE,QAAQ,0CAAE,WAAW,0CAAE,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,OAAO,CAAC,KAAI,EAAE,CAAC;QAChF,IAAI,CAAC,UAAU,GAAG,IAAI,CAAC,mBAAmB,CAAC,UAAU,CAAC,CAAC;QACvD,IAAI,IAAI,CAAC,QAAQ,CAAC,MAAM,GAAG,CAAC,IAAI,IAAI,CAAC,UAAU,CAAC,IAAI,GAAG,CAAC;YACtD,IAAI,CAAC,qBAAqB,EAAE,CAAC;IACjC,CAAC;IAEO,mBAAmB,CAAC,UAA0B;QACpD,MAAM,iBAAiB,GAAG,IAAI,GAAG,EAAyB,CAAC;QAC3D,IAAI,CAAC,UAAU;YAAE,OAAO,iBAAiB,CAAC;QAE1C,KAAK,MAAM,KAAK,IAAI,UAAU,EAAE,CAAC;YAC/B,MAAM,OAAO,GAAG,KAAK,CAAC,OAAO,CAAC,KAAK,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC,KAAK,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,KAAK,CAAC,OAAQ,CAAC;YACjF,IAAI,CAAC,iBAAiB,CAAC,GAAG,CAAC,OAAO,CAAC,EAAE,CAAC;gBACpC,iBAAiB,CAAC,GAAG,CAAC,OAAO,EAAE,EAAE,CAAC,CAAC;YACrC,CAAC;YACD,iBAAiB,CAAC,GAAG,CAAC,OAAO,CAAE,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC;QAC9C,CAAC;QAED,OAAO,iBAAiB,CAAC;IAC3B,CAAC;IAEO,qBAAqB,CAAC,MAAgB;QAC5C,MAAM,OAAO,GAAa,EAAE,CAAC;QAC7B,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,MAAM,CAAC,MAAM,EAAE,CAAC,EAAE,EAAE,CAAC;YACvC,OAAO,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC,CAAC,GAAG,MAAM,CAAC,CAAC,GAAG,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC;QAC9C,CAAC;QACD,OAAO,OAAO,CAAC;IACjB,CAAC;IAEO,mBAAmB,CAAC,QAAkB,EAAE,QAAkB;QAChE,MAAM,CAAC,GAAG,IAAI,CAAC,GAAG,CAAC,QAAQ,CAAC,MAAM,EAAE,QAAQ,CAAC,MAAM,CAAC,CAAC;QACrD,IAAI,CAAC,GAAG,CAAC;YAAE,OAAO,CAAC,CAAC;QAEpB,MAAM,KAAK,GAAG,QAAQ,CAAC,KAAK,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,EAAE,CAAC,CAAC,GAAG,CAAC,CAAC;QAClE,MAAM,KAAK,GAAG,QAAQ,CAAC,KAAK,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,EAAE,CAAC,CAAC,GAAG,CAAC,CAAC;QAElE,IAAI,UAAU,GAAG,CAAC,CAAC;QACnB,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC;YAC3B,UAAU,IAAI,CAAC,QAAQ,CAAC,CAAC,CAAC,GAAG,KAAK,CAAC,GAAG,CAAC,QAAQ,CAAC,CAAC,CAAC,GAAG,KAAK,CAAC,CAAC;QAC9D,CAAC;QAED,OAAO,UAAU,GAAG,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC;IAC9B,CAAC;IAEO,qBAAqB;;QAC3B,MAAM,WAAW,GAAG,IAAI,CAAC,QAAQ,CAAC,MAAM,CAAC;QACzC,MAAM,aAAa,GAAe,EAAE,CAAC;QAErC,KAAK,MAAM,OAAO,IAAI,IAAI,CAAC,QAAQ,EAAE,CAAC;YACpC,MAAM,IAAI,GAAG,IAAI,CAAC,UAAU,CAAC,GAAG,CAAC,OAAO,CAAC,CAAC;YAC1C,IAAI,CAAC,IAAI,EAAE,CAAC;gBACV,aAAa,CAAC,IAAI,CAAC,EAAE,CAAC,CAAC;gBACvB,SAAS;YACX,CAAC;YACD,MAAM,MAAM,GAAG,CAAC,GAAG,IAAI,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,IAAK,GAAG,CAAC,CAAC,IAAK,CAAC,CAAC;YAC3D,MAAM,MAAM,GAAG,MAAA,MAAM,CAAC,GAAG,CAAC,SAAS,CAAC,EAAE,CAAC,SAAS,CAAC,KAAM,CAAC,mCAAI,EAAE,CAAC;YAC/D,aAAa,CAAC,IAAI,CAAC,IAAI,CAAC,qBAAqB,CAAC,MAAM,CAAC,CAAC,CAAC;QACzD,CAAC;QAED,IAAI,CAAC,gBAAgB,GAAG,EAAE,CAAC;QAC3B,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,WAAW,EAAE,CAAC,EAAE,EAAE,CAAC;YACrC,IAAI,CAAC,gBAAgB,CAAC,CAAC,CAAC,GAAG,EAAE,CAAC;YAC9B,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,WAAW,EAAE,CAAC,EAAE,EAAE,CAAC;gBACrC,IAAI,CAAC,gBAAgB,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,IAAI,CAAC,mBAAmB,CAAC,aAAa,CAAC,CAAC,CAAC,EAAE,aAAa,CAAC,CAAC,CAAC,CAAC,GAAG,GAAG,CAAC;YACnG,CAAC;QACH,CAAC;IACH,CAAC;IAEM,OAAO,CAAC,UAAoD;QACjE,MAAM,OAAO,GAAG,UAAU,CAAC,QAAQ,CAAC;QACpC,IAAI,QAAQ,GAAG,CAAC,CAAC;QAEjB,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,OAAO,CAAC,MAAM,EAAE,CAAC,EAAE,EAAE,CAAC;YACxC,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,OAAO,CAAC,MAAM,EAAE,CAAC,EAAE,EAAE,CAAC;gBACxC,QAAQ,IAAI,OAAO,CAAC,CAAC,CAAC,GAAG,OAAO,CAAC,CAAC,CAAC,GAAG,IAAI,CAAC,gBAAgB,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;YACpE,CAAC;QACH,CAAC;QAED,OAAO,IAAI,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAC;IAC7B,CAAC;IAEY,IAAI;8DAAmB,CAAC;KAAA;CACtC;AAzFD,wCAyFC"}
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package/package.json
CHANGED
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@@ -1,6 +1,6 @@
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{
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"name": "elemento-alpha-tools",
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"version": "1.2.
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"version": "1.2.33",
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"description": "Librería para los servicios de elemento alpha",
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"main": "dist/index.js",
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"types": "dist/index.d.ts",
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@@ -34,18 +34,19 @@
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"@types/express": "^5.0.6",
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"@types/jest": "^30.0.0",
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"@types/morgan": "^1.9.9",
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"@types/node": "^25.3.
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"@types/node": "^25.3.3",
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"jest": "^30.2.0",
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"rimraf": "^6.1.3",
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"ts-jest": "^29.4.6",
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"typescript": "^5.9.3"
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},
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"dependencies": {
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"axios": "^1.13.
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"axios": "^1.13.6",
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"crypto-js": "^4.2.0",
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"dotenv": "^17.3.1",
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"itrm-tools": "^1.3.
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"morgan": "^1.10.0"
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"itrm-tools": "^1.3.38",
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"morgan": "^1.10.0",
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"v": "^0.3.0"
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},
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"optionalDependencies": {
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"axios-mock-adapter": "^2.0.0"
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