function tomonthly
tomonthly(
x: array,
mode?: string,
): number

Convert a return series to a monthly series.

Convert a return series to a monthly series (e.g. from daily to monthly)

Examples

Convert daily returns to monthly returns using simple mode

import { assertEquals } from "jsr:@std/assert";

var dailyReturns = [
  0.001, 0.002, -0.001, 0.004, 0.005, // Week 1
  0.002, -0.003, 0.001, 0.002, 0.004, // Week 2
  0.003, 0.001, -0.002, 0.003, 0.002, // Week 3
  0.001, 0.004, 0.003, -0.001, 0.002  // Week 4
];
assertEquals(tomonthly(dailyReturns), 0.03347884902598719);

Convert daily returns to monthly returns using continuous mode

import { assertEquals } from "jsr:@std/assert";

var dailyReturns = [
  0.001, 0.002, -0.001, 0.004, 0.005, // Week 1
  0.002, -0.003, 0.001, 0.002, 0.004, // Week 2
  0.003, 0.001, -0.002, 0.003, 0.002, // Week 3
  0.001, 0.004, 0.003, -0.001, 0.002  // Week 4
];
assertEquals(tomonthly(dailyReturns, "continuous"), 0.033);

Parameters

x: array

array of values

optional
mode: string

calculation mode: 'simple' (default) or 'continuous'

Return Type

number

monthly series

Usage

import tomonthly from "quants/tomonthly.ts";