Class CorporateEvents

java.lang.Object

com.quantfinlib.data.CorporateEvents

public final class CorporateEvents
extends Object

Extended corporate actions and the back-adjustment factors they imply.

The plain idea: on an ex-date the share price drops (or jumps) for a mechanical reason, not because the holder gained or lost anything. Every bar before the ex-date is multiplied by one factor so that the adjusted series moves exactly like a holder's wealth would, assuming anything paid out is reinvested in the same stock at the theoretical ex price. CorporateActions keeps handling the 2.1 split and cash-dividend cases; this class adds the rest.

Formally, with P the last close before the ex-date, the price factor f applied to all earlier bars is:

• CorporateEvents.StockDividend (bonus issue, rate b new per old): f = 1 / (1 + b), volume times (1 + b).
• CorporateEvents.ReverseSplit (k old shares become 1): f = k, volume divided by k.
• CorporateEvents.Dividend (regular or special, amount d): f = (P - d) / P. Which kinds adjust is set by CorporateEvents.DividendPolicy.
• CorporateEvents.SpinOff (r child shares per parent share, child reference price C): f = (P - rC) / P.
• CorporateEvents.RightsIssue (r new shares per old at subscription price S): the theoretical ex-rights price is TERP = (P + rS) / (1 + r) and f = TERP / P.
• CorporateEvents.SymbolChange: f = 1; the output series takes the latest symbol.
• CorporateEvents.CashStockMerger: terminal for the target. No factor; the position side is in CorporateEventPositions.

Worked example (own test, CorporateEventsTest): a rights issue of 1 new for 4 held at 80 with the stock at 100 gives TERP = (100 + 0.25 * 80) / 1.25 = 96, so f = 0.96 and a cum-rights close of 100 becomes 96 on the adjusted tape.

totalReturnError(BarSeries, BarSeries, List) checks the factors against an independent share-count simulation of a reinvesting holder and returns the largest per-bar gap between the two return series.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	CorporateEvents.CashStockMerger	Cash-and-stock merger with holder election and proration.
static final record	CorporateEvents.Dividend	Cash dividend tagged regular or special.
static enum	CorporateEvents.DividendKind	Regular or special cash dividend.
static enum	CorporateEvents.DividendPolicy	Which dividends enter the back-adjustment.
static interface	CorporateEvents.Event	A corporate event effective from its ex timestamp.
static final record	CorporateEvents.ReverseSplit	Reverse split: oldPerNew old shares are consolidated into one.
static final record	CorporateEvents.RightsIssue	Rights issue: ratio new shares per old share at subscriptionPrice.
static final record	CorporateEvents.SpinOff	Spin-off of a new instrument.
static final record	CorporateEvents.StockDividend	Stock dividend or bonus issue: rate new shares per share held (0.05 = 5 %).
static final record	CorporateEvents.SymbolChange	Symbol and/or ISIN change; no economic effect.

Method Summary

Modifier and Type	Method	Description
static BarSeries	adjust(BarSeries series, List<? extends CorporateEvents.Event> events)	Back-adjusts with CorporateEvents.DividendPolicy.ALL.
static BarSeries	adjust(BarSeries series, List<? extends CorporateEvents.Event> events, CorporateEvents.DividendPolicy policy)	Returns a new back-adjusted series; the input is untouched.
static double	priceFactor(CorporateEvents.Event event, double prevClose, CorporateEvents.DividendPolicy policy)	Price factor for one event given the last cum close prevClose; returns 1 for events that do not adjust under policy.
static double	terp(double cumPrice, CorporateEvents.RightsIssue rights)	Theoretical ex-rights price (P + rS) / (1 + r).
static double	totalReturnError(BarSeries raw, BarSeries adjusted, List<? extends CorporateEvents.Event> events)	Total-return consistency check.
static double	volumeFactor(CorporateEvents.Event event)	Volume factor applied to bars before the ex-date (share-count changes only).

Methods inherited from class Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

priceFactor

public static double priceFactor(CorporateEvents.Event event,
 double prevClose,
 CorporateEvents.DividendPolicy policy)

Price factor for one event given the last cum close prevClose; returns 1 for events that do not adjust under policy.

volumeFactor

public static double volumeFactor(CorporateEvents.Event event)

Volume factor applied to bars before the ex-date (share-count changes only).

terp

public static double terp(double cumPrice,
 CorporateEvents.RightsIssue rights)

Theoretical ex-rights price (P + rS) / (1 + r).

adjust

public static BarSeries adjust(BarSeries series,
 List<? extends CorporateEvents.Event> events)

Back-adjusts with CorporateEvents.DividendPolicy.ALL.

adjust

public static BarSeries adjust(BarSeries series,
 List<? extends CorporateEvents.Event> events,
 CorporateEvents.DividendPolicy policy)

Returns a new back-adjusted series; the input is untouched. Factors compound from the latest event backwards, prevClose is always the raw close, and the result takes the last CorporateEvents.SymbolChange symbol.

totalReturnError

public static double totalReturnError(BarSeries raw,
 BarSeries adjusted,
 List<? extends CorporateEvents.Event> events)

Total-return consistency check. Simulates a holder of one share who reinvests every payout (dividends, spin-off shares sold at the child price, rights sold at their theoretical value) at the theoretical ex price, and compares that wealth path's close-to-close returns with the adjusted series. Returns the largest absolute return gap; with CorporateEvents.DividendPolicy.ALL it should be at rounding level.