empyrical_cpp

empyrical_cpp is a header-only project using C++20 re-implement the "empyrical" project, which was originally written in Python.

how to use it

git clone https://github.com/cloudQuant/empyrical_cpp.git
cd empyrical_cpp
cmake -B build
cmake --build build
# mac or linux 运行测试
# ./build/empyrical_test
# windows
# ./build/Debug/empyrical_test.exe

compile success

1. win11 64 + vs2022
2. win11 64 + vs2017
3. ubuntu 23.04 + gcc
4. macOs Sonoma 14.5

why re-implement the empyrical module

• practise my c++ coding skills
• used for quantitative finance, eg, financial data analysis, time processing, performance measurement, performance attribution, and so on.
• used for other modules, eg, pyfolio and alphalens, which I will re-implement in c++.
• as a module, it saves the computational methods I need for quantitative finance processes in the future

target

• run successfully in windows

• update the class of DateTime, add timezone support and improve computational speed。

• add new functions to perf_attrib.h

• re-implement the pyfolio using c++20 in another module

• re-implement the alphalens using c++20 in another module