wehub-resource-sync
45 lines
1.4 KiB
C#
45 lines
1.4 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*
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*/
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namespace QuantConnect.Optimizer
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{
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/// <summary>
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/// One linear piece of a piecewise interpolant on [<see cref="XLo"/>, <see cref="XHi"/>], evaluated as y(x) = A + B * (x - XLo).
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/// </summary>
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public class LinearSegment
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{
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/// <summary>
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/// Lower bound of this segment.
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/// </summary>
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public decimal XLo { get; set; }
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/// <summary>
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/// Upper bound of this segment.
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/// </summary>
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public decimal XHi { get; set; }
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/// <summary>
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/// Sharpe ratio at <see cref="XLo"/>.
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/// </summary>
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public decimal A { get; set; }
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/// <summary>
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/// Slope through the segment.
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/// </summary>
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public decimal B { get; set; }
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}
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}
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