timeseries-ts

TimeSeries in TypeScript

TimeSeries is a typescript object designed to keep data and perform calculations on date and value timeseries.

TimeSeriesItem

The data is stored in an array of TimeSeriesItems, where TimeSeriesItem is basically

{
    timestamp: Date;
    value: number;
}

Json import

By default the TimeSeries class imports json data in the following format.

Example

{
    "key": "any id or name (optional)",
    "timestamps": ["2016-08-31", "2016-09-30", "2016-10-31", "2016-11-30"],
    "values": [1.23, 1.27, 1.24, 1.31]
}

Where:

• key: String, any id or name, optional
• timestamps: Array of date strings
• values: Array of numbers

Core functions

• clone(): Creates a deep copy of the timeseries
• assign(): Replaces all properties in the timeseries
• range(startDate, endDate): Like Array.slice create a sliced copy of the timeseries, from startDate to endDate
• sort(): Sorts TimeSeriesItems in ascending date order. Which many functions and operations require. Therefore items should always be kept in ascending date order.

Basic get properties

• values: Array of numbers
• timestamps: Array of Date
• start: First timestamps
• end: Last timestamps
• startValue: First value
• endValue: Last value
• count: Number of items
• periodicity: Number of items per year rounded to one of the standard values 252 (banking daily), 52 (weekly), 12 (monthly), 4 (quarterly), 2 (semi annually), 1 (yearly)

Search functions

• indexOf(): Returns the last index in items, where timestamp >= item.timestamp
• latestValue(): Returns value of item found by indexOf()

By item value operators

These functions / operators modifies each item value and returns a ref to the TimeSeries object itself (for method chaining)

• log(): Log of each value (safe log, returns Number.NaN if non positive)
• exp(): Exp of each value
• add(v): Add v to each value
• mult(v): Mult v to each value
• neg(): Negates each value
• inverse(): 1/x of each value

Diff functions

These functions returns a timeseries one item shorter and do not modify the object itself

• diff(): Returns a timeseries one item shorter and with item to item differences
• return(): Returns a timeseries one item shorter and with item to item quotients (returns)
• logReturn(): Returns a timeseries one item shorter and with item to item log quotients (log returns)

Cumulative functions

These functions returns a timeseries and do not modify the object itself

• cumSum(): Returns a timeseries with cumulative sum values
• cumProd(): Returns a timeseries with cumulative product values