returns.hpp

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#pragma once
 
#include "./numeric.hpp"
 
#include <cstddef>
 
namespace algotradelib {
namespace analytics {


inline math::Vector returns(math::SeriesView prices) {
  const auto rows = prices.size();
  math::Vector result = math::unobserved(static_cast<std::size_t>(rows));
  if (rows < 2) {
    return result;
  }
  // One vectorized division over the whole series, then the guards. An unobserved price on either
  // side makes the quotient NaN by itself, which is already the answer; a zero prior price would
  // make it an infinity and a negative one reverses its sign, so those rows are replaced explicitly.
  const auto current = prices.tail(rows - 1).array();
  const auto previous = prices.head(rows - 1).array();
  result.tail(rows - 1) =
    (previous <= Scalar{0}).select(missing(), current / previous - Scalar{1});
  return result;
}

inline math::Vector log_returns(math::SeriesView prices) {
  const auto rows = prices.size();
  math::Vector result = math::unobserved(static_cast<std::size_t>(rows));
  if (rows < 2) {
    return result;
  }
  const auto current = prices.tail(rows - 1).array();
  const auto previous = prices.head(rows - 1).array();
  // A non-positive price on either side is refused before the logarithm rather than left to
  // produce a bare NaN with nothing to say which row or which side caused it.
  const auto usable = (previous > Scalar{0}) && (current > Scalar{0});
  result.tail(rows - 1) = usable.select((current / previous).log(), missing());
  return result;
}

inline math::Vector cumulative_returns(math::SeriesView period_returns) {
  math::Vector result = math::unobserved(static_cast<std::size_t>(period_returns.size()));
  Scalar growth{1};
  bool started = false;
  for (math::Index row = 0; row < period_returns.size(); ++row) {
    const Scalar value = period_returns[row];
    if (observed(value)) {
      growth *= Scalar{1} + value;
      started = true;
    }
    if (started) {
      result[row] = growth - Scalar{1};
    }
  }
  return result;
}
 
} // namespace analytics
} // namespace algotradelib