ubique/lib/quants/cagr.js

A mathematical and quantitative library for Javascript and Node.js

/**
 * Performance metrics
 */
 module.exports = function($u) {
/**
 * @method cagr
 * @summary Compound annual growth rate
 * @description Compound annual growth rate
 * 
 * @param  {number|array|matrix} x portfolio/assets returns 
 * @param  {number} p number of years (def: 1)
 * @param  {number} dim dimension 0: row, 1: column (def: 0)
 * @return {number|array}   
 *
 * @example
 * var x = [0.003,0.026,0.015,-0.009,0.014,0.024,0.015,0.066,-0.014,0.039];
 * var y = [-0.005,0.081,0.04,-0.037,-0.061,0.058,-0.049,-0.021,0.062,0.058];
 * var cat = ubique.cat;
 *
 * // CAGR for 10 months on 12 or 0.83 years
 * ubique.cagr(x,x.length/12);
 * // 0.229388
 *
 * ubique.cagr(cat(0,x,y),x.length/12);
 * // [ [ 0.229388 ], [ 0.151999 ] ]
 */
 $u.cagr = function(x,p,dim) {
  if (arguments.length === 0) {
    throw new Error('not enough input arguments');
  }
  p = p == null ? 1 : p;
  dim = dim == null ? 0 : dim;

  var _cagr = function(a,p) {
    return $u.power(1 + $u.ror(a,'ret'),(1 / p)) - 1;
  }
  if ($u.isnumber(x)) {
   return $u.power(a,(1 / p)) - 1;
  }
  return $u.vectorfun(dim,x,_cagr,p);
 }
}