/**
* @param x An array of DoubleTimeSeries. If the array has only one element, then this is assumed
* to be the price series and the result is the simple return. The dividend series is assumed
* to be the second element. It does not have to be the same length as the price series (in
* which case, dates without dividends are treated like the dividend was zero), and the
* dividend data points do not have to correspond to any of the dates in the price series (in
* which case, the result is the simple net return).
* @throws IllegalArgumentException If the array is null
* @throws TimeSeriesException Throws an exception if: the array is null; it has no elements; the
* time series has less than two entries; if the calculation mode is strict and there are
* zeroes in the price series.
* @return A DoubleTimeSeries containing the return series. This will always be one element
* shorter than the original price series.
*/
@Override
public LocalDateDoubleTimeSeries evaluate(final LocalDateDoubleTimeSeries... x) {
ArgumentChecker.notEmpty(x, "x");
ArgumentChecker.notNull(x[0], "first time series");
final LocalDateDoubleTimeSeries ts = x[0];
if (ts.size() < 2) {
throw new TimeSeriesException("Need at least two data points to calculate return series");
}
LocalDateDoubleTimeSeries d = null;
if (x.length > 1) {
if (x[1] != null) {
d = x[1];
}
}
final int[] resultDates = new int[ts.size() - 1];
final double[] resultValues = new double[ts.size() - 1];
int resultIndex = 0;
final LocalDateDoubleEntryIterator it = ts.iterator();
it.nextTimeFast();
double previousValue = it.currentValue();
double dividend;
Double dividendTSData;
while (it.hasNext()) {
final int date = it.nextTimeFast();
final double value = it.currentValue();
if (isValueNonZero(previousValue) && isValueNonZero(value)) {
resultDates[resultIndex] = date;
if (d == null) {
dividend = 0;
} else {
dividendTSData = d.getValue(date);
dividend = dividendTSData == null ? 0 : dividendTSData;
}
resultValues[resultIndex++] = (value + dividend) / previousValue;
}
previousValue = value;
}
return getSeries(resultDates, resultValues, resultIndex);
}
public void basicOperation() {
NonVersionedRedisHistoricalTimeSeriesSource source =
new NonVersionedRedisHistoricalTimeSeriesSource(getJedisPool(), getRedisPrefix());
UniqueId id1 = UniqueId.of("Test", "1");
UniqueId id2 = UniqueId.of("Test", "2");
UniqueId id3 = UniqueId.of("Test", "3");
source.setTimeSeriesPoint(id1, LocalDate.parse("2013-06-04"), 14.0);
source.setTimeSeriesPoint(id1, LocalDate.parse("2013-06-05"), 15.0);
source.setTimeSeriesPoint(id1, LocalDate.parse("2013-06-06"), 16.0);
source.setTimeSeriesPoint(id1, LocalDate.parse("2013-06-07"), 17.0);
source.setTimeSeriesPoint(id1, LocalDate.parse("2013-06-08"), 18.0);
source.setTimeSeriesPoint(id2, LocalDate.parse("2013-06-04"), 24.0);
source.setTimeSeriesPoint(id2, LocalDate.parse("2013-06-05"), 25.0);
source.setTimeSeriesPoint(id2, LocalDate.parse("2013-06-06"), 26.0);
source.setTimeSeriesPoint(id2, LocalDate.parse("2013-06-07"), 27.0);
source.setTimeSeriesPoint(id2, LocalDate.parse("2013-06-08"), 28.0);
source.setTimeSeriesPoint(id3, LocalDate.parse("2013-06-04"), 34.0);
source.setTimeSeriesPoint(id3, LocalDate.parse("2013-06-05"), 35.0);
source.setTimeSeriesPoint(id3, LocalDate.parse("2013-06-06"), 36.0);
source.setTimeSeriesPoint(id3, LocalDate.parse("2013-06-07"), 37.0);
source.setTimeSeriesPoint(id3, LocalDate.parse("2013-06-08"), 38.0);
Pair<LocalDate, Double> pair = null;
HistoricalTimeSeries hts = null;
LocalDateDoubleTimeSeries ts = null;
pair = source.getLatestDataPoint(id3);
assertNotNull(pair);
assertEquals(LocalDate.parse("2013-06-08"), pair.getFirst());
assertEquals(38.0, pair.getSecond(), 0.000001);
assertNull(source.getHistoricalTimeSeries(UniqueId.of("Test", "5")));
hts = source.getHistoricalTimeSeries(id2);
assertNotNull(hts);
assertEquals(id2, hts.getUniqueId());
ts = hts.getTimeSeries();
assertNotNull(ts);
assertEquals(5, ts.size());
assertEquals(24.0, ts.getValue(LocalDate.parse("2013-06-04")), 0.00001);
assertEquals(25.0, ts.getValue(LocalDate.parse("2013-06-05")), 0.00001);
assertEquals(26.0, ts.getValue(LocalDate.parse("2013-06-06")), 0.00001);
assertEquals(27.0, ts.getValue(LocalDate.parse("2013-06-07")), 0.00001);
assertEquals(28.0, ts.getValue(LocalDate.parse("2013-06-08")), 0.00001);
hts =
source.getHistoricalTimeSeries(
ExternalIdBundle.of(ExternalId.of("Test", "1")),
LocalDate.now(),
"Data Source",
"Data Provider",
"Data Field");
assertNotNull(hts);
assertEquals(id1, hts.getUniqueId());
ts = hts.getTimeSeries();
assertNotNull(ts);
assertEquals(5, ts.size());
assertEquals(14.0, ts.getValue(LocalDate.parse("2013-06-04")), 0.00001);
assertEquals(15.0, ts.getValue(LocalDate.parse("2013-06-05")), 0.00001);
assertEquals(16.0, ts.getValue(LocalDate.parse("2013-06-06")), 0.00001);
assertEquals(17.0, ts.getValue(LocalDate.parse("2013-06-07")), 0.00001);
assertEquals(18.0, ts.getValue(LocalDate.parse("2013-06-08")), 0.00001);
}
