Risk and Performance Measures — functions

Functions

297. GIA_RPM_AverageChanges1

(HDates, HRates, TimeInterval, Overlap, DaysNumber, WeekLastDay, PriceChangeCalc, StartDate, EndDate, ExcludeFromDate, ExcludeToDate)

Returns the average of asset price changes over chosen time interval, during a specified period, given historical prices.

298. GIA_RPM_AverageChanges2

(HDates1, HRates1, HDates2, HRates2, TimeInterval, Overlap, DaysNumber, WeekLastDay, PriceChangeCalc, StartDate, EndDate, ExcludeFromDate, ExcludeToDate)

Returns the average of the differences beween price changes of two assets over chosen time interval, during a specified period, given historical prices.

299. GIA_RPM_AverageChangesABS1

(HDates, HRates, TimeInterval, Overlap, DaysNumber, WeekLastDay, PriceChangeCalc, StartDate, EndDate, ExcludeFromDate, ExcludeToDate)

Returns the average of the absolute values of asset price changes over chosen time interval, during a specified period, given historical prices.

300. GIA_RPM_AverageChangesABS2

(HDates1, HRates1, HDates2, HRates2, TimeInterval, Overlap, DaysNumber, WeekLastDay, PriceChangeCalc, StartDate, EndDate, ExcludeFromDate, ExcludeToDate)

Returns the average of the absolute values of the differences beween price changes of two assets over chosen time interval, during a specified period, given historical prices.

301. GIA_RPM_AverageValues1

(HDates, HRates, TimeInterval, StartDate, EndDate, ExcludeFromDate, ExcludeToDate)

Returns the average value during a specified period, given historical values.

302. GIA_RPM_AverageValues2

(HDates1, HRates1, HDates2, HRates2, StartDate, EndDate, ExcludeFromDate, ExcludeToDate)

Returns the average of the differences beween two values, during a specified period, given historical values.

303. GIA_RPM_Beta

(HDates1, HRates1, HDates2, HRates2, TimeInterval, Overlap, DaysNumber, WeekLastDay, PriceChangeCalc, StartDate, EndDate, ExcludeFromDate, ExcludeToDate)

Returns the beta during a specified period, given historical daily prices of the reference index and the stock.

304. GIA_RPM_Correlation

(HDates1, HRates1, HDates2, HRates2, TimeInterval, Overlap, DaysNumber, WeekLastDay, PriceChangeCalc, StartDate, EndDate, ExcludeFromDate, ExcludeToDate)

Returns the historical correlation over chosen time interval, during a specified period, given historical daily prices of two assets.

305. GIA_RPM_FrequencyChanges1

(HDates, HRates, TimeInterval, Overlap, DaysNumber, WeekLastDay, PriceChangeCalc, Condition, Value1, Value2, OT, StartDate, EndDate, ExcludeFromDate, ExcludeToDate)

Returns the frequency of asset price changes over chosen time interval, in terms of quantity or probability, for a defined criteria, during a specified period, given historical prices.

306. GIA_RPM_FrequencyChanges2

(HDates1, HRates1, HDates2, HRates2, TimeInterval, Overlap, DaysNumber, WeekLastDay, PriceChangeCalc, Condition, Value1, Value2, OT, StartDate, EndDate, ExcludeFromDate, ExcludeToDate)

Returns the frequency of the differences beween price changes of two assets over chosen time interval, in terms of quantity or probability, for a defined criteria, during a specified period, given historical prices.

307. GIA_RPM_FrequencyValues1

(HDates, HRates, Condition, Value1, Value2, OT, StartDate, EndDate, ExcludeFromDate, ExcludeToDate)

Returns the frequency of times in terms of quantity or probability, of the value, for a defined criteria, during a specified period, given historical values.

308. GIA_RPM_FrequencyValues2

(HDates1, HRates1, HDates2, HRates2, Condition, Value1, Value2, OT, StartDate, EndDate, ExcludeFromDate, ExcludeToDate)

Returns the frequency of times in terms of quantity or probability, of the difference beween two values, for a defined criteria, during a specified period, given historical values.

