Pseudo-codes for basic Finance values

/* value can either be return or price */

/* this pseudo-code function calculates the mean of value observations */
float[] average(float[] value)
{
	for (i = 0 ; i < NUMBER_OF_OBSERVATIONS ; i++)	sum += value[i];
	return (sum / NUMBER_OF_OBSERVATIONS);
}

/* this pseudo-code function calculates the mean of value observations with probability */
float[] average(float[] value, float[] probability)
{
	for (i = 0 ; i < NUMBER_OF_OBSERVATIONS ; i++)	average += value[i] * probablity[i];
	return average;
}

/* this pseudo-code function calculates discrete return from price observations */
float[] discreteReturn(float[] price)
{
	discreteReturn[0] = 0;
	for (i = 1 ; i < NUMBER_OF_OBSERVATIONS ; i++)	discreteReturn[i] = price[i] / price[i-1] - 1;
	return discreteReturn;
}

/* this pseudo-code function calculates excess return from price observations */
float[] excessReturn(float[] price)
{
	average = average(price);
	for (i = 1 ; i < NUMBER_OF_OBSERVATIONS ; i++)	excessReturn[i] = price[i] / price[i-1] - 1 - average;
	return excessReturn;
}

/* this pseudo-code function calculates variance from value observations */
float[] variance(float[] value, float[] probability)
{
	average = average(value, probability);
	for (i = 0 ; i < NUMBER_OF_ELEMENTS ; i++)	variance += probability[i] * (value[i] - average)^2;
	return variance;
}

/* this pseudo-code function calculates annualized variance from value observations */
float[] annualVariance(float[] value, float[] probability)
{
	return variance(value, probability) * NUMBER_OF_OBSERVATIONS / NUMBER_OF_YEAR;
}

/* this pseudo-code function calculates standard deviation from value observations */
float[] stdDev(float[] value, float[] probability)
{
	return variance(value, probability)^(1/2);
}

/* this pseudo-code function calculates annualized standard deviation from value observations */
float[] annualStdDev(float[] value, float[] probability)
{
	return annualVariance(value, probability)^(1/2);
}

/* this pseudo-code function calculates covariance from two sets of values */
float[] variance(float[] value1, float[] value2)
{
	average1 = average(value1);
	average2 = average(value2);
	for (i = 0 ; i < NUMBER_OF_ELEMENTS ; i++)	covariance += (value1[i] - average1) * (value2[i] - average2);
	return covariance;
}

/*
 * this pseudo-code function calculates variance-covariance matrix from multiple values
 * value[][] is in the format value[number of observations][number of variables]
*/
float[][] varcovarMatrix(float[][] value)
{
	for (i = 0 ; i < NUMBER_OF_VARIABLES ; i++)
	{
		for (j = 0 ; j < NUMBER_OF_VARIABLES ; j++)
		{
			varcovar[i][j] = covariance(value[][i], value[][j]);	// only takes the vertical array
		}
	}
	return varcovar;
}

/* this pseudo-code function calculates correlation matrix from multiple values */
float[][] corrMatrix(float[][] value)
{
	varcovar[][] = varcovarMatrix(value);
	for (i = 0 ; i < NUMBER_OF_VARIABLES ; i++)
	{
		for (j = 0 ; j < NUMBER_OF_VARIABLES ; j++)
		{
			corr[i][j] = covariance(value[][i], value[][j]) * stdDev(value[][i]) * stdDev(value[][j]);
		}
	}
	return corr;
}

Xem đầy đủ bài viết tại http://feedproxy.google.com/~r/TaiTran/~3/aZxzMHUiYrI/pseudo-codes-for-basic-finance-values.html