# 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.containers.series.log_returns_series import LogReturnsSeries
from qf_lib.containers.series.returns_series import ReturnsSeries
from qf_lib.containers.series.simple_returns_series import SimpleReturnsSeries
[docs]def annualise_total_return(total_return: float, period_length_in_years: float, returns_type: type) -> float:
"""
Calculates Annualised Rate of Return.
Parameters
----------
total_return: float
return over the whole period expressed as number
period_length_in_years: float
time to achieve the total return, expressed in years
returns_type: type
type of the returns
Returns
-------
float
Annualised Rate of Return as number
"""
assert issubclass(returns_type, ReturnsSeries)
annualised_return = None
if issubclass(returns_type, SimpleReturnsSeries):
annualised_return = pow(1 + total_return, 1 / period_length_in_years) - 1
elif issubclass(returns_type, LogReturnsSeries):
annualised_return = total_return / period_length_in_years
return annualised_return