Adjustment Factors

5 algorithms in Corporate Actions and Security Master Data · 5 with asserted arithmetic.

In this family#

1. Backward Split Adjustment verified

   Restates prices before a split onto the post-split basis so the series is continuous across the event. Without it a 2-for-1 split reads as a 50% crash, and every indicator and return computed over it is wrong.

   calculate(input)
2. Forward Split Adjustment verified

   Restates a series onto a chosen basis date rather than onto the latest one, so a figure quoted in a historical report can still be reproduced after subsequent splits.

   calculate(data)
3. Cash-Dividend Total-Return Adjustment verified

   Builds a total-return series by reinvesting cash dividends at the ex-date. Price charts ignore dividends, so every long-horizon number taken from one understates reality — by roughly 2% a year on a broad equity index.

   calculate(data)
4. CRSP Cumulative Price Adjustment verified

   The CRSP cumulative adjustment-factor convention, which is what academic finance means by an adjusted price. Reproducing published research requires this convention specifically, not a plausible equivalent.

   calculate(input)
5. CRSP Cumulative Share/Volume Adjustment verified

   The volume counterpart of the CRSP price adjustment. Volume moves the opposite way to price across a split, and adjusting one without the other silently corrupts every turnover and liquidity measure downstream.

   calculate(data)

What they share#

Every topic here is a record-transform, so once you have called one the rest follow the same shape. Import paths differ only in the final segment:

import { calculate } from "fintech-algorithms/corporate-actions-and-security-master-data/adjustment-factors/backward-split-adjustment";
import { calculate } from "fintech-algorithms/corporate-actions-and-security-master-data/adjustment-factors/forward-split-adjustment";

Read them in the order above — the sequence is pedagogical, not alphabetical.

Where this sits#

Corporate Actions and Security Master Data collects 20 algorithms across 4 families. For the concept behind this family rather than the call signatures, see the concept guides.