Phil
13 years ago
12 changed files with 213 additions and 64 deletions
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// <copyright file="AbsoluteReturnMeasures.cs" company="Math.NET">
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// Math.NET Numerics, part of the Math.NET Project
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// http://numerics.mathdotnet.com
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// http://github.com/mathnet/mathnet-numerics
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// http://mathnetnumerics.codeplex.com
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//
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// Copyright (c) 2009-2010 Math.NET
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//
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// Permission is hereby granted, free of charge, to any person
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// obtaining a copy of this software and associated documentation
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// files (the "Software"), to deal in the Software without
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// restriction, including without limitation the rights to use,
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// copy, modify, merge, publish, distribute, sublicense, and/or sell
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// copies of the Software, and to permit persons to whom the
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// Software is furnished to do so, subject to the following
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// conditions:
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//
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// The above copyright notice and this permission notice shall be
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// included in all copies or substantial portions of the Software.
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//
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// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
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// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
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// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
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// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
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// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
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// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
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// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
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// OTHER DEALINGS IN THE SOFTWARE.
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// </copyright>
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namespace MathNet.Numerics.Financial |
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{ |
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using System; |
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using System.Collections.Generic; |
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using System.Linq; |
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using System.Text; |
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using MathNet.Numerics.Statistics; |
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public static class AbsoluteReturnMeasures |
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{ |
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/// <summary>
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/// Compound Monthly Return or Geometric Return or Annualized Return
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/// </summary>
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/// <param name="data"></param>
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/// <returns></returns>
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public static double CompoundMonthlyReturn(this IEnumerable<double> data) |
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{ |
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if (data == null) |
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{ |
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throw new ArgumentNullException("data"); |
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} |
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var samples = data.Count(); |
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if (samples == 0) |
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return double.NaN; |
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double compoundReturn = 1.0; |
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foreach (var item in data) |
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{ |
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compoundReturn *= (1 + item); |
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} |
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return Math.Pow(compoundReturn, 1.0 / (double)samples) - 1.0; |
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} |
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/// <summary>
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/// Average Gain or Gain Mean
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/// This is a simple average (arithmetic mean) of the periods with a gain. It is calculated by summing the returns for gain periods (return 0)
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/// and then dividing the total by the number of gain periods.
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/// </summary>
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/// <param name="data"></param>
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/// <returns></returns>
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/// <remarks>http://www.offshore-library.com/kb/statistics.php</remarks>
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public static double GainMean(this IEnumerable<double> data) |
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{ |
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if (data == null) |
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{ |
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throw new ArgumentNullException("data"); |
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} |
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var gains = data.Where(x => x >= 0); |
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return gains.Mean(); |
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} |
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/// <summary>
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/// Average Loss or LossMean
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/// This is a simple average (arithmetic mean) of the periods with a loss. It is calculated by summing the returns for loss periods (return < 0)
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/// and then dividing the total by the number of loss periods.
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/// </summary>
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/// <param name="data"></param>
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/// <returns></returns>
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/// <remarks>http://www.offshore-library.com/kb/statistics.php</remarks>
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public static double LossMean(this IEnumerable<double> data) |
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{ |
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if (data == null) |
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{ |
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throw new ArgumentNullException("data"); |
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} |
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var losses = data.Where(x => x < 0); |
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return losses.Mean(); |
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} |
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} |
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} |
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@ -0,0 +1,75 @@ |
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// <copyright file="CompoundMonthlyReturnTests.cs" company="Math.NET">
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// Math.NET Numerics, part of the Math.NET Project
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// http://numerics.mathdotnet.com
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// http://github.com/mathnet/mathnet-numerics
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// http://mathnetnumerics.codeplex.com
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// Copyright (c) 2009-2010 Math.NET
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// Permission is hereby granted, free of charge, to any person
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// obtaining a copy of this software and associated documentation
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// files (the "Software"), to deal in the Software without
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// restriction, including without limitation the rights to use,
|
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// copy, modify, merge, publish, distribute, sublicense, and/or sell
|
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// copies of the Software, and to permit persons to whom the
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// Software is furnished to do so, subject to the following
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// conditions:
|
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// The above copyright notice and this permission notice shall be
|
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// included in all copies or substantial portions of the Software.
|
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// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
|
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// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
|
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// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
|
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// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
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// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
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// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
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// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
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// OTHER DEALINGS IN THE SOFTWARE.
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// </copyright>
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namespace MathNet.Numerics.UnitTests.FinancialTests |
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{ |
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using System; |
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using System.Collections.Generic; |
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using System.Linq; |
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using System.Text; |
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using MathNet.Numerics.Financial; |
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using NUnit.Framework; |
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[TestFixture] |
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[Category("FinancialTests")] |
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public class CompoundMonthlyReturnTests |
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{ |
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[Test] |
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[ExpectedException(typeof(ArgumentNullException))] //assert
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public void throws_when_input_data_is_null() |
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{ |
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//arrange
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List<double> inputData = null; |
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//act
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inputData.CompoundMonthlyReturn(); |
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} |
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[Test] |
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public void returns_undefined_with_empty_input_data() |
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{ |
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//arrange
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List<double> inputData = new List<double>(); |
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//act
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var cmpdReturn = inputData.CompoundMonthlyReturn(); |
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//assert
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Assert.AreEqual(double.NaN, cmpdReturn); |
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} |
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[Test] |
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public void calculates_the_compound_monthly_return() |
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{ |
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//arrange
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var inputData = new[] { 0.2, 0.06, 0.01 }; |
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//act
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var cmpdReturn = inputData.CompoundMonthlyReturn(); |
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//assert
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AssertHelpers.AlmostEqual(0.0870999982199265, cmpdReturn, 15); |
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} |
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//Definitly need more tests here. Would love to find test data for these stats similar to the .dat files used for other tests.
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} |
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} |
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