roi: TWR now handles samy-day pnl changes and cashflows
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Dmitry Astapov
Simon Michael
parent
3afd52248b
commit
c0582ec895
@ -48,6 +48,7 @@ data OneSpan = OneSpan
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Quantity -- value of investment at the beginning of day on spanBegin_
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Quantity -- value of investment at the end of day on spanEnd_
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[(Day,Quantity)] -- all deposits and withdrawals (but not changes of value) in the DateSpan [spanBegin_,spanEnd_)
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[(Day,Quantity)] -- all PnL changes of the value of investment in the DateSpan [spanBegin_,spanEnd_)
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deriving (Show)
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@ -103,8 +104,13 @@ roi CliOpts{rawopts_=rawopts, reportspec_=rspec} j = do
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, Not pnlQuery
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, Date (DateSpan (Just spanBegin) (Just spanEnd)) ] )
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pnl =
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calculateCashFlow trans (And [ Not investmentsQuery
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, pnlQuery
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, Date (DateSpan (Just spanBegin) (Just spanEnd)) ] )
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thisSpan = dbg3 "processing span" $
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OneSpan spanBegin spanEnd valueBefore valueAfter cashFlow
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OneSpan spanBegin spanEnd valueBefore valueAfter cashFlow pnl
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irr <- internalRateOfReturn showCashFlow prettyTables thisSpan
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twr <- timeWeightedReturn showCashFlow prettyTables investmentsQuery trans thisSpan
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@ -129,34 +135,47 @@ roi CliOpts{rawopts_=rawopts, reportspec_=rspec} j = do
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putStrLn $ Ascii.render prettyTables id id id table
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timeWeightedReturn showCashFlow prettyTables investmentsQuery trans (OneSpan spanBegin spanEnd valueBefore valueAfter cashFlow) = do
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timeWeightedReturn showCashFlow prettyTables investmentsQuery trans (OneSpan spanBegin spanEnd valueBefore valueAfter cashFlow pnl) = do
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let initialUnitPrice = 100
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let initialUnits = valueBefore / initialUnitPrice
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let cashflow =
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let changes =
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-- If cash flow and PnL changes happen on the same day, this
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-- will sort PnL changes to come before cash flows (on any
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-- given day), so that we will have better unit price computed
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-- first for processing cash flow. This is why pnl changes are Left
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-- and cashflows are Right
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sort
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$ (++) (map (\(date,amt) -> (date,Left (-amt))) pnl )
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-- Aggregate all entries for a single day, assuming that intraday interest is negligible
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map (\date_cash -> let (dates, cash) = unzip date_cash in (head dates, sum cash))
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$ map (\date_cash -> let (dates, cash) = unzip date_cash in (head dates, Right (sum cash)))
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$ groupBy ((==) `on` fst)
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$ sortOn fst
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$ map (\(d,a) -> (d, negate a))
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$ filter ((/=0).snd) cashFlow
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$ cashFlow
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let units =
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tail $
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scanl
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(\(_, _, _, unitBalance) (date, amt) ->
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(\(_, _, unitPrice, unitBalance) (date, amt) ->
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let valueOnDate = total trans (And [investmentsQuery, Date (DateSpan Nothing (Just date))])
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unitPrice =
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if unitBalance == 0.0
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then initialUnitPrice
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else valueOnDate / unitBalance
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unitsBoughtOrSold = amt / unitPrice
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in (valueOnDate, unitsBoughtOrSold, unitPrice, unitBalance + unitsBoughtOrSold))
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(0, 0, 0, initialUnits)
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cashflow
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in
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case amt of
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Right amt ->
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-- we are buying or selling
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let unitsBoughtOrSold = amt / unitPrice
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in (valueOnDate, unitsBoughtOrSold, unitPrice, unitBalance + unitsBoughtOrSold)
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Left pnl ->
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-- PnL change
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let valueAfterDate = valueOnDate + pnl
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unitPrice' = valueAfterDate/unitBalance
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in (valueOnDate, 0, unitPrice', unitBalance))
