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added documentation for Jensen's alpha

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Gourav Kumar 2022-06-04 21:32:51 +05:30
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commit da2993ebf0
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fincal/statistics.py
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@ -240,7 +240,61 @@ def jensens_alpha(
Rf = The risk free rate during the return time frame
B = Beta of the portfolio or investment
Rm = Realized return of the market index
Parameters
----------
asset_data : TimeSeries
The time series data of the asset
market_data : TimeSeries
The time series data of the relevant market index
risk_free_data:
Risk free rates as time series data.
This should be the time series of risk free returns,
and not the underlying asset value.
risk_free_rate:
Risk free rate to be used.
Either risk_free_data or risk_free_rate needs to be provided.
If both are provided, the time series data will be used.
from_date:
Start date from which returns should be calculated.
Defaults to the first date of the series.
to_date:
End date till which returns should be calculated.
Defaults to the last date of the series.
frequency:
The frequency at which returns should be calculated.
return_period_unit : 'years', 'months', 'days'
The type of time period to use for return calculation.
return_period_value : int
The value of the specified interval type over which returns needs to be calculated.
as_on_match : str, optional
The mode of matching the as_on_date. Refer closest.
prior_match : str, optional
The mode of matching the prior_date. Refer closest.
closest : str, optional
The mode of matching the closest date.
Valid values are 'exact', 'previous', 'next' and next.
The date format to use for this operation.
Should be passed as a datetime library compatible string.
Sets the date format only for this operation. To set it globally, use FincalOptions.date_format
Returns
-------
The value of Jensen's alpha as a float.
"""
interval_years = _interval_to_years(return_period_unit, return_period_value)
interval_days = int(interval_years * 365 + 1)