quantitivecalc

(Currently in development) A TypeScript library providing advanced quantitative finance functions for risk analysis, performance metrics, technical indicators, and portfolio analysis.

Features

• Risk & Volatility Analysis
• Technical Indicators
• Performance Metrics
• Portfolio Analysis
• Data Processing Utilities

Available Functions

Performance Metrics

• calculateAlpha - Computes excess returns relative to a benchmark.
• calculateAnnualizedReturns - Calculates annualized return.
• calculateCalmarRatio - Measures risk-adjusted returns.
• calculateCompoundReturns - Calculates compound returns.
• calculateDailyReturns - Computes daily returns.
• calculateInformationRatio - Assesses risk-adjusted performance.
• calculateSortinoRatio - Measures risk-adjusted returns considering downside risk.
• calculatePeriodicCompoundReturns - Calculates compound returns over specified periods.
• addPeriodicCompoundReturnsToData - Adds periodic compound returns to each row in the dataset.

List & Data Utilities

• filterByRange - Filter list items based on a specified range.
• findExtremesInColumn - Find min/max values in a column.
• getFirstRow - Get the first row/item from a list.
• getLastRow - Get the last row/item from a list.
• setFirstItemToValue - Set a property on the first item in a list.
• sortByColumn - Sort a list by a column.

Example: Sorting by column

import { qCalc } from 'quantitivecalc';

const data = [
  { name: 'Alice', score: 42 },
  { name: 'Bob', score: 75 },
  { name: 'Charlie', score: 60 }
];

const sorted = qCalc.listUtils.sortByColumn(data, 'score', true); // ascending order
console.log(sorted);
// Output: [ { name: 'Alice', score: 42 }, { name: 'Charlie', score: 60 }, { name: 'Bob', score: 75 } ]

• analyzeColumnWithRange - Analyze a column and return statistics within a specified range.

Dict Of Lists Utilities

• applyFunction - Apply a function to each value in a dictionary.
• applyFunctionToFlattened - Apply a function to each item in flattened lists within a dictionary.
• findExtremesInColumnPerKey - Find min/max values in a column for each key in a dictionary.
• findExtremesInColumn - Find min/max values in a column across all keys.

Portfolio Analysis

• calculateCorrelationMatrix - Computes correlation matrix for assets.
• calculatePortfolioReturns - Calculates portfolio returns.
• calculateRebalancing - Determines optimal rebalancing strategies.
• calculateRiskContribution - Analyzes risk contribution of each asset.
• Types: AssetReturn, CorrelationMatrix, PortfolioWeight, RebalancingResult, RiskContribution

Risk & Volatility Analysis

• calculateBeta - Computes Beta coefficient.
• calculateMaxDrawdown - Calculates maximum observed loss.
• calculateSharpeRatio - Determines Sharpe Ratio.
• calculateVaR - Estimates Value at Risk.
• calculateVolatility - Measures statistical volatility.
• getZScore - Calculates Z-Score.

Technical Indicators

• calculateBollingerBands - Calculates Bollinger Bands.
• calculateMACD - Calculates MACD indicator.
• calculateMovingAverage - Calculates moving average.
• calculateRSI - Calculates Relative Strength Index.
• calculateStochasticOscillator - Calculates Stochastic Oscillator.

Installation

npm install quantitivecalc

License

ISC

Author

bitlogicforge