/**
* @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);
}
