/*! portfolio-analytics - v0.0.4 (2017-05-25), Roman Rubsamen <roman.rubsamen@gmail.com> */var PortfolioAnalytics=PortfolioAnalytics||{};PortfolioAnalytics=function(a){function b(a,b,c){for(var d=-(1/0),e=-(1/0),f=-1,g=-1,h=-1,i=b;i<c+1;++i){a[i]>d&&(d=a[i],f=i);var j=(d-a[i])/d;j>e&&(e=j,g=f,h=i)}return[e,g,h]}function c(a,b){var c=d(a,b),e=k(c),f=e[0],g=e[2],h=e[3],i=e[4],j=f/g,l=(1+.25*j*j*(i-1)-j*h)/(c.length-1),m=1+.25*(i-1)/c.length;return[j,l,m]}function d(b,c){for(var d=a.arithmeticReturns(b).slice(1),e=a.arithmeticReturns(c).slice(1),f=new d.constructor(d.length),g=0;g<d.length;++g)f[g]=d[g]-e[g];return f}function e(a,b){void 0===b&&(b=!1);var 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m=.5*g(-j/1.4142135623730951)-a,n=2.5066282746310002*m*Math.exp(j*j/2);j-=n/(1+j*n/2)}return j}function f(a){for(var b=a,c=0,d=a,e=a*a,f=1;b!=c;)b=(c=b)+(d*=e/(f+=2));return.5+b*Math.exp(-.5*e-.9189385332046728)}function g(a){return h(a,1)}function h(a,b){var 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l=g*g,m=b*b,n=f-g*g/b,o=e-2*g*f/b+2*l*g/(b*b),p=d-4*g*e/b+6*l*f/m-3*l*l/(m*b),q=NaN,r=NaN,s=NaN,t=NaN,u=n/b,q=u*b/(b-1),r=Math.sqrt(q),v=o/(b*Math.sqrt(u)*u),s=v*Math.sqrt(b*(b-1))/(b-2),w=p/(b*u*u),t=(b-1)/((b-2)*(b-3))*((b+1)*w-3*(b-1))+3;return[c,q,r,s,t]}return a.maxDrawdown=function(a){var c=b(a,0,a.length-1);return c[0]==-(1/0)?0:c[0]},a.drawdownFunction=function(a){for(var b=-(1/0),c=new a.constructor(a.length),d=0;d<a.length;++d)a[d]>b&&(b=a[d]),c[d]=(b-a[d])/b;return c},a.topDrawdowns=function(a,c){if(0==c)return[];var d=[],e=[];for(e.push([0,a.length-1,c]);0!=e.length;){var f=e.pop(),g=f[0],h=f[1],i=f[2],j=b(a,g,h),k=j[1],l=j[2],m=j[0];0!=m&&m!=-(1/0)&&d.push([m,k,l]),1==i||k==g&&l==h||(k==g&&l<h?e.push([l,h,i-1]):k>g&&l==h?e.push([g,k,i-1]):(e.push([g,k,i-1]),e.push([l,h,i-1])))}return d.sort(function(a,b){var c=a[0],d=b[0];if(c<d)return 1;if(c>d)return-1;var e=a[1],f=b[1];return e<f?-1:1}),d.slice(0,Math.min(c,d.length))},a.ulcerIndex=function(b){for(var c=a.drawdownFunction(b),d=0,e=0;e<c.length;++e)d+=c[e]*c[e];return Math.sqrt(d/c.length)},a.painIndex=function(b){var c=a.drawdownFunction(b);return j(c)},a.conditionalDrawdown=function(b,c){var d=a.drawdownFunction(b).slice(1);if(d.sort(function(a,b){return a-b}),1==c)return d[d.length-1];for(var e=1;c>e/d.length;)++e;for(var f=d[e-1],g=e/d.length,h=(g-c)*f,i=0,j=e;j<d.length;++j)i+=d[j];i/=d.length;var k=(h+i)/(1-c);return k},a.gainToPainRatio=function(b){var c=a.arithmeticReturns(b).slice(1);if(0==c.length)return NaN;var d=j(c),e=i(c,1,0);return 0==e?NaN:d/e},a.sharpeRatio=function(a,b){var d=c(a,b),e=d[0];return e},a.biasAdjustedSharpeRatio=function(a,b){var d=c(a,b),e=d[0],f=d[2];return e/f},a.doubleSharpeRatio=function(a,b){var d=c(a,b),e=d[0],f=Math.sqrt(d[1]);return e/f},a.sharpeRatioConfidenceInterval=function(a,b,d){var f=c(a,b),g=f[0],h=Math.sqrt(f[1]),i=e(1-d/2),j=g-i*h,k=g+i*h;return[j,k]},a.probabilisticSharpeRatio=function(a,b,d){var e=c(a,b),g=e[0],h=Math.sqrt(e[1]),i=(g-d)/h,j=f(i);return j},a.minimumTrackRecordLength=function(a,b,d,f){var g=c(a,b),h=g[0],i=g[1],j=e(1-d),k=1+i*(a.length-2)*(j/(h-f))*(j/(h-f));return k},a.cumulativeReturn=function(a){var b=NaN;return a.length>=2&&(b=(a[a.length-1]-a[0])/a[0]),b},a.cagr=function(a,b){function c(a){var b=new Date(a);return b.setMinutes(b.getMinutes()-b.getTimezoneOffset()),b}var d=a[0],e=b[0],f=a[a.length-1],g=b[b.length-1],h=864e5,i=(c(g)-c(e))/h,j=i/365.25,k=Math.pow(f/d,1/j)-1;return k},a.arithmeticReturns=function(a){var b=new a.constructor(a.length);b[0]=NaN;for(var c=1;c<a.length;++c)b[c]=(a[c]-a[c-1])/a[c-1];return b},a.valueAtRisk=function(b,c){var d=a.arithmeticReturns(b).slice(1);d.sort(function(a,b){return a-b});var e=1-c,f=Math.floor(e*d.length);if(0==f)return NaN;var g=-d[f-1];return g},a}(PortfolioAnalytics||{}),"undefined"!=typeof module&&(module.exports=PortfolioAnalytics);