fintech-algorithms

Fixed-Decrement Index

Install and import

bash
npm install fintech-algorithms
ts
import { calculate } from "fintech-algorithms/index-and-benchmark-engineering/strategy-indices/fixed-decrement-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
{
  "underlyingLevels": [100, 101, 100.5, 102, 103, 102.6],
  "annualDecrementPoints": 5,
  "dayCount": 360,
  "baseLevel": 100
}

Call

calculate(data)

Returns

object with 3 fields: dailyDeductions, levels, endingLevel

{
  "dailyDeductions": [0.013889, 0.013889, 0.013889, 0.013889, 0.013889, 0.013889],
  "levels": [100, 100.986111, 100.472291, 101.957989, 102.943688, 102.530018],
  "endingLevel": 103.915174
}

Diagrams

Fixed-Decrement Index — article hero
Fixed-Decrement Index — failure guard
Fixed-Decrement Index — worked example

Calculation flow

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