fintech-algorithms
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Index Initialization and Continuity

5 algorithms in Index and Benchmark Engineering · 5 with asserted arithmetic.

In this family#

  1. Base-Date/Base-Value Initialization verified

    Sets an index running: pick a base date and a base level, and the divisor follows from the market value on that date. Everything else in index construction is maintenance of this one relationship.

    calculate(data)
  2. Index Divisor Initialization verified

    The divisor itself: market value divided by the target level. Small, and the number every other calculation in this domain is defined against.

    calculate(data)
  3. Divisor Continuity Adjustment verified

    Rescales the divisor when market value changes for a non-market reason — a share issue, a member swap — so the level does not jump. This is the mechanism that makes an index a continuous series rather than a sum of unrelated numbers.

    calculate(data)
  4. Corporate-Action Divisor Bridge verified

    Applies a corporate action to an index by routing its non-market value change through the divisor. Connects D02's event handling to the index level: the constituent's price changes for real, the index level must not.

    calculate(data)
  5. Intraday Index-Level Calculation verified

    Recomputes the level from a live price snapshot using fixed index shares and float factors. Shares and float are held constant through the session — only prices move — which is why an intraday level is cheap to compute.

    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:

ts
import { calculate } from "fintech-algorithms/index-and-benchmark-engineering/index-initialization-and-continuity/base-date-base-value-initialization";
import { calculate } from "fintech-algorithms/index-and-benchmark-engineering/index-initialization-and-continuity/index-divisor-initialization";

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

Where this sits#

Index and Benchmark Engineering collects 40 algorithms across 6 families. For the concept behind this family rather than the call signatures, see the concept guides.