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Dividend-Point Index

Install and import#

bash
npm install fintech-algorithms
ts
import { calculate } from "fintech-algorithms/index-and-benchmark-engineering/return-variants/dividend-point-index";

Signature#

calculate(data)

Expresses dividends in index points rather than currency, which is how dividend futures and swaps are quoted. Converting through the divisor is what makes a per-share payment comparable to an index level.

Parameters#

NameTypeNotes
data{ events: DividendEvent[]; divisor: number }events carry per-share dividends and index shares; divisor converts the aggregate into points.

Returns#

{ ids, pointContributions, dividendPoints }

Each constituent's contribution in points and the total.

Errors#

  • When the divisor is not positive — throws

Complexity: time O(n), space O(n).

Worked example#

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

Input#

data
{
  "events": [
    {
      "id": "A",
      "dividend": 1.2,
      "indexShares": 2000000,
      "floatFactor": 0.8,
      "fx": 1
    },
    {
      "id": "B",
      "dividend": 0.5,
      "indexShares": 3500000,
      "floatFactor": 0.7,
      "fx": 1
    },
    {
      "id": "C",
      "dividend": 2,
      "indexShares": 500000,
      "floatFactor": 1,
      "fx": 1.1
    }
  ],
  "divisor": 1000000
}

Call#

calculate(data)

Returns#

object with 3 fields: ids, pointContributions, dividendPoints

{
  "ids": ["A", "B", "C"],
  "pointContributions": [1.92, 1.225, 1.1],
  "dividendPoints": 4.245
}

Diagrams#

Dividend-Point Index — article hero
Dividend-Point Index — failure guard
Dividend-Point Index — worked example

Calculation flow#

Dividend-Point Index calculation flow 
flowchart LR
    A["Point-in-time inputs"] --> B["Validate units and timing"]
    B --> C{"Contract feasible?"}
    C -->|No| D["Reject with reason"]
    C -->|Yes| E["Calculate Dividend-Point Index"]
    E --> F["Recompute invariants"]
    F --> G{"Checks pass?"}
    G -->|No| D
    G -->|Yes| H["Publish audited output"]
Dividend-Point Index methodology state 
stateDiagram-v2
    [*] --> FrozenInputs
    FrozenInputs --> Validated: contract passes
    FrozenInputs --> Rejected: missing or infeasible
    Validated --> Calculated: apply named rule
    Calculated --> Audited: invariants pass
    Calculated --> Rejected: invariant fails
    Audited --> Published: version and timestamp recorded
    Published --> Revised: approved correction
    Revised --> FrozenInputs: rebuild from retained source state

How it works#

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References#

The rest of the Return Variants family#