public void CanCalculateLinkedReturnsWithCumReturnsMonthToEnd()
{
var janSP500returns = sp500
.Where(r => r.EffectiveDate.Month == 1)
.Select(r => r.TotalReturn)
.ToList();
var cumReturns = FinCalcs.ReturnsToMonthEnd(janSP500returns);
var longCalc = FinCalcs.LinkedReturns(
periodReturns: janSP500returns,
startPeriod: 0,
endPeriod: janSP500returns.Count() - 1);
var quickCalc = FinCalcs.LinkedReturns(
returnToMonthEnd: cumReturns,
startingPeriodReturn: janSP500returns.ElementAt(0),
startPeriod: 0,
endPeriod: janSP500returns.Count() - 1
);
Assert.AreEqual(
Math.Round(longCalc, 6),
Math.Round(quickCalc, 6));
}
public void CanCalculateReturnToMonthEnd()
{
var cumReturns = FinCalcs.ReturnsToMonthEnd(
sp500
.Where(r => r.EffectiveDate.Month == 1)
.Select(r => r.TotalReturn)
.ToList()
);
Assert.AreEqual(0.990074m, Math.Round(cumReturns.First(), 6));
Assert.AreEqual(1m, Math.Round(cumReturns.Last()));
}