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;
+}
+