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fintech-algorithms

Corporate Actions and Security Master Data

19 algorithms · 4 families · D02

Adjustment Factors

Backward Split Adjustment verified calculate(input)
Forward Split Adjustment contract calculate(data)
Cash-Dividend Total-Return Adjustment contract calculate(data)
CRSP Cumulative Price Adjustment contract calculate(input)
CRSP Cumulative Share/Volume Adjustment contract calculate(data)

Complex Distributions

Rights-Issue TERP Adjustment contract calculate(input)
Spin-Off Price Adjustment contract calculate(input)
Stock-Dividend Adjustment contract calculate(data)
Special-Dividend Adjustment contract calculate(rawData)
Return-of-Capital Adjustment contract calculate(payload)

Identity Continuity

Permanent Security Identifier Mapping contract resolveIdentifier(data)
Ticker-Change Chain Resolution contract resolveTickerChain(input)
Share-Class Relationship Mapping contract calculate(data)
Merger Predecessor/Successor Mapping contract resolveMerger(payload)
Delisting Return Reconstruction contract calculate(input)

Point-in-Time Universe

Historical Constituent Reconstruction contract calculate(data)
Survivorship-Bias Guard contract guardSurvivorship(input)
IPO Availability Timestamping contract calculate(data)
Filing-Revision Versioning contract calculate(data)