roi: simplify/speed up (no longer checks every day with P directive)
This commit is contained in:
Dmitry Astapov
Simon Michael
parent
c6f84b31c0
commit
dde5a59049
@ -20,14 +20,13 @@ import System.Exit
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import Data.Time.Calendar
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import Text.Printf
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import Data.Bifunctor (second)
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import Data.Either (fromLeft, fromRight, isLeft)
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import Data.Function (on)
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import Data.List
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import Numeric.RootFinding
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import Data.Decimal
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import qualified Data.Text as T
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import qualified Data.Text.Lazy.IO as TL
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import Safe (headDef, tailDef)
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import Safe (headDef, lastMay)
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import System.Console.CmdArgs.Explicit as CmdArgs
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import Text.Tabular.AsciiWide as Tab
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@ -99,8 +98,6 @@ roi CliOpts{rawopts_=rawopts, reportspec_=rspec@ReportSpec{_rsReportOpts=ReportO
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let (fullPeriod, spans) = reportSpan filteredj rspec
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let priceDirectiveDates = dbg3 "priceDirectiveDates" $ map pddate $ jpricedirectives j
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let processSpan (DateSpan Nothing _) = error "Undefined start of the period - will be unable to compute the rates of return"
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processSpan (DateSpan _ Nothing) = error "Undefined end of the period - will be unable to compute the rates of return"
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processSpan spn@(DateSpan (Just begin) (Just end)) = do
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@ -120,9 +117,7 @@ roi CliOpts{rawopts_=rawopts, reportspec_=rspec@ReportSpec{_rsReportOpts=ReportO
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total trans (And [investmentsQuery
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, Date (DateSpan Nothing (Just end))])
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priceDates = dbg3 "priceDates" $ nub $ filter (spanContainsDate spn) priceDirectiveDates
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cashFlow =
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((map (,nullmixedamt) priceDates)++) $
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cashFlow = dbg3 "cashFlow" $
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cashFlowApplyCostValue $
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calculateCashFlow wd trans (And [ Not investmentsQuery
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, Not pnlQuery
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@ -179,116 +174,116 @@ roi CliOpts{rawopts_=rawopts, reportspec_=rspec@ReportSpec{_rsReportOpts=ReportO
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TL.putStrLn $ Tab.render prettyTables id id id table
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timeWeightedReturn styles showCashFlow prettyTables investmentsQuery trans mixedAmountValue (OneSpan begin end valueBeforeAmt valueAfter cashFlow pnl) = do
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let valueBefore = unMix valueBeforeAmt
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let initialUnitCost = 100 :: Decimal
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let initialUnits = valueBefore / initialUnitCost
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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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-- However, if the very first date in the changes list has both
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-- PnL and CashFlow, we would not be able to apply pnl change to 0 unit,
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-- which would lead to an error. We make sure that we have at least one
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-- cashflow entry at the front, and we know that there would be at most
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-- one for the given date, by construction. Empty CashFlows added
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-- because of a begin date before the first transaction are not seen as
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-- a valid cashflow entry at the front.
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zeroUnitsNeedsCashflowAtTheFront
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-- Entry for TWR computation, capturing all cashflows that are potentially accompanied by pnl change on the same day (if not, it is zero)
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data TwrEntry = TwrEntry { twrDate :: Day, twrCashflow :: Decimal, twrValueAfter :: Decimal, twrPnl :: Decimal } deriving (Eq, Show)
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timeWeightedReturn _styles showCashFlow prettyTables investmentsQuery trans mixedAmountValue (OneSpan begin end valueBeforeAmt valueAfterAmt cashflows pnls) = do
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let datedCashflows =
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-- Aggregate all entries for a single day, assuming that intraday interest is negligible
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dbg3 "datedCashflows"
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$ sort
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$ datedCashflows ++ datedPnls
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where
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zeroUnitsNeedsCashflowAtTheFront changes1 =
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if initialUnits > 0 then changes1
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else
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let (leadingEmptyCashFlows, rest) = span isEmptyCashflow changes1
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(leadingPnls, rest') = span (isLeft . snd) rest
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(firstCashflow, rest'') = splitAt 1 rest'
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in leadingEmptyCashFlows ++ firstCashflow ++ leadingPnls ++ rest''
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$ map (\datecashes -> let (dates, cash) = unzip datecashes in (headDef (error' "Roi.hs: datecashes was null, please report a bug") dates, maSum cash))
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$ groupBy ((==) `on` fst)
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$ sortOn fst
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$ map (second maNegate)
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$ cashflows
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isEmptyCashflow (_date, amt) = case amt of
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Right amt' -> mixedAmountIsZero amt'
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Left _ -> False
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valueBefore = unMix valueBeforeAmt
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valueAfter = unMix valueAfterAmt
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investmentPostings = concatMap (filter (matchesPosting investmentsQuery) . realPostings) trans
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datedPnls = map (second Left) $ aggregateByDate pnl
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totalInvestmentPostingsTill date = sumPostings $ filter (matchesPosting (Date (DateSpan Nothing (Just $ Exact date)))) investmentPostings
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datedCashflows = map (second Right) $ aggregateByDate cashFlow
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-- filter span is (-infinity, date+1), which gives us effectively (-infinity, date]
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valueAfterDate date = unMix $ mixedAmountValue end date $ totalInvestmentPostingsTill (addDays 1 date)
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aggregateByDate datedAmounts =
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-- Aggregate all entries for a single day, assuming that intraday interest is negligible
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sort
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$ map (\datecashes -> let (dates, cash) = unzip datecashes in (headDef (error' "Roi.hs: datecashes was null, please report a bug") dates, maSum cash))
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$ groupBy ((==) `on` fst)
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$ sortOn fst
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$ map (second maNegate)
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$ datedAmounts
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-- We are dividing the period [begin, end) into subperiods on each cashflow, and then compute
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-- the rate of return for each subperiod. For this we need to know the value of the investment
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-- at the beginning and end of each subperiod, adjusted for cashflow.
