# CRSP Cumulative Price Adjustment

> Respect the Vendor Basis, Sign, and Gaps

`D02-F01-A04` · Corporate Actions and Security Master Data → Adjustment Factors · archetype `record-transform` · difficulty 3/5 · verification **verified**

Full page: https://docs.thefintechbuilder.com/corporate-actions-and-security-master-data/adjustment-factors/crsp-cumulative-price-adjustment/
Agent skill: `npx skills add IslamBaraka90/Fintech-Algorithms-Library` — https://docs.thefintechbuilder.com/guides/agent-skill/

## Install and import

```bash
npm install fintech-algorithms
```

```ts
import { calculate } from "fintech-algorithms/corporate-actions-and-security-master-data/adjustment-factors/crsp-cumulative-price-adjustment";
```

## Signature

```ts
calculate(input)
```

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.

## Parameters

| Name | Type | Required | Notes |
| --- | --- | --- | --- |
| `input` | `{ crspConvention: string; crspSourceVersion: string; packageSecurityKey: string; crspBaseDate: string; crspGapPolicy: string; roundingDecimals: number; crspFactorEvents: FactorEvent[]; records: Record[] }` | yes | `crspConvention` and `crspSourceVersion` pin which vintage of the convention is being applied — CRSP has revised it, and results differ. `crspGapPolicy` decides what happens across missing observations, and `roundingDecimals` fixes the rounding so the same input reproduces bit-for-bit. |

## Returns

`{ crspConvention, crspBaseDate, crspPriceFormula, crspFactorEvents, crspFactorChangeDates, records, … }`

Adjusted records together with the exact formula and factor-change dates applied — the provenance a replication needs in order to be checkable.

## Errors

- When the convention or source version is unrecognised — throws

## Complexity

Time `O(n + e)`, space `O(n)`.

## Worked example

This is the worked example published in the article, replayed by the test suite on every run. The output cannot drift.

### Input

`input`:

```json
{
  "crspConvention": "CRSPAccess-ts_print-cumfacpr-archived",
  "crspSourceVersion": "Archived CRSP Stock and Index Data Description Guide convention; synthetic extract v1",
  "packageSecurityKey": "SYNTHETIC-SECURITY-001",
  "crspBaseDate": "2024-06-10",
  "crspGapPolicy": "stop-at-unknown-exchange",
  "roundingDecimals": 6,
  "crspFactorEvents": [
    {
      "crspExdt": "2024-06-10",
      "crspFacpr": 1,
      "syntheticLabel": "Synthetic 2-for-1 split-like CRSP event"
    }
  ],
  "records": [
    {
      "date": "2024-06-06",
      "crspPrc": 120,
      "crspCumfacpr": 0.5,
      "crspPriceKind": "trade",
      "coverageStatus": "observed"
    },
    {
      "date": "2024-06-07",
      "crspPrc": -123,
      "crspCumfacpr": 0.5,
      "crspPriceKind": "bid_ask_average",
      "coverageStatus": "observed"
    },
    {
      "date": "2024-06-10",
      "crspPrc": 60,
      "crspCumfacpr": 1,
      "crspPriceKind": "trade",
      "coverageStatus": "observed"
    }
  ]
}
```

### Call

```ts
calculate(input)
```

### Returns

object with 10 fields: crspConvention, crspSourceVersion, packageSecurityKey, crspBaseDate, crspGapPolicy, crspPriceFormula, crspFactorEvents, crspFactorChangeDates, …

```json
{
  "crspConvention": "CRSPAccess-ts_print-cumfacpr-archived",
  "crspSourceVersion": "Archived CRSP Stock and Index Data Description Guide convention; synthetic extract v1",
  "packageSecurityKey": "SYNTHETIC-SECURITY-001",
  "crspBaseDate": "2024-06-10",
  "crspGapPolicy": "stop-at-unknown-exchange",
  "crspPriceFormula": "CRSP adjusted price = CRSP PRC * CRSP CUMFACPR",
  "crspFactorEvents": [
    {
      "crspExdt": "2024-06-10",
      "crspFacpr": 1,
      "syntheticLabel": "Synthetic 2-for-1 split-like CRSP event"
    }
  ],
  "crspFactorChangeDates": ["2024-06-10"],
  "roundingDecimals": 6,
  "records": [
    {
      "date": "2024-06-06",
      "crspPrc": 120,
      "crspCumfacpr": 0.5,
      "crspAdjustedPrice": 60,
      "crspAdjustedMagnitude": 60,
      "crspRecoveredPrc": 120,
      "crspPriceKind": "trade",
      "coverageStatus": "observed",
      "status": "CRSP_ADJUSTED_TRADE"
    },
    {
      "date": "2024-06-07",
      "crspPrc": -123,
      "crspCumfacpr": 0.5,
      "crspAdjustedPrice": -61.5,
      "crspAdjustedMagnitude": 61.5,
      "crspRecoveredPrc": -123,
      "crspPriceKind": "bid_ask_average",
      "coverageStatus": "observed",
      "status": "CRSP_ADJUSTED_BID_ASK_AVERAGE"
    },
    {
      "date": "2024-06-10",
      "crspPrc": 60,
      "crspCumfacpr": 1,
      "crspAdjustedPrice": 60,
      "crspAdjustedMagnitude": 60,
      "crspRecoveredPrc": 60,
      "crspPriceKind": "trade",
      "coverageStatus": "observed",
      "status": "CRSP_ADJUSTED_TRADE"
    }
  ]
}
```

## Verification and provenance

Tier: **verified** (via input-expected).

The worked example below is the figure published in this algorithm's article, replayed and asserted by the test suite on every build. The arithmetic cannot drift without the build failing.

Both tiers guarantee the signature. Full explanation: https://docs.thefintechbuilder.com/guides/verification/

Generated from the docs.json payload shipped inside fintech-algorithms@0.13.1.
The signature and parameter list are checked against the compiled implementation at build time,
so a description that contradicts the code fails the build rather than reaching this file.

## Links

- Article (how it works, step by step): https://thefintechbuilder.com/corporate-actions-and-security-master-data/adjustment-factors/crsp-cumulative-price-adjustment/
- Implementation source: https://github.com/IslamBaraka90/Fintech-Algorithms-Library/blob/main/src/corporate-actions-and-security-master-data/adjustment-factors/crsp-cumulative-price-adjustment/impl.ts
- Standalone repository: https://github.com/IslamBaraka90/Fintech-CRSP-Cumulative-Price-Adjustment-Corporate-Actions-algorithm
- Package on npm: https://www.npmjs.com/package/fintech-algorithms
- Domain index for agents: https://docs.thefintechbuilder.com/corporate-actions-and-security-master-data/llms.txt