Module Position.Position_analytics

type analytics = {
  1. holding_period : Base.float;
  2. max_unrealized_pnl : Base.float;
  3. min_unrealized_pnl : Base.float;
  4. max_position_size : Base.float;
  5. turnover : Base.float;
}
val calculate_analytics : ?ts:Timestamp.t -> position -> price_history:Base__Float.t Base.List.t -> analytics
type risk_metrics = {
  1. position_volatility : Base.float;
  2. value_at_risk_95 : Base.float;
  3. expected_shortfall_95 : Base.float;
  4. leverage_ratio : Base.float;
}
val risk_metrics : position -> volatility:Base__Float.t -> risk_metrics