toraniko-math

Mathematical operations for the toraniko factor model.

Functions

Cross-Sectional Operations

• center_xsection - Cross-sectional centering and standardization
• norm_xsection - Normalize to a range
• percentiles_xsection - Percentile-based masking

Winsorization

• winsorize - Clip array to symmetric percentiles
• winsorize_xsection - Cross-sectional winsorization

Weights

• exp_weights - Exponentially decaying weights

Linear Algebra

• weighted_least_squares - WLS regression
• constrained_wls - Factor model with sector constraint

Usage

use toraniko_math::{center_xsection, winsorize, exp_weights};