Add a useful package (from Source forge) for octave

[CreaPhase.git] / octave_packages / financial-0.4.0 / negvolidx.m

diff --git a/octave_packages/financial-0.4.0/negvolidx.m b/octave_packages/financial-0.4.0/negvolidx.m
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+## Copyright (C) 2008 Bill Denney <bill@denney.ws>
+##
+## This program is free software; you can redistribute it and/or modify it under
+## the terms of the GNU General Public License as published by the Free Software
+## Foundation; either version 3 of the License, or (at your option) any later
+## version.
+##
+## This program is distributed in the hope that it will be useful, but WITHOUT
+## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
+## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
+## details.
+##
+## You should have received a copy of the GNU General Public License along with
+## this program; if not, see <http://www.gnu.org/licenses/>.
+
+## -*- texinfo -*-
+## @deftypefn {Function File} {@var{nvi} =} negvolidx (@var{closeprice}, @var{vol})
+## @deftypefnx {Function File} {@var{nvi} =} negvolidx ([@var{closeprice} @var{vol}])
+## @deftypefnx {Function File} {@var{nvi} =} negvolidx (@var{closeprice}, @var{vol}, @var{initnvi})
+## @deftypefnx {Function File} {@var{nvi} =} negvolidx ([@var{closeprice} @var{vol}], @var{initnvi})
+##
+## Compute the negative volume index of a security based on its closing
+## price (@var{closeprice}) and @var{vol}ume.  They may be given as
+## separate arguments or as an nx2 matrix.  If given, the @var{initnvi}
+## is the starting value of the nvi (default: 100).
+##
+## The @var{nvi} will always be a column vector.
+##
+## @seealso{onbalvol, posvolidx}
+## @end deftypefn
+
+function nvi = negvolidx (c, vol, initnvi)
+
+  default_nvi = 100;
+  nvi         = zeros (length (c), 1);
+  if isvector (c)
+    if nargin < 2
+      ## a closing price was given without a volume
+      print_usage ();
+    elseif isscalar (vol)
+      ## probably initnvi was given as the second argument
+      print_usage ();
+    elseif !isvector (vol)
+      print_usage ();
+    elseif length (c) != length (vol)
+      error ("closeprice and vol must be the same length");
+    endif
+    c = [c(:) vol(:)];
+    if nargin < 3
+      nvi(1) = default_nvi;
+    else
+      nvi(1) = initnvi;
+    endif
+  elseif size (c, 2) != 2
+    error ("If given as a matrix, c must have exactly two columns.")
+  elseif size (c, 2) == 2
+    if nargin == 2
+      nvi(1) = vol;
+    else
+      nvi(1) = default_nvi;
+    endif
+  else
+    print_usage ();
+  endif
+
+  ## Start doing the work
+  for i = 2:size (c, 1)
+    nvi(i) = nvi(i-1) + (c(i,2) < c(i-1,2))*nvi(i-1)*(c(i,1)-c(i-1,1))/c(i-1,1);
+  endfor
+
+endfunction
+
+## Tests
+%!shared c, v, nvia, nvib
+%! c = [22.44 22.61 22.67 22.88 23.36 23.23 23.08 22.86 23.17 23.69 23.77 23.84 24.32 24.8 24.16 24.1 23.37 23.61 23.21];
+%! v = [10 12 23 25 34 12 32 15 15 34 54 12 86 45 32 76 89 13 28];
+%! nvia = [100 100 100 100 100 99.44349315 99.44349315 98.49559157 98.49559157 98.49559157 98.49559157 98.78565011 98.78565011 100.7353669 98.13574451 98.13574451 98.13574451 99.14355704 99.14355704]';
+%! nvib = [5 5 5 5 5 4.972174658 4.972174658 4.924779578 4.924779578 4.924779578 4.924779578 4.939282505 4.939282505 5.036768344 4.906787226 4.906787226 4.906787226 4.957177852 4.957177852]';
+%!assert(negvolidx(c, v), nvia, 1e-5)
+%!assert(negvolidx([c' v']), nvia, 1e-5)
+%!assert(negvolidx(c, v, 5), nvib, 1e-5)
+%!assert(negvolidx([c' v'], 5), nvib, 1e-5)