# Copyright 2016-present CERN – European Organization for Nuclear Research
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
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from qf_lib.common.utils.dateutils.to_days import to_days
from qf_lib.common.utils.miscellaneous.constants import DAYS_PER_YEAR_AVG
from qf_lib.common.utils.returns.annualise_total_return import annualise_total_return
from qf_lib.containers.series.qf_series import QFSeries
from qf_lib.containers.series.simple_returns_series import SimpleReturnsSeries
[docs]def cagr(qf_series: QFSeries, frequency=None):
"""
Returns the Compound Annual Growth Rate (CAGR) calculated for the given series.
Parameters
----------
qf_series: QFSeries
series of returns of an asset
frequency: Frequency
Frequency of the timeseries of returns;
if it is None (by default) it is inferred from the timeseries of returns
Returns
-------
float
annual compound return for the given series of prices
"""
prices_tms = qf_series.to_prices(frequency=frequency, initial_price=1.0)
last_date = prices_tms.index[-1]
first_date = prices_tms.index[0]
period_length = last_date - first_date
period_length_in_years = to_days(period_length) / DAYS_PER_YEAR_AVG
total_return = prices_tms[-1] / prices_tms[0] - 1
return annualise_total_return(
total_return=total_return, period_length_in_years=period_length_in_years, returns_type=SimpleReturnsSeries)