Package com.quantfinlib.markets
@NullMarked
package com.quantfinlib.markets
Index construction and private-market performance analytics.
IndexConstruction covers cap, price
and equal weighting, divisor continuity through membership changes (a
member swap does not move the index level; a test pins this), and the
one-way turnover between weight vectors that drives tracking cost.
PrivateMarketAnalytics covers assets
with no daily prices: money-weighted IRR with a bracket check,
TVPI/DPI/RVPI multiples, the Kaplan-Schoar public-market equivalent
(Kaplan and Schoar, 2005), which compares manager-timed cash flows with
an index on equal terms, and Geltner (1993) desmoothing, which removes
the appraisal smoothing that understates private-market risk.
Research lane, deterministic.
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ClassesClassDescriptionIndex construction — the arithmetic behind "the market was up 1%".Private-market analytics — the toolkit for the asset class where the usual machinery fails on purpose: no daily prices, cash flows the manager (not the investor) times, and NAVs that are appraisals rather than trades.