quantitivecalc/dist/PerformanceMetrics/calculateAnnualizedReturns.js

A TypeScript library providing advanced quantitative finance functions for risk analysis, performance metrics, and technical indicators. (Currently in development)

"use strict";
Object.defineProperty(exports, "__esModule", { value: true });
exports.calculateAnnualizedReturns = calculateAnnualizedReturns;
/**
 * Calculates annualized returns for each row in the provided data array.
 *
 * @param data - Array of objects containing return values.
 * @param returnsColumn - The key in each object representing the periodic return value.
 * @param resultColumn - The key where the calculated annualized return will be stored.
 * @param frequency - The frequency of the returns ('daily', 'weekly', or 'monthly'). Defaults to 'daily'.
 * @param method - The method used for annualization ('compound' or 'simple'). Defaults to 'compound'.
 *   - 'compound': Uses the formula (1 + return)^periods - 1.
 *   - 'simple': Uses the formula return * periods.
 * @returns A new array of objects with annualized returns added under the specified result column.
 */
function calculateAnnualizedReturns(data, returnsColumn, resultColumn, frequency = 'daily', method = 'compound') {
    if (!data || data.length === 0) {
        return [];
    }
    const result = data.map(row => ({ ...row }));
    // Periods per year based on frequency
    const periodsPerYear = {
        daily: 252, // Trading days
        weekly: 52,
        monthly: 12,
    };
    const periods = periodsPerYear[frequency];
    for (let i = 0; i < result.length; i++) {
        const returnValue = result[i][returnsColumn];
        if (typeof returnValue === 'number' && !isNaN(returnValue)) {
            let annualizedReturn;
            if (method === 'compound') {
                // Compound: (1 + return)^periods - 1
                annualizedReturn = Math.pow(1 + returnValue, periods) - 1;
            }
            else {
                // Simple: return * periods
                annualizedReturn = returnValue * periods;
            }
            result[i][resultColumn] = annualizedReturn;
        }
        else {
            result[i][resultColumn] = null;
        }
    }
    return result;
}