// <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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//
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// Copyright (c) 2009-2015 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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// OTHER DEALINGS IN THE SOFTWARE.
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// </copyright>
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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 IStation.Numerics.Statistics;
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namespace IStation.Numerics.Financial
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{
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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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public static double CompoundReturn(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(nameof(data));
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}
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int count = 0;
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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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count++;
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compoundReturn *= 1 + item;
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}
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return count == 0 ? double.NaN : Math.Pow(compoundReturn, 1.0/count) - 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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/// <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(nameof(data));
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}
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return data.Where(x => x >= 0).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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/// <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(nameof(data));
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}
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return data.Where(x => x < 0).Mean();
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}
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}
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}
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