fintech-algorithms

Index-of-Indices

Install and import

bash
npm install fintech-algorithms
ts
import { calculate } from "fintech-algorithms/index-and-benchmark-engineering/strategy-indices/index-of-indices";

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
{
  "componentIds": ["Equity", "Bond", "Commodity"],
  "weights": [0.5, 0.3, 0.2],
  "componentReturns": [
    [0.01, 0.002, -0.004],
    [-0.006, 0.003, 0.008],
    [0.004, -0.001, 0.002]
  ],
  "baseLevel": 1000
}

Call

calculate(data)

Returns

object with 4 fields: componentIds, portfolioReturns, levels, endingLevel

{
  "componentIds": ["Equity", "Bond", "Commodity"],
  "portfolioReturns": [0.0048, -0.0005, 0.0021, 0.0035, 0],
  "levels": [1000, 1004.8, 1004.2976, 1006.406625, 1009.929048, 1009.929048],
  "endingLevel": 1009.929048
}

Diagrams

Index-of-Indices — article hero
Index-of-Indices — failure guard
Index-of-Indices — worked example

Calculation flow

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