/*
 * Copyright Reiryoku Technologies and its contributors, www.reiryoku.com, www.mida.org
 *
 * Permission is hereby granted, free of charge, to any person obtaining a copy
 * of this software and associated documentation files (the "Software"), to deal
 * in the Software without restriction, including without limitation the rights
 * to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
 * copies of the Software, and to permit persons to whom the Software is
 * furnished to do so, subject to the following conditions:
 *
 * The above copyright notice and this permission notice shall be included in
 * all copies or substantial portions of the Software.
 *
 * THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
 * IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
 * FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
 * AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
 * LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
 * OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN
 * THE SOFTWARE.
*/

import { decimal, MidaDecimal, } from "#decimals/MidaDecimal";
import { MidaDecimalConvertible, } from "#decimals/MidaDecimalConvertible";

/**
 * Terminologies
 *
 * MAR = Minimum Acceptable Return
 */

export namespace MidaAnalysis {
    export const getDownsideDeviation = (returns: MidaDecimalConvertible[], mar: MidaDecimalConvertible): MidaDecimal => {
        const marReturns: MidaDecimal[] = returns.map((value: MidaDecimalConvertible) => decimal(value).subtract(mar));
        const negativeMarReturns: MidaDecimal[] = marReturns.filter((value: MidaDecimal) => value.lessThan(0));
        const total: MidaDecimal =
                negativeMarReturns.reduce((accumulator: MidaDecimal, value: MidaDecimal) => accumulator.add(value.multiply(value)), decimal(0));

        return decimal(Math.sqrt(Math.abs(total.div(returns.length).toNumber())));
    };
}