Package com.quantfinlib.markets
package com.quantfinlib.markets
Market analytics across the public/private divide.
IndexConstruction is the arithmetic of
benchmarks — cap/price/equal weighting, divisor continuity through
membership changes (a member swap must not move the level — pinned),
and the one-way turnover between weight vectors that drives tracking
cost. PrivateMarketAnalytics is the
toolkit for the asset class with no daily prices: money-weighted IRR
(bracket-checked), TVPI/DPI/RVPI multiples, the Kaplan-Schoar
public-market equivalent (the only fair index comparison for
manager-timed cash flows), and Geltner desmoothing to undo the
appraisal smoothing that makes private risk look artificially low
next to public markets. Research lane, deterministic.-
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.