309. GIA_RPM_PercentileChanges1

(HDates, HRates, TimeInterval, Overlap, DaysNumber, WeekLastDay, PriceChangeCalc, Percentile, StartDate, EndDate, ExcludeFromDate, ExcludeToDate)

Returns the percentile of asset price changes over chosen time interval, during a specified period, given historical daily prices.

310. GIA_RPM_PercentileChanges2

(HDates1, HRates1, HDates2, HRates2, TimeInterval, Overlap, DaysNumber, WeekLastDay, PriceChangeCalc, TimeInterval, Percentile, StartDate, EndDate, ExcludeFromDate, ExcludeToDate)

Returns the percentile of the differences beween price changes of two assets over chosen time interval, during a specified period, given historical daily prices.

311. GIA_RPM_PercentileValues1

(HDates, HRates, StartDate, EndDate, Percentile, StartDate, EndDate, ExcludeFromDate, ExcludeToDate)

Returns the percentile of values, during a specified period, given historical values.

312. GIA_RPM_PercentileValues2

(HDates1, HRates1, HDates2, HRates2, Percentile, StartDate, EndDate, ExcludeFromDate, ExcludeToDate)

Returns the percentile of the differences beween two values during a specified period, given historical values.

313. GIA_RPM_SharpeRatioFromReturns

(HDatesP, HRatesP, HDatesRf, HRatesRf, PriceChangeCalc, StartDate, EndDate, ExcludeFromDate, ExcludeToDate)GreekType)

Returns the Sharpe ratio during a specified period, given historical returns of the portfolio/fund and the risk free rates.

314. GIA_RPM_SharpeRatioFromReturnsWithEWMAVolatility

(HDatesP, HRatesP, HDatesRf, HRatesRf, Lambda, PriceChangeCalc, StartDate, EndDate, ExcludeFromDate, ExcludeToDate)

Returns the Sharpe ratio using EWMA volatility, during a specified period, given historical returns of the portfolio/fund and therisk free rates.

315. GIA_RPM_SharpeRatioFromValues

(HDatesP, HRatesP, HDatesRf, HRatesRf, PriceChangeCalc, StartDate, EndDate, ExcludeFromDate, ExcludeToDate)

Returns the Sharpe ratio during a specified period, given historical values of the portfolio/fund and the risk free rates.

316. GIA_RPM_SharpeRatioFromValuesWithEWMAVolatility

(HDatesP, HRatesP, HDatesRf, HRatesRf, Lambda, PriceChangeCalc, StartDate, EndDate, ExcludeFromDate, ExcludeToDate)

Returns the Sharpe ratio using EWMA volatility, during a specified period, given historical values of the portfolio/fund and therisk free rates.

317. GIA_RPM_TrackingError

(HDatesI, HRatesI, HDatesF, HRatesF, PriceChangeCalc, ScalingFactor, StartDate, EndDate, ExcludeFromDate, ExcludeToDate)

Returns the tracking error during a specified period, given historical prices of the reference index and the values of the portfolio/fund.

318. GIA_RPM_Volatility1

(HDates, HRates, TimeInterval, Overlap, DaysNumber, WeekLastDay, PriceChangeCalc, ScalingFactor, StartDate, EndDate, ExludeFromDate, ExcludeToDate)

Returns the historical volatility of asset price changes over chosen time interval, during a specified period, given historical prices.

319. GIA_RPM_Volatility2

(HDates, HRates, TimeInterval, Overlap, DaysNumber, WeekLastDay, PriceChangeCalc, ScalingFactor, StartDate, EndDate, ExcludeFromDate, ExcludeToDate)

Returns the historical volatility of the differences beween price changes of two assets over chosen time interval, during a specified period, given historical prices.

320. GIA_RPM_VolatilityInterpolation

(VolDates, VolRates, TDate)

Interpolates the volatility for a specific date (or for a number of days), given volatility curve. The interpolation method is linear in variance.

321. GIA_RPM_VolatilityWithEWMA

(HDates, HRates, TimeInterval, Overlap, DaysNumber, WeekLastDay, Lambda, PriceChangeCalc, ScalingFactor, StartDate, EndDate, ExcludeFromDate, ExcludeToDate)

Returns the EWMA historical volatility during a specified period, given historical prices.