qis.regimes.compute_convexity_premium

qis.regimes.compute_convexity_premium(sr_bear, sr, rho, af, tail_prob=0.16, nu=None)[source]

Convexity premium, the realised Bear contribution less its null p SR - kappa rho.

Parameters:

  • sr_bear (float) – realised contribution of the lowest benchmark bucket to the Sharpe ratio

  • sr (float) – annualised Sharpe ratio of the asset

  • rho (float) – correlation of the asset with the benchmark

  • af (float) – annualisation factor of the periodic returns

  • tail_prob (float) – probability of each tail bucket

  • nu (float | None) – degrees of freedom of a joint Student-t null; None is the Gaussian null

Returns:

the premium in annualised Sharpe units

Return type:

float