tech.nmfin.returns

Enum ReturnsCalculators

java.lang.Object

java.lang.Enum<ReturnsCalculators>

tech.nmfin.returns.ReturnsCalculators

All Implemented Interfaces:

Serializable, Comparable<ReturnsCalculators>, ReturnsCalculator

public enum ReturnsCalculators
extends Enum<ReturnsCalculators>
implements ReturnsCalculator

Various ways of return calculations.

Units and direction

The arguments to computeReturn are the beginning value followed by the ending value, measured in the same units. SIMPLE returns a fraction: 0.05 means five percent. LOG returns the natural logarithm of the price ratio; ABSOLUTE returns a change in price units. These operations do not annualize or account for cash flows.

For conventional price returns, use strictly positive prices. The implementations do not validate the price domain: zero denominators or invalid logarithm arguments can produce infinities or NaN. Pass a return in the selected convention to computePrice.

Example

 import tech.nmfin.returns.ReturnsCalculators;

 double simple = ReturnsCalculators.SIMPLE.computeReturn(100.0, 105.0);
 double log = ReturnsCalculators.LOG.computeReturn(100.0, 105.0);
 assert Math.abs(simple - 0.05) < 1e-12;
 assert Math.abs(log - Math.log(1.05)) < 1e-12;
 assert Math.abs(ReturnsCalculators.SIMPLE.computePrice(100.0, simple) - 105.0) < 1e-12;
 assert Math.abs(ReturnsCalculators.LOG.computePrice(100.0, log) - 105.0) < 1e-12;
 

Enum Constant Summary

Enum Constants

Enum Constant and Description
ABSOLUTE The return is defined as the difference between the values of the portfolio. i.e., \[ r = v_2-v_1 \]
LOG The return is defined as the natural logarithm of the ratio v2/v1.
SIMPLE The return is defined as the absolute return over the original value.

Method Summary

Modifier and Type	Method and Description
abstract double	computePrice(double px0, double r) Computes the next price after a return.
abstract double	computeReturn(double v1, double v2) Computes the portfolio return.
static ReturnsCalculators	valueOf(String name) Returns the enum constant of this type with the specified name.
static ReturnsCalculators[]	values() Returns an array containing the constants of this enum type, in the order they are declared.

Methods inherited from class java.lang.Enum

clone, compareTo, equals, finalize, getDeclaringClass, hashCode, name, ordinal, toString, valueOf

Methods inherited from class java.lang.Object

getClass, notify, notifyAll, wait, wait, wait

Enum Constant Detail

ABSOLUTE

public static final ReturnsCalculators ABSOLUTE

The return is defined as the difference between the values of the portfolio. i.e., \[ r = v_2-v_1 \]

SIMPLE

public static final ReturnsCalculators SIMPLE

The return is defined as the absolute return over the original value. i.e., \[ r = \frac{v_2}{v_1}-1 \]

LOG

public static final ReturnsCalculators LOG

The return is defined as the natural logarithm of the ratio v2/v1. i.e., \[ r = \log\!\left(\frac{v_2}{v_1}\right) \]

Method Detail

values

public static ReturnsCalculators[] values()

Returns an array containing the constants of this enum type, in the order they are declared. This method may be used to iterate over the constants as follows:

for (ReturnsCalculators c : ReturnsCalculators.values())
    System.out.println(c);

Returns:

an array containing the constants of this enum type, in the order they are declared

valueOf

public static ReturnsCalculators valueOf(String name)

Returns the enum constant of this type with the specified name. The string must match exactly an identifier used to declare an enum constant in this type. (Extraneous whitespace characters are not permitted.)

Parameters:

name - the name of the enum constant to be returned.

Returns:

the enum constant with the specified name

Throws:

IllegalArgumentException - if this enum type has no constant with the specified name

NullPointerException - if the argument is null

computeReturn

public abstract double computeReturn(double v1,
                                     double v2)

Description copied from interface: ReturnsCalculator

Computes the portfolio return.

Specified by:

computeReturn in interface ReturnsCalculator

Parameters:

v1 - the beginning value of the portfolio

v2 - the ending value of the portfolio

Returns:

the return value

computePrice

public abstract double computePrice(double px0,
                                    double r)

Description copied from interface: ReturnsCalculator

Computes the next price after a return.

Specified by:

computePrice in interface ReturnsCalculator

Parameters:

px0 - the original price

r - the return

Returns:

the new price