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implied_precision_asymmetric

Function implied_precision_asymmetric 

Source
pub fn implied_precision_asymmetric(
    target_sharpe: f64,
    annual_bet_frequency: f64,
    payout: AsymmetricPayout,
) -> Result<f64, StrategyRiskError>
Expand description

Smallest precision in [0, 1] at which an asymmetric-payout strategy reaches target_sharpe (AFML §15.3, Snippet 15.3), found as a root of the quadratic in p.

§Errors