| int __stdcall NDK_PORTFOLIO_RET | ( | double * | weights, |
| size_t | nAssets, | ||
| double * | returns, | ||
| double * | ret | ||
| ) |
Calculates the portfolio equivalent return.
- Returns
- status code of the operation
- Return values
-
NDK_SUCCESS Operation successful NDK_FAILED Operation unsuccessful. See Macros for full list.
- Remarks
-
- The number of assets in the portfolio equals to asset returns array size.
- The assets returns and the weights arrays must have identical size.
- The assets order in the returns array must match their order in the weights array.
- Requirements
-
Header SFSDK.H Library SFSDK.LIB DLL SFSDK.DLL
- References
- * Hamilton, J .D.; Time Series Analysis , Princeton University Press (1994), ISBN 0-691-04289-6
- * Tsay, Ruey S.; Analysis of Financial Time Series John Wiley & SONS. (2005), ISBN 0-471-690740
- * D. S.G. Pollock; Handbook of Time Series Analysis, Signal Processing, and Dynamics; Academic Press; Har/Cdr edition(Nov 17, 1999), ISBN: 125609906
- * Box, Jenkins and Reisel; Time Series Analysis: Forecasting and Control; John Wiley & SONS.; 4th edition(Jun 30, 2008), ISBN: 470272848