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--
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-- Subperiods are going to be [valueBefore ... (c_0,v_0)][... (c_1, v_1)][... (c_2,v_2)] ... [... (c_n,v_n)][... valueAfter]
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-- , where v_i is the value of investment computed immediately after cashflow c_i
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addEnd cflows =
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case lastMay cflows of
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Nothing -> cflows
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Just entry ->
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let end_ = addDays (-1) end in
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if twrDate entry < end_ then cflows++[TwrEntry end_ 0 valueAfter (pnlOn end_)] else cflows
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let units =
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tailDef (error' "Roi.hs units was null, please report a bug") $
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scanl
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(\(_, _, unitCost, unitBalance) (date, amt) ->
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let valueOnDate = unMix $ mixedAmountValue end date $ total trans (And [investmentsQuery, Date (DateSpan Nothing (Just $ Exact date))])
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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 = unMix amt' / unitCost
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in (valueOnDate, unitsBoughtOrSold, unitCost, unitBalance + unitsBoughtOrSold)
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Left pnl' ->
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-- PnL change
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let valueAfterDate = valueOnDate + unMix pnl'
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unitCost' =
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if unitBalance == 0 then initialUnitCost -- everything was sold, let's reset the cost to initial cost
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else valueAfterDate/unitBalance
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in (valueOnDate, 0, unitCost', unitBalance))
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(0, 0, initialUnitCost, initialUnits)
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$ dbg3 "changes" changes
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pnlOn date = unMix $ maNegate $ sum $ map snd $ filter ((==date).fst) pnls
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let finalUnitBalance = if null units then initialUnits else let (_,_,_,u) = last units in u
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finalUnitCost = if finalUnitBalance == 0 then
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if null units then initialUnitCost
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else let (_,_,lastUnitCost,_) = last units in lastUnitCost
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else (unMix valueAfter) / finalUnitBalance
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-- Technically, totalTWR should be (100*(finalUnitCost - initialUnitCost) / initialUnitCost), but initalUnitCost is 100, so 100/100 == 1
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totalTWR = roundTo 2 $ (finalUnitCost - initialUnitCost)
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twrEntries =
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dbg3 "twrEntries"
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$ addEnd
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$ concatMap (\(date,cashflow) ->
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let pnl = pnlOn date
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cash = unMix cashflow
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value_ = valueAfterDate date - pnl - cash -- valueAfterDate includes both cashflow and pnl on date, if any
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in
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-- if we had PnL postings on the same day as cashflow,
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-- we want to account for them separately. If pnl is positive, we apply pnl first, and if pnl was negative
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-- we apply cashflow first, in an attempt to avoid having negative valuations and ugly debug output (and
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-- computations as well)
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if pnl == 0 then [TwrEntry date cash (value_ + cash) 0]
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else if pnl > 0
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then [TwrEntry date 0 (value_ + pnl) pnl, TwrEntry date cash (value_ + cash + pnl) 0]
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else [TwrEntry date cash (value_ + cash) 0, TwrEntry date 0 (value_ + cash + pnl) pnl]
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) datedCashflows
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-- Calculate interest for each subperiod, adjusting the value at the start of the period by the cashflow
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-- For subperiods [valueBefore ... (c_0,v_0)][... (c_1, v_1)][... (c_2,v_2)] ... [... (c_n,v_n)][... valueAfter], the computation is going to be
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-- 1 + twr = (v_0 - c_0)/valueBefore + (v_1 - c_1) / v_0 + ... + valueAfter/v_n
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-- See https://en.wikipedia.org/wiki/Time-weighted_return#Time-weighted_return_compensating_for_external_flows
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let calculateSubPeriods _ [] = []
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calculateSubPeriods prev (curr:rest) =
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let adjustedEnd = twrValueAfter curr - twrCashflow curr in
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let subPeriodReturn =
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if twrValueAfter prev == 0 || adjustedEnd == 0
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then 1
