Gluon

Finance Compute Engine

Install

$ npm i @terces/gluon

Usage

Ex-Post

Returns

import { computeReturns, TimeSeries } from '@terces/gluon';

...

const prices: TimeSeries = [{
  date: new Date("2020-01-01"),
  value: 14.65
},{
  date: new Date("2020-01-02"),
  value: 15.49
},{
  date: new Date("2020-01-03"),
  value: 16.65
}];

const returns = computeReturns(prices);

Performances

import { computePerformances, TimeSeries } from '@terces/gluon';

...

const returns: TimeSeries = [{
  date: new Date("2020-01-02"),
  value: 0.021392
},{
  date: new Date("2020-01-01"),
  value: 0.021492
},{
  date: new Date("2020-01-03"),
  value: 0.021292
}];

// if input series is not sorted, for one time compute only, you can set sorted to false
const performancesBase100 = computePerformances(returns, 100, false);

Author

Terceser - GitHub

License

MIT

TODO

• ExPost measures
• ExAnte
• Beta
• Rolling Correlation
• Use a lib like decimaljs to fix floating point precision