From b8f4e66770dca690e99df9ab25f8ee2b0c18a5c3 Mon Sep 17 00:00:00 2001 From: Phil Date: Fri, 29 Mar 2013 08:08:03 -0700 Subject: [PATCH] Updated financial calcs and unit tests to deal with NaN return --- .../Financial/AbsoluteReturnMeasures.cs | 103 ++++++++++++++++++ .../Financial/AbsoluteRiskStatistics.cs | 46 +------- src/Numerics/Numerics.csproj | 1 + .../CompoundMonthlyReturnTests.cs | 75 +++++++++++++ .../FinancialTests/DownsideDeviationTests.cs | 1 + .../FinancialTests/GainLossRatioTests.cs | 23 ++-- src/UnitTests/FinancialTests/GainMeanTests.cs | 9 +- .../GainStandardDeviationTests.cs | 1 + src/UnitTests/FinancialTests/LossMeanTests.cs | 15 +-- .../LossStandardDeviationTests.cs | 1 + .../FinancialTests/SemiDeviationTests.cs | 1 + src/UnitTests/UnitTests.csproj | 1 + 12 files changed, 213 insertions(+), 64 deletions(-) create mode 100644 src/Numerics/Financial/AbsoluteReturnMeasures.cs create mode 100644 src/UnitTests/FinancialTests/CompoundMonthlyReturnTests.cs diff --git a/src/Numerics/Financial/AbsoluteReturnMeasures.cs b/src/Numerics/Financial/AbsoluteReturnMeasures.cs new file mode 100644 index 00000000..369340a8 --- /dev/null +++ b/src/Numerics/Financial/AbsoluteReturnMeasures.cs @@ -0,0 +1,103 @@ +// +// Math.NET Numerics, part of the Math.NET Project +// http://numerics.mathdotnet.com +// http://github.com/mathnet/mathnet-numerics +// http://mathnetnumerics.codeplex.com +// +// Copyright (c) 2009-2010 Math.NET +// +// Permission is hereby granted, free of charge, to any person +// obtaining a copy of this software and associated documentation +// files (the "Software"), to deal in the Software without +// restriction, including without limitation the rights to use, +// copy, modify, merge, publish, distribute, sublicense, and/or sell +// copies of the Software, and to permit persons to whom the +// Software is furnished to do so, subject to the following +// conditions: +// +// The above copyright notice and this permission notice shall be +// included in all copies or substantial portions of the Software. +// +// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, +// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES +// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND +// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT +// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, +// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING +// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR +// OTHER DEALINGS IN THE SOFTWARE. +// + +namespace MathNet.Numerics.Financial +{ + using System; + using System.Collections.Generic; + using System.Linq; + using System.Text; + using MathNet.Numerics.Statistics; + + public static class AbsoluteReturnMeasures + { + /// + /// Compound Monthly Return or Geometric Return or Annualized Return + /// + /// + /// + public static double CompoundMonthlyReturn(this IEnumerable data) + { + if (data == null) + { + throw new ArgumentNullException("data"); + } + + var samples = data.Count(); + if (samples == 0) + return double.NaN; + + double compoundReturn = 1.0; + foreach (var item in data) + { + compoundReturn *= (1 + item); + } + return Math.Pow(compoundReturn, 1.0 / (double)samples) - 1.0; + } + + /// + /// Average Gain or Gain Mean + /// 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) + /// and then dividing the total by the number of gain periods. + /// + /// + /// + /// http://www.offshore-library.com/kb/statistics.php + public static double GainMean(this IEnumerable data) + { + if (data == null) + { + throw new ArgumentNullException("data"); + } + + var gains = data.Where(x => x >= 0); + return gains.Mean(); + } + + /// + /// Average Loss or LossMean + /// 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) + /// and then dividing the total by the number of loss periods. + /// + /// + /// + /// http://www.offshore-library.com/kb/statistics.php + public static double LossMean(this IEnumerable data) + { + if (data == null) + { + throw new ArgumentNullException("data"); + } + + var