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else adjustedEnd / (twrValueAfter prev)
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in (subPeriodReturn, (prev, curr)) : calculateSubPeriods curr rest
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let subPeriods = dbg3 "subPeriods" $ calculateSubPeriods (TwrEntry begin 0 valueBefore (pnlOn begin)) twrEntries
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-- Compute overall time-weighted rate of return
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let twr =
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dbg3 "twr" $
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if subPeriods == []
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then if valueBefore == 0 then 0 else (valueAfter - valueBefore)/valueBefore
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else (product $ map fst subPeriods) - 1
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(startYear, _, _) = toGregorian begin
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years = fromIntegral (diffDays end begin) / (if isLeapYear startYear then 366 else 365) :: Double
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annualizedTWR = 100*((1+(realToFrac totalTWR/100))**(1/years)-1) :: Double
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periodTWR = roundTo 2 $ 100 * twr
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annualizedTWR = 100*((1+(realToFrac twr))**(1/years)-1) :: Double
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when showCashFlow $ do
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printf "\nTWR cash flow for %s - %s\n" (showDate begin) (showDate (addDays (-1) end))
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let (dates', amts) = unzip changes
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cashflows' = map (fromRight nullmixedamt) amts
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pnls = map (fromLeft nullmixedamt) amts
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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 begin dates'
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cashflows = add valueBeforeAmt cashflows'
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unitsBoughtOrSold = add initialUnits unitsBoughtOrSold'
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unitPrices = add initialUnitCost unitPrices'
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unitBalances = add initialUnits unitBalances'
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TL.putStr $ Tab.render prettyTables id id T.pack
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printf "\nTWR cash flow entries and subperiod rates for period %s - %s\n" (showDate begin) (showDate (addDays (-1) end))
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let showDecimalT = T.pack . showDecimal
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let dates = map twrDate twrEntries
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TL.putStrLn $ Tab.render prettyTables id id id
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(Table
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(Tab.Group NoLine (map (Header . showDate) dates))
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(Tab.Group DoubleLine [ Tab.Group Tab.SingleLine [Tab.Header "Portfolio value", Tab.Header "Unit balance"]
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, Tab.Group Tab.SingleLine [Tab.Header "Pnl", Tab.Header "Cashflow", Tab.Header "Unit price", Tab.Header "Units"]
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, Tab.Group Tab.SingleLine [Tab.Header "New Unit Balance"]])
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[ [val, oldBalance, pnl', cashflow, prc, udelta, balance]
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| val <- map showDecimal valuesOnDate
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| oldBalance <- map showDecimal (0:unitBalances)
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| balance <- map showDecimal unitBalances
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| pnl' <- map (showMixedAmountOneLineWithoutCost False . styleAmounts styles) pnls
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| cashflow <- map (showMixedAmountOneLineWithoutCost False . styleAmounts styles) cashflows
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| prc <- map showDecimal unitPrices
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| udelta <- map showDecimal unitsBoughtOrSold ])
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(Tab.Group Tab.NoLine (map (Header . showDate) dates))
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(Tab.Group Tab.SingleLine [Header "Amount", Header "PnL on this day", Header "Value afterwards" ])
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( [ [ showDecimalT (twrCashflow e), showDecimalT (twrPnl e), showDecimalT (twrValueAfter e) ]
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| e <- twrEntries ]))
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TL.putStr $ Tab.render prettyTables T.pack id id
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(Table
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(Tab.Group Tab.NoLine [ Header (show n) | n <-[1..length subPeriods]])
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(Tab.Group DoubleLine [ Tab.Group Tab.SingleLine [Tab.Header "Subperiod start", Tab.Header "Subperiod end"]
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, Tab.Group Tab.SingleLine [Tab.Header "Value at start", Tab.Header "Cashflow", Tab.Header "PnL postings", Tab.Header "Value at end"]
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, Tab.Group Tab.SingleLine [Tab.Header "Subperiod return rate"]])
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[ [ showDate (twrDate prev), showDate (twrDate curr)
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, showDecimalT (twrValueAfter prev - twrCashflow prev), showDecimalT (twrCashflow prev), showDecimalT (twrPnl prev), showDecimalT (twrValueAfter curr - twrCashflow curr)
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, showDecimalT rate ]
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| (rate, (prev, curr)) <- subPeriods
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])
