quantitivecalc/dist/PerformanceMetrics/calculatePeriodicCompoundReturns.d.ts

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

/**
 * Calculates compound returns grouped by time periods (yearly or monthly) from daily returns.
 *
 * Takes daily returns data and groups it by the specified time period, then calculates
 * compound returns for each period. The result includes the period identifier and
 * the compound return for that period.
 *
 * @param data - Array of objects representing the dataset. Each object should contain the returns column and date column.
 * @param returnsColumn - The key in each object representing the daily return value. Defaults to 'dailyReturn'.
 * @param dateColumn - The key in each object representing the date (timestamp in milliseconds or date string). Defaults to 'date'.
 * @param period - The time period to group by: 'yearly' or 'monthly'. Defaults to 'yearly'.
 * @param initialValue - The initial value to start compounding from. Defaults to 1.
 * @returns Array of objects with period identifier and compound return for each period.
 */
export declare function calculatePeriodicCompoundReturns(data: Array<Record<string, unknown>>, returnsColumn?: string, dateColumn?: string, period?: 'yearly' | 'monthly', initialValue?: number): Array<{
    period: string;
    compoundReturn: number;
    startDate: number;
    endDate: number;
}>;
/**
 * Alternative version that adds periodic compound returns back to the original dataset.
 * Each row gets the compound return for its corresponding period.
 *
 * @param data - Array of objects representing the dataset.
 * @param returnsColumn - The key in each object representing the daily return value.
 * @param dateColumn - The key in each object representing the date (timestamp in milliseconds or date string).
 * @param resultColumn - The key to store the calculated periodic compound return in each object.
 * @param period - The time period to group by: 'yearly' or 'monthly'.
 * @param initialValue - The initial value to start compounding from.
 * @returns A new array of objects with the periodic compound return added to each row.
 */
export declare function addPeriodicCompoundReturnsToData(data: Array<Record<string, unknown>>, returnsColumn: string | undefined, dateColumn: string | undefined, resultColumn: string, period?: 'yearly' | 'monthly', initialValue?: number): Array<Record<string, unknown>>;
//# sourceMappingURL=calculatePeriodicCompoundReturns.d.ts.map