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fintech-algorithms

Index and Benchmark Engineering

40 algorithms · 6 families · D03

Index Initialization and Continuity

Base-Date/Base-Value Initialization verified calculate(data)
Index Divisor Initialization verified calculate(data)
Divisor Continuity Adjustment verified calculate(data)
Corporate-Action Divisor Bridge verified calculate(data)
Intraday Index-Level Calculation verified calculate(data)

Weighting and Capping

Price-Weighted Index verified calculate(data)
Total-Market-Cap Index verified calculate(data)
Free-Float Market-Cap Index verified calculate(data)
Capped Free-Float Market-Cap Index verified calculate(data)
Modified Market-Cap Index verified calculate(data)
Equal-Weight Index verified calculate(data)
Iterative Cap Redistribution verified calculate(data)
Group-Level Capping verified calculate(data)

Alternative Weighting

Fundamental-Weighted Index verified calculate(data)
Dividend-Yield-Weighted Index verified calculate(data)
Factor-Score-Weighted Index verified calculate(data)
Minimum-Volatility Index verified calculate(data)
Equal-Risk-Contribution Index verified calculate(data)
Thematic-Tilt Index verified calculate(data)

Return Variants

Price-Return Index verified calculate(data)
Gross Total-Return Index verified calculate(data)
Net Total-Return Index verified calculate(data)
Excess-Return Index verified calculate(data)
Dividend-Point Index verified calculate(data)
Currency-Converted Index verified calculate(data)
Currency-Hedged Index verified calculate(data)

Strategy Indices

Leveraged Daily-Reset Index verified calculate(data)
Inverse Daily-Reset Index verified calculate(data)
Volatility-Control Index verified calculate(data)
Fixed-Decrement Index verified calculate(data)
Percentage-Decrement Index verified calculate(data)
Index-of-Indices verified calculate(data)

Governance and Maintenance

Eligibility Screen verified calculate(data)
Liquidity Screen verified calculate(data)
Free-Float Factor Calculation verified calculate(data)
IPO Fast-Entry Rule verified calculate(data)
Reconstitution Algorithm verified calculate(data)
Rebalancing Algorithm verified calculate(data)
Turnover Buffer Rule verified calculate(data)
Index Replication-Cost Estimator verified calculate(data)