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(0, 0, initialUnitPrice, initialUnits)
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changes
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let finalUnitBalance = if null units then initialUnits else let (_,_,_,u) = last units in u
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finalUnitPrice = if finalUnitBalance == 0 then initialUnitPrice
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else valueAfter / finalUnitBalance
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-- Technically, totalTWR should be (100*(finalUnitPrice - initialUnitPrice) / initialUnitPrice), but initalUnitPrice is 100, so 100/100 == 1
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totalTWR = roundTo 2 $ (finalUnitPrice - initialUnitPrice)
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years = fromIntegral (diffDays spanEnd spanBegin) / 365 :: Double
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annualizedTWR = 100*((1+(realToFrac totalTWR/100))**(1/years)-1) :: Double
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@ -164,11 +183,14 @@ timeWeightedReturn showCashFlow prettyTables investmentsQuery trans (OneSpan spa
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let s d = show $ roundTo 2 d
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when showCashFlow $ do
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printf "\nTWR cash flow for %s - %s\n" (showDate spanBegin) (showDate (addDays (-1) spanEnd))
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let (dates', amounts') = unzip cashflow
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let (dates', amounts) = unzip changes
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cashflows' = map (either (\_ -> 0) id) amounts
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pnls' = map (either id (\_ -> 0)) amounts
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(valuesOnDate',unitsBoughtOrSold', unitPrices', unitBalances') = unzip4 units
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add x lst = if valueBefore/=0 then x:lst else lst
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dates = add spanBegin dates'
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amounts = add valueBefore amounts'
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cashflows = add valueBefore cashflows'
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pnls = add 0 pnls'
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unitsBoughtOrSold = add initialUnits unitsBoughtOrSold'
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unitPrices = add initialUnitPrice unitPrices'
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unitBalances = add initialUnits unitBalances'
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@ -178,22 +200,23 @@ timeWeightedReturn showCashFlow prettyTables investmentsQuery trans (OneSpan spa
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(Table
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(Tbl.Group NoLine (map (Header . showDate) dates))
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(Tbl.Group DoubleLine [ Tbl.Group SingleLine [Header "Portfolio value", Header "Unit balance"]
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, Tbl.Group SingleLine [Header "Cash", Header "Unit price", Header "Units"]
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, Tbl.Group SingleLine [Header "Pnl", Header "Cashflow", Header "Unit price", Header "Units"]
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, Tbl.Group SingleLine [Header "New Unit Balance"]])
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[ [value, oldBalance, amt, prc, udelta, balance]
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[ [value, oldBalance, pnl, cashflow, prc, udelta, balance]
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| value <- map s valuesOnDate
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| oldBalance <- map s (0:unitBalances)
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| balance <- map s unitBalances
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| amt <- map s amounts
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| pnl <- map s pnls
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| cashflow <- map s cashflows
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| prc <- map s unitPrices
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| udelta <- map s unitsBoughtOrSold ])
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printf "Final unit price: %s/%s=%s U.\nTotal TWR: %s%%.\nPeriod: %.2f years.\nAnnualized TWR: %.2f%%\n\n" (s valueAfter) (s finalUnitBalance) (s finalUnitPrice) (s totalTWR) years annualizedTWR
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printf "Final unit price: %s/%s units = %s\nTotal TWR: %s%%.\nPeriod: %.2f years.\nAnnualized TWR: %.2f%%\n\n" (s valueAfter) (s finalUnitBalance) (s finalUnitPrice) (s totalTWR) years annualizedTWR
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return annualizedTWR
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internalRateOfReturn showCashFlow prettyTables (OneSpan spanBegin spanEnd valueBefore valueAfter cashFlow) = do
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internalRateOfReturn showCashFlow prettyTables (OneSpan spanBegin spanEnd valueBefore valueAfter cashFlow _pnl) = do
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let prefix = (spanBegin, negate valueBefore)
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postfix = (spanEnd, valueAfter)
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@ -229,7 +252,7 @@ interestSum referenceDay cf rate = sum $ map go cf
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calculateCashFlow :: [Transaction] -> Query -> CashFlow
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calculateCashFlow trans query = map go trans
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calculateCashFlow trans query = filter ((/=0).snd) $ map go trans
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where
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go t = (transactionDate2 t, total [t] query)
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@ -241,4 +264,3 @@ unMix a =
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case (normaliseMixedAmount $ mixedAmountCost a) of
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(Mixed [a]) -> aquantity a
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_ -> error' "MixedAmount failed to normalize" -- PARTIAL:
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