Modern Finance CumulativeReturnSeries

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CumulativeReturnSeries

Returns the compounded return after each observation, as a growth chart plots.

Syntax

CumulativeReturnSeries( periodReturns( ) )

Examples

#import "std/money"
using money

'' The compounded return after each observation -- what a growth-of-100
'' chart plots.
dim as float64 r( 0 to 11 ) = { 0.02, -0.01, 0.03, 0.015, -0.025, 0.04, _
                               0.01, -0.005, 0.02, 0.03, -0.015, 0.025 }
dim as float64 b( 0 to 11 ) = { 0.018, -0.012, 0.025, 0.012, -0.02, 0.035, _
                               0.008, -0.004, 0.018, 0.028, -0.012, 0.022 }

var cum = CumulativeReturnSeries( r( ) )
print cum.Value( ).Count( )              '' 12

'' The first entry is just the first return.
print cum.Value( ).At( 0 )               '' 0.02

'' And the LAST equals the time-weighted return, which ties the series
'' to the scalar rather than leaving them independently computed.
print cum.Value( ).At( 11 )              '' 0.1410864155548182

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Library: Finance
Category: Finance
Documented under: Nothing Becomes A Keyword
Source: pkg/std/money/finport.tiko in the tiko repository.