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fix: roi: rare bug with PnL applied on the first day of investment

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Dmitry Astapov 2021-09-03 21:46:52 +01:00 committed by Simon Michael
parent 25755c1ddd
commit 555a68faa5
1 changed files with 29 additions and 11 deletions
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40
hledger/Hledger/Cli/Commands/Roi.hs
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@ -19,7 +19,7 @@ import System.Exit
import Data.Time.Calendar import Data.Time.Calendar
import Text.Printf import Text.Printf
import Data.Bifunctor (second) import Data.Bifunctor (second)
import Data.Either (fromLeft, fromRight) import Data.Either (fromLeft, fromRight, isLeft)
import Data.Function (on) import Data.Function (on)
import Data.List import Data.List
import Numeric.RootFinding import Numeric.RootFinding
@ -168,15 +168,33 @@ timeWeightedReturn showCashFlow prettyTables investmentsQuery trans mixedAmountV
-- will sort PnL changes to come before cash flows (on any -- will sort PnL changes to come before cash flows (on any
-- given day), so that we will have better unit price computed -- given day), so that we will have better unit price computed
-- first for processing cash flow. This is why pnl changes are Left -- first for processing cash flow. This is why pnl changes are Left
-- and cashflows are Right -- and cashflows are Right.
sort -- However, if the very first date in the changes list has both
$ (++) (map (\(date,amt) -> (date,Left $ maNegate amt)) pnl ) -- PnL and CashFlow, we would not be able to apply pnl change to 0 unit,
-- Aggregate all entries for a single day, assuming that intraday interest is negligible -- which would lead to an error. We make sure that we have at least one
$ map (\date_cash -> let (dates, cash) = unzip date_cash in (head dates, Right (maSum cash))) -- cashflow entry at the front, and we know that there would be at most
$ groupBy ((==) `on` fst) -- one for the given date, by construction.
$ sortOn fst zeroUnitsNeedsCashflowAtTheFront
$ map (second maNegate) $ sort
$ cashFlow $ dailyCashflows ++ datedPnls
where
zeroUnitsNeedsCashflowAtTheFront changes =
if initialUnits > 0 then changes
else
let (leadingPnls, rest) = span (isLeft . snd) changes
(firstCashflow, rest') = splitAt 1 rest
in firstCashflow ++ leadingPnls ++ rest'
datedPnls = map (\(date,amt) -> (date,Left $ maNegate amt)) pnl
dailyCashflows =
sort
-- Aggregate all entries for a single day, assuming that intraday interest is negligible
$ map (\date_cash -> let (dates, cash) = unzip date_cash in (head dates, Right (maSum cash)))
$ groupBy ((==) `on` fst)
$ sortOn fst
$ map (second maNegate)
$ cashFlow
let units = let units =
tail $ tail $
@ -195,7 +213,7 @@ timeWeightedReturn showCashFlow prettyTables investmentsQuery trans mixedAmountV
unitPrice' = valueAfterDate/unitBalance unitPrice' = valueAfterDate/unitBalance
in (valueOnDate, 0, unitPrice', unitBalance)) in (valueOnDate, 0, unitPrice', unitBalance))
(0, 0, initialUnitPrice, initialUnits) (0, 0, initialUnitPrice, initialUnits)
changes $ dbg3 "changes" changes
let finalUnitBalance = if null units then initialUnits else let (_,_,_,u) = last units in u let finalUnitBalance = if null units then initialUnits else let (_,_,_,u) = last units in u
finalUnitPrice = if finalUnitBalance == 0 then initialUnitPrice finalUnitPrice = if finalUnitBalance == 0 then initialUnitPrice