/// <param name="prices"></param>
/// <param name="method"></param>
/// <returns></returns>
func Calculate(prices *utils.SlidingWindow, method string) (*utils.SlidingWindow, error) {
if prices == nil {
return nil, errors.New("Prices Utils Sliding Window is nil")
}
if prices.Count() == 0 {
return nil, errors.New("Returns Windows content is Zero")
}
lastPrice := prices.First()
returns, err := utils.NewSlidingWindow(prices.Count())
if err != nil {
return nil, errors.New("create a Sliding Window is Error !!")
}
switch method {
case "simple":
case "discrete":
for i := 0; i < prices.Count(); i++ {
price := prices.Data()[i]
if lastPrice != 0.0 {
returns.Add(price/lastPrice - 1.0)
} else {
returns.Add(0.0)
}
lastPrice = price
}
case "compound":
case "log":
for i := 0; i < prices.Count(); i++ {
price := prices.Data()[i]
if lastPrice != 0.0 {
returns.Add(math.Log(price / lastPrice))
} else {
returns.Add(0.0)
}
lastPrice = price
}
default:
return nil, errors.New("The input Method is nil !!!")
}
return returns, nil
}
