private static DatedDataCollectionGen<double> getIndexOfSorts(ConstructGen<double> prices_)
{
var returns = prices_.ToReturns();
var indexLevels = new double[returns.Dates.Count];
for (int i = 0; i < indexLevels.Length; ++i)
{
var todayReturns = returns.GetValues(returns.Dates[i]);
var todayPrices = prices_.GetValues(returns.Dates[i]);
// only use returns if the price series has started
var usedReturns = todayReturns.Where((x, j) => todayPrices[j] > 1e-7);
var avgReturn = !usedReturns.Any() ? 1d : 1d + usedReturns.Average();
indexLevels[i] = (i == 0) ? 100d : indexLevels[i - 1] * avgReturn;
}
return new DatedDataCollectionGen<double>(prices_.Dates.ToArray(), indexLevels);
}