losses = data.Where(x => x < 0); + return losses.Mean(); + } + } +} \ No newline at end of file diff --git a/src/Numerics/Financial/AbsoluteRiskStatistics.cs b/src/Numerics/Financial/AbsoluteRiskStatistics.cs index 0d7e8aa6..f092493e 100644 --- a/src/Numerics/Financial/AbsoluteRiskStatistics.cs +++ b/src/Numerics/Financial/AbsoluteRiskStatistics.cs @@ -36,7 +36,7 @@ namespace MathNet.Numerics.Financial using System.Text; using MathNet.Numerics.Statistics; - public static class AbsoluteRiskStatistics + public static class AbsoluteRiskMeasures { //Note: The following statistics would be condidered an absolute risk statistic in the finance realm as well. // Standard Deviation @@ -135,44 +135,6 @@ namespace MathNet.Numerics.Financial return belowMeanData.StandardDeviation(); } - /// - /// Average Gain or Gain Mean - /// 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) - /// and then dividing the total by the number of gain periods. - /// - /// - /// - /// http://www.offshore-library.com/kb/statistics.php - public static double GainMean(this IEnumerable data) - { - if (data == null) - { - throw new ArgumentNullException("data"); - } - - var gains = data.Where(x => x >= 0); - return gains.Mean(); - } - - /// - /// Average Loss or LossMean - /// 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) - /// and then dividing the total by the number of loss periods. - /// - /// - /// - /// http://www.offshore-library.com/kb/statistics.php - public static double LossMean(this IEnumerable data) - { - if (data == null) - { - throw new ArgumentNullException("data"); - } - - var losses = data.Where(x => x < 0); - return losses.Mean(); - } - /// /// Measures a fund’s average gain in a gain period divided by the fund’s average loss in a losing /// period. Periods can be monthly or quarterly depending on the data frequency. @@ -190,9 +152,9 @@ namespace MathNet.Numerics.Financial var losses = data.Where(x => x < 0); var lossMean = losses.Mean(); - if(lossMean != 0.0) - return Math.Abs(gains.Mean() / losses.Mean()); - return 0.0; + + return Math.Abs(gains.Mean() / losses.Mean()); + } } } diff --git a/src/Numerics/Numerics.csproj b/src/Numerics/Numerics.csproj index 226e8d46..8da1e940 100644 --- a/src/Numerics/Numerics.csproj +++ b/src/Numerics/Numerics.csproj @@ -105,6 +105,7 @@ + diff --git a/src/UnitTests/FinancialTests/CompoundMonthlyReturnTests.cs b/src/UnitTests/FinancialTests/CompoundMonthlyReturnTests.cs new file mode 100644 index 00000000..1cbc23dc --- /dev/null +++ b/src/UnitTests/FinancialTests/CompoundMonthlyReturnTests.cs @@ -0,0 +1,75 @@ +// +// Math.NET Numerics, part of the Math.NET Project +// http://numerics.mathdotnet.com +// http://github.com/mathnet/mathnet-numerics +// http://mathnetnumerics.codeplex.com +// Copyright (c) 2009-2010 Math.NET +// Permission is hereby granted, free of charge, to any person +// obtaining a copy of this software and associated documentation +// files (the "Software"), to deal in the Software without +// restriction, including without limitation the rights to use, +// copy, modify, merge, publish, distribute, sublicense, and/or sell +// copies of the Software, and to permit persons to whom the +// Software is furnished to do so, subject to the following +// conditions: +// The above copyright notice and this permission notice shall be +// included in all copies or substantial portions of the Software. +// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, +// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES +// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND +// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT +// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, +// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING +// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR +// OTHER DEALINGS IN THE SOFTWARE. +// + +namespace MathNet.Numerics.UnitTests.FinancialTests +{ + using System; + using System.Collections.Generic; + using System.Linq; + using System.Text; + using MathNet.Numerics.Financial; + using