public static ITimeSeries <double> FirstDifference(this ITimeSeries <double> timeseries, ReturnMethod method = ReturnMethod.Geometric)
{
if (method == ReturnMethod.Arithmetic)
{
var res = from cur in timeseries.Skip(1)
select new TSDataPoint <double>(cur.Date, cur.Value / timeseries[(from prev in timeseries where prev.Date < cur.Date select prev.Date).Max()] - 1);
return(TimeSeriesFactory <double> .Create(res, timeseries.Name, timeseries.IntegrationOrder - 1, timeseries.Frequency));
}
else
{
var res = from cur in timeseries.Skip(1)
select new TSDataPoint <double>(cur.Date, Math.Log(cur.Value / timeseries[(from prev in timeseries where prev.Date < cur.Date select prev.Date).Max()]));
return(TimeSeriesFactory <double> .Create(res, timeseries.Name, timeseries.IntegrationOrder - 1, timeseries.Frequency));
}
}
