fintech-algorithms

Gross Total-Return Index

Install and import

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

Signature

calculate(data)

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
{
  "prices": [100, 102, 99, 101, 103, 104],
  "dividends": [0, 0, 3, 0, 0, 1],
  "baseLevel": 1000
}

Call

calculate(data)

Returns

object with 3 fields: returns, levels, endingLevel

{
  "returns": [0.02, 0, 0.020202, 0.019802, 0.019417],
  "levels": [1000, 1020, 1020, 1040.606061, 1061.212121, 1081.818182],
  "endingLevel": 1081.818182
}

Diagrams

Gross Total-Return Index — article hero
Gross Total-Return Index — failure guard
Gross Total-Return Index — worked example

Calculation flow

Gross Total-Return 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 Gross Total-Return Index"]
    E --> F["Recompute invariants"]
    F --> G{"Checks pass?"}
    G -->|No| D
    G -->|Yes| H["Publish audited output"]
Gross Total-Return 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