adding data-services

libs/utils/src/financialUtils.ts

@@ -0,0 +1,67 @@
+/**
+ * Financial calculation utilities
+ */
+export const financialUtils = {
+  /**
+   * Calculate the Sharpe ratio 
+   * @param returns Array of period returns
+   * @param riskFreeRate The risk-free rate (e.g. 0.02 for 2%)
+   */
+  calculateSharpeRatio(returns: number[], riskFreeRate: number = 0.02): number {
+    if (returns.length < 2) {
+      return 0;
+    }
+    
+    // Calculate average return
+    const avgReturn = returns.reduce((sum, val) => sum + val, 0) / returns.length;
+    
+    // Calculate standard deviation
+    const squaredDiffs = returns.map(val => Math.pow(val - avgReturn, 2));
+    const avgSquaredDiff = squaredDiffs.reduce((sum, val) => sum + val, 0) / squaredDiffs.length;
+    const stdDev = Math.sqrt(avgSquaredDiff);
+    
+    // Avoid division by zero
+    if (stdDev === 0) return 0;
+    
+    // Calculate Sharpe ratio
+    return (avgReturn - riskFreeRate) / stdDev;
+  },
+  
+  /**
+   * Calculate the maximum drawdown 
+   * @param equityCurve Array of equity values over time
+   */
+  calculateMaxDrawdown(equityCurve: number[]): number {
+    if (equityCurve.length < 2) {
+      return 0;
+    }
+    
+    let maxDrawdown = 0;
+    let peak = equityCurve[0];
+    
+    for (let i = 1; i < equityCurve.length; i++) {
+      if (equityCurve[i] > peak) {
+        peak = equityCurve[i];
+      } else {
+        const drawdown = (peak - equityCurve[i]) / peak;
+        maxDrawdown = Math.max(maxDrawdown, drawdown);
+      }
+    }
+    
+    return maxDrawdown;
+  },
+  
+  /**
+   * Calculate the Compound Annual Growth Rate (CAGR)
+   * @param startValue Initial investment value
+   * @param endValue Final investment value
+   * @param years Number of years
+   */
+  calculateCAGR(startValue: number, endValue: number, years: number): number {
+    if (years <= 0 || startValue <= 0 || endValue <= 0) {
+      return 0;
+    }
+    
+    return Math.pow(endValue / startValue, 1 / years) - 1;
+  }
+};