fintech-algorithms

Total-Market-Cap Index

Install and import

bash
npm install fintech-algorithms
ts
import { calculate } from "fintech-algorithms/index-and-benchmark-engineering/weighting-and-capping/total-market-cap-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
{
  "constituents": [
    {
      "id": "A",
      "price": 20,
      "shares": 1000000,
      "fx": 1
    },
    {
      "id": "B",
      "price": 40,
      "shares": 500000,
      "fx": 1
    },
    {
      "id": "C",
      "price": 30,
      "shares": 800000,
      "fx": 1.1
    }
  ],
  "divisor": 50000
}

Call

calculate(data)

Returns

object with 3 fields: marketValues, weights, indexLevel

{
  "marketValues": [20000000, 20000000, 26400000],
  "weights": [0.301205, 0.301205, 0.39759],
  "indexLevel": 1328
}

Diagrams

Total-Market-Cap Index — article hero
Total-Market-Cap Index — failure guard
Total-Market-Cap Index — worked example

Calculation flow

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