Namespaces

Types in MathNet.Numerics.Financial

Type AbsoluteReturnMeasures

Namespace MathNet.Numerics.Financial

Static Functions

Public Static Functions

double CompoundMonthlyReturn(this IEnumerable<double> data)

Obsolete: Use CompoundReturn instead, will be removed in v4.0

double CompoundReturn(this IEnumerable<double> data)

Compound Monthly Return or Geometric Return or Annualized Return

double GainMean(this IEnumerable<double> data)

Average Gain or Gain Mean This is a simple average (arithmetic mean) of the periods with a gain. It is calculated by summing the returns for gain periods (return 0) and then dividing the total by the number of gain periods.
http://www.offshore-library.com/kb/statistics.php

double LossMean(this IEnumerable<double> data)

Average Loss or LossMean This is a simple average (arithmetic mean) of the periods with a loss. It is calculated by summing the returns for loss periods (return < 0) and then dividing the total by the number of loss periods.
http://www.offshore-library.com/kb/statistics.php