lib/log_return.c


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// Log Return
//
// log_return
//
// Logarithmic return
//
// ln(C[t] / C[t-1])
//
// Inputs:    1
// Outputs:   1
// Constants: 0


#include <math.h>
#include "ts.h"


ts_parameter_t const ts_log_return_p = { .n_inputs = 1, .n_outputs = 1, .n_constants = 0, .params_size = 0 };

uint_t ts_log_return_offset( ts_constant_t const *c )
{
	( void )c;
	return ( 3 );
}

int ts_log_return(
	fp_t * const *y, uint_t y_n,
	fp_t const * const *x, uint_t x_n,
	uint_t n, ts_constant_t const *c
)
{
	TS_PROLOGUE( ts_log_return_p );
	(void)c;
	if (n < 3) return -1;
	for (uint_t i = 0; i < 3; ++i) y[0][i] = 0;

	for( uint_t i = 3; i < n; ++i )
	{
		if ( x[0][i - 3] <= 0 || x[0][i] <= 0 )
		{
			y[0][i] = NAN;
		}
		else
		{
			y[0][i] = log( x[0][i] / x[0][i - 3] );
		}
	}
	return 0;
}