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| author | Ethan Werner <mail@ethanwerner.com> | 2026-07-01 09:42:39 +0400 |
|---|---|---|
| committer | Ethan Werner <mail@ethanwerner.com> | 2026-07-01 09:42:39 +0400 |
| commit | 07e18043145f3d91c8ea7ec3ad41b3c905585277 (patch) | |
| tree | 2bdeae46973f4bdfce263679a4008ac768011f28 /lib/log_return.c | |
initial commit: ts time series analysis library v0.1.0
- 354 financial and mathematical time-series indicators
- Uniform C11 API with consistent function signatures
- 349 passing tests with -Werror
- Static and shared library builds
- pkg-config integration
- Python bindings
- Fuzzing and sanitizer support
- Security hardening flags
Diffstat (limited to 'lib/log_return.c')
| -rw-r--r-- | lib/log_return.c | 50 |
1 files changed, 50 insertions, 0 deletions
diff --git a/lib/log_return.c b/lib/log_return.c new file mode 100644 index 0000000..2aa8334 --- /dev/null +++ b/lib/log_return.c @@ -0,0 +1,50 @@ +// 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; +} + |