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…ariance Implements pairwise exponentially weighted moving covariance and cross-volatility between two return series, as requested in #81. - Finance.ewmCrossCov: EWMA covariance between two series using the same mean-corrected update rule as ewmCovMatrix. The two series are aligned on their shared keys; rows where either value is missing are dropped. Initialised with the full-sample covariance. - Finance.ewmCrossVol: signed square root of ewmCrossCov, giving cross-volatility in vol units. sign(vol) preserves the direction of co-movement; squaring recovers the covariance magnitude. Both functions accept the same com/span/halfLife/alpha decay parameters as all other EWM functions in Deedle.Math.Finance. Tests added: - ewmCrossCov(x, x) == ewmVar(x) (diagonal consistency) - ewmCrossCov(col0, col1) matches off-diagonal of ewmCovMatrix at last row - |ewmCrossVol|² == |ewmCrossCov| (magnitude) - sign(ewmCrossVol) == sign(ewmCrossCov) (sign preservation) Closes #81 Co-authored-by: Copilot <[email protected]>
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/repo-assist Given this arose from issue #81, if necessary also add C# extension methods for these and for any other missing operations |
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/repo-assist Given this arose from issue #81, if necessary also add C# extension methods for these and for any other missing operations |
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🤖 This is an automated pull request from Repo Assist, an AI assistant for this repository.
Closes #81
Summary
Adds two new functions to
Deedle.Math.Financefor computing pairwise exponentially weighted moving statistics between two return series:Finance.ewmCrossCov(x, y, ...)— EWMA covariance between two seriesFinance.ewmCrossVol(x, y, ...)— signed square root ofewmCrossCov, giving cross-volatility in vol unitsBoth accept the same
?com / ?span / ?halfLife / ?alphadecay parameters as all other EWM functions inDeedle.Math.Finance.Design
ewmCrossCovUses the same mean-corrected EWMA update rule as
ewmCovMatrix:This means
ewmCrossCov(x, x)is exactly equal toewmVar(x)(verified by test), andewmCrossCov(x, y)matches the off-diagonal element ofewmCovMatrixfor the two-column frame[x, y](also verified).Initialised with the full-sample covariance (consistent with how
ewmCovMatrixinitialises withStats.covMatrix). The two series are aligned on their shared keys; rows where either value is missing are dropped.ewmCrossVolDefined as
sign(cov) · √|cov|so that squaring recovers the magnitude of the covariance and the sign indicates the direction of co-movement (positive = co-move, negative = move in opposite directions).Test Status
All 41 tests pass (
dotnet test tests/Deedle.Math.Tests/Deedle.Math.Tests.fsproj -c Release), including 5 new tests:ewmCrossCov of series with itself equals ewmVarewmCrossCov between two columns matches off-diagonal of ewmCovMatrixewmCrossVol squared equals ewmCrossCov in magnitudeewmCrossVol preserves sign of ewmCrossCov