NUnit.Framework; + + [TestFixture] + [Category("FinancialTests")] + public class CompoundMonthlyReturnTests + { + [Test] + [ExpectedException(typeof(ArgumentNullException))] //assert + public void throws_when_input_data_is_null() + { + //arrange + List inputData = null; + //act + inputData.CompoundMonthlyReturn(); + } + + [Test] + public void returns_undefined_with_empty_input_data() + { + //arrange + List inputData = new List(); + //act + var cmpdReturn = inputData.CompoundMonthlyReturn(); + //assert + Assert.AreEqual(double.NaN, cmpdReturn); + } + + [Test] + public void calculates_the_compound_monthly_return() + { + //arrange + var inputData = new[] { 0.2, 0.06, 0.01 }; + //act + var cmpdReturn = inputData.CompoundMonthlyReturn(); + //assert + AssertHelpers.AlmostEqual(0.0870999982199265, cmpdReturn, 15); + } + + //Definitly need more tests here. Would love to find test data for these stats similar to the .dat files used for other tests. + } + +} \ No newline at end of file diff --git a/src/UnitTests/FinancialTests/DownsideDeviationTests.cs b/src/UnitTests/FinancialTests/DownsideDeviationTests.cs index fa2e2165..d57075bf 100644 --- a/src/UnitTests/FinancialTests/DownsideDeviationTests.cs +++ b/src/UnitTests/FinancialTests/DownsideDeviationTests.cs @@ -34,6 +34,7 @@ namespace MathNet.Numerics.UnitTests.FinancialTests using NUnit.Framework; [TestFixture] + [Category("FinancialTests")] public class DownsideDeviationTests { [Test] diff --git a/src/UnitTests/FinancialTests/GainLossRatioTests.cs b/src/UnitTests/FinancialTests/GainLossRatioTests.cs index d3c3536b..571345df 100644 --- a/src/UnitTests/FinancialTests/GainLossRatioTests.cs +++ b/src/UnitTests/FinancialTests/GainLossRatioTests.cs @@ -34,6 +34,7 @@ namespace MathNet.Numerics.UnitTests.FinancialTests using NUnit.Framework; [TestFixture] + [Category("FinancialTests")] public class GainLossRatioTests { [Test] @@ -48,61 +49,61 @@ namespace MathNet.Numerics.UnitTests.FinancialTests [Test] //Not sure this is correct. Undefined may be more correct. - public void returns_zero_for_a_single_positive_input() + public void returns_NaN_for_a_single_positive_input() { //arrange var inputData = new[] { 1.0 }; //act var gainLossRatio = inputData.GainLossRatio(); //assert - Assert.AreEqual(0.0, gainLossRatio); + Assert.AreEqual(double.NaN, gainLossRatio); } [Test] //Not sure this is correct. Undefined may be more correct. - public void returns_zero_for_a_single_negative_input() + public void returns_NaN_for_a_single_negative_input() { //arrange var inputData = new[] { -1.0 }; //act var gainLossRatio = inputData.GainLossRatio(); //assert - Assert.AreEqual(0.0, gainLossRatio); + Assert.AreEqual(double.NaN, gainLossRatio); } [Test] //Not sure this is correct. Undefined may be more correct. - public void returns_zero_for_a_set_of_all_positive_numbers() + public void returns_NaN_for_a_set_of_all_positive_numbers() { //arrange var inputData = new[] { 1.0, 2.0, 3.0 }; //act var gainLossRatio = inputData.GainLossRatio(); //assert - Assert.AreEqual(0.0, gainLossRatio); + Assert.AreEqual(double.NaN, gainLossRatio); } [Test] //Not sure this is correct. Undefined may be more correct. - public void returns_zero_for_a_set_of_all_negative_numbers() + public void returns_NaN_for_a_set_of_all_negative_numbers() { //arrange var inputData = new[] { -1.0, -2.0, -3.0 }; //act var gainLossRatio = inputData.GainLossRatio(); //assert - Assert.AreEqual(0.0, gainLossRatio); + Assert.AreEqual(double.NaN, gainLossRatio); } [Test] public void handles_a_value_of_zero_as_a_positive() { //arrange - var inputData = new[] { 0.0, 1.0, 2.0 }; + var inputData = new[] { 0.0, -1.0 }; //act - var gainLossRatio = inputData.GainLossRatio(); + var gainLossRatio = inputData.GainLossRatio(); //assert - Assert.AreEqual(0.0, gainLossRatio); + Assert.AreEqual(0.0, gainLossRatio); //0.0 / -1.0 => 0.0 } [Test] diff --git a/src/UnitTests/FinancialTests/GainMeanTests.cs b/src/UnitTests/FinancialTests/GainMeanTests.cs index 154d92a1..c91d9460 100644 --- a/src/UnitTests/FinancialTests/GainMeanTests.cs +++ b/src/UnitTests/FinancialTests/GainMeanTests.cs @@ -33,6 +33,7 @@ namespace MathNet.Numerics.UnitTests.FinancialTests using NUnit.Framework; [TestFixture] + [Category("FinancialTests")] public class GainMeanTests { [Test] @@ -46,14 +47,14 @@ namespace MathNet.Numerics.UnitTests.FinancialTests Assert.AreEqual(0.0, gainMean); } [Test] - public void returns_zero_when_all_input_is_negative() + public void returns_NaN_when_all_input_is_negative() { //arrange var inputData = new[] { -1.0, -2.0, -3.0 }; //act var gainMean = inputData.GainMean(); //assert - Assert.AreEqual(0.0, gainMean); + Assert.AreEqual(double.NaN, gainMean); } [Test] @@ -91,14 +92,14 @@ namespace MathNet.Numerics.UnitTests.FinancialTests } [Test] - public void returns_zero_with_no_input_data() + public void returns_NaN_with_no_input_data() { //arrange var inputData = new List(); //act var gainMean = inputData.GainMean(); //assert - Assert.AreEqual(0.0, gainMean); + Assert.AreEqual(double.NaN, gainMean); } } diff --git a/src/UnitTests/FinancialTests/GainStandardDeviationTests.cs b/src/UnitTests/FinancialTests/GainStandardDeviationTests.cs index f7a163fe..d9dbc79b 100644 --- a/src/UnitTests/FinancialTests/GainStandardDeviationTests.cs +++ b/src/UnitTests/FinancialTests/GainStandardDeviationTests.cs @@ -34,6 +34,7 @@ namespace MathNet.Numerics.UnitTests.FinancialTests using NUnit.Framework; [TestFixture] + [Category("FinancialTests")] public class GainStandardDeviationTests { [Test] diff --git a/src/UnitTests/FinancialTests/LossMeanTests.cs b/src/UnitTests/FinancialTests/LossMeanTests.cs index 8b57a4e4..6646cc87 100644 --- a/src/UnitTests/FinancialTests/LossMeanTests.cs +++ b/src/UnitTests/FinancialTests/LossMeanTests.cs @@ -33,28 +33,29 @@ namespace MathNet.Numerics.UnitTests.FinancialTests using NUnit.Framework; [TestFixture] + [Category("FinancialTests")] public class LossMeanTests { [Test] - public void returns_zero_when_zero_is_the_only_input() + public void returns_NaN_when_zero_is_the_only_input() { //arrange var inputData = new[] { 0.0 }; //act var lossMean = inputData.LossMean(); //assert - Assert.AreEqual(0.0, lossMean); + Assert.AreEqual(double.NaN, lossMean); } [Test] - public void returns_zero_when_all_input_is_positive() + public void returns_NaN_when_all_input_is_positive() { //arrange - var inputData = new[] { 1.0 }; + var inputData = new[] { 0.0, 1.0 }; //act var lossMean = inputData.LossMean(); //assert - Assert.AreEqual(0.0, lossMean); + Assert.AreEqual(double.NaN, lossMean); } [Test] @@ -92,14 +93,14 @@ namespace MathNet.Numerics.UnitTests.FinancialTests } [Test] - public void returns_zero_with_no_input_data() + public void returns_NaN_with_no_input_data() { //arrange var inputData = new List(); //act var lossMean = inputData.LossMean(); //assert - Assert.AreEqual(0.0, lossMean); + Assert.AreEqual(double.NaN, lossMean); } } } diff --git a/src/UnitTests/FinancialTests/LossStandardDeviationTests.cs b/src/UnitTests/FinancialTests/LossStandardDeviationTests.cs index b3367ec5..27728703 100644 --- a/src/UnitTests/FinancialTests/LossStandardDeviationTests.cs +++ b/src/UnitTests/FinancialTests/LossStandardDeviationTests.cs @@ -34,6 +34,7 @@ namespace MathNet.Numerics.UnitTests.FinancialTests using NUnit.Framework; [TestFixture] + [Category("FinancialTests")] public class LossStandardDeviationTests { [Test] diff --git a/src/UnitTests/FinancialTests/SemiDeviationTests.cs b/src/UnitTests/FinancialTests/SemiDeviationTests.cs index 0394b10e..8f631f93 100644 --- a/src/UnitTests/FinancialTests/SemiDeviationTests.cs +++ b/src/UnitTests/FinancialTests/SemiDeviationTests.cs @@ -34,6 +34,7 @@ namespace MathNet.Numerics.UnitTests.FinancialTests using NUnit.Framework; [TestFixture] + [Category("FinancialTests")] public class SemiDeviationTests { [Test] diff --git a/src/UnitTests/UnitTests.csproj b/src/UnitTests/UnitTests.csproj index 51cb7a03..487e3c6f 100644 --- a/src/UnitTests/UnitTests.csproj +++ b/src/UnitTests/UnitTests.csproj @@ -122,6 +122,7 @@ +