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printf "Final unit price: %s/%s units = %s\nTotal TWR: %s%%.\nPeriod: %.2f years.\nAnnualized TWR: %.2f%%\n\n"
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(showMixedAmountOneLineWithoutCost False $ styleAmounts styles valueAfter) (showDecimal finalUnitBalance) (showDecimal finalUnitCost) (showDecimal totalTWR) years annualizedTWR
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printf "Total period TWR: %s%%.\nPeriod: %.2f years.\nAnnualized TWR: %.2f%%\n\n"
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(showDecimal periodTWR) years annualizedTWR
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return ((realToFrac totalTWR) :: Double, annualizedTWR)
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return ((realToFrac periodTWR) :: Double, annualizedTWR)
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internalRateOfReturn styles showCashFlow prettyTables (OneSpan begin end valueBefore valueAfter cashFlow _pnl) = do
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let prefix = (begin, maNegate valueBefore)
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@ -170,7 +170,7 @@ $ hledger -f- roi --inv investment --pnl pnl -b 2017 -e 2018 -Q
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| 1 || 2017-01-01 | 2017-03-31 || 0 | $100 | $100 | 0 || 0.00% || 0.00% | 0.00% |
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| 2 || 2017-04-01 | 2017-06-30 || $100 | 0 | $110 | $10 || 46.56% || 10.00% | 46.56% |
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| 3 || 2017-07-01 | 2017-09-30 || $110 | $100 | $210 | 0 || 0.00% || 0.00% | 0.00% |
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| 4 || 2017-10-01 | 2017-12-31 || $210 | $-50 | $155 | $-5 || -11.83% || -3.12% | -11.82% |
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| 4 || 2017-10-01 | 2017-12-31 || $210 | $-50 | $155 | $-5 || -11.83% || -3.12% | -11.83% |
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+-------++------------+------------++---------------+----------+-------------+-----++---------++------------+----------+
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| Total || 2017-01-01 | 2017-12-31 || 0 | $150 | $155 | $5 || 3.64% || 6.56% | 6.56% |
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+-------++------------+------------++---------------+----------+-------------+-----++---------++------------+----------+
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@ -277,7 +277,7 @@ $ hledger -f - roi --inv assets:investment --pnl income:investment --value=then,
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+---++------------+------------++---------------+---------------+---------------+--------------++---------++------------+----------+
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| || Begin | End || Value (begin) | Cashflow | Value (end) | PnL || IRR || TWR/period | TWR/year |
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+===++============+============++===============+===============+===============+==============++=========++============+==========+
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| 1 || 2020-12-02 | 2021-01-02 || 0 | $131.23359580 | $148.89009204 | $17.65649624 || 321.99% || 13.45% | 323.47% |
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| 1 || 2020-12-02 | 2021-01-02 || 0 | $131.23359580 | $148.89009204 | $17.65649624 || 321.99% || 13.45% | 323.66% |
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+---++------------+------------++---------------+---------------+---------------+--------------++---------++------------+----------+
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>=
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@ -376,7 +376,7 @@ P 2023-01-01 C 1B
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P 2023-12-31 C 2B
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$ hledger -f - roi --inv investment --pnl income --value='end,B' -b2023 -e2024
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$ hledger -f - roi --inv investment --pnl income --value='then,B' -b2023 -e2024
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+---++------------+------------++---------------+----------+-------------+-----++--------++------------+----------+
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| || Begin | End || Value (begin) | Cashflow | Value (end) | PnL || IRR || TWR/period | TWR/year |
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+===++============+============++===============+==========+=============+=====++========++============+==========+
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@ -384,3 +384,32 @@ $ hledger -f - roi --inv investment --pnl income --value='end,B' -b2023 -e2024
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+---++------------+------------++---------------+----------+-------------+-----++--------++------------+----------+
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>= 0
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# ** 16. Correcly process dates with just pricing changes
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<
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D 1,000.00 EUR
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2018-07-01 investment
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assets:bank
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investments:iShares Core MSCI World 1 "IE00B4L5Y983"
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P 2018-12-28 "IE00B4L5Y983" 43.11000000 "EUR"
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P 2019-06-28 "IE00B4L5Y983" 50.93000000 "EUR"
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2019-07-01 investment
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assets:bank
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investments:iShares Core MSCI World 10 "IE00B4L5Y983"
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P 2019-12-30 "IE00B4L5Y983" 56.59000000 "EUR"
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$ hledger -f - roi --value then --begin 2019 --end 2020 --inv investmen --pnl '"profit and loss"' -p 'every 2 quarters'
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+-------++------------+------------++---------------+------------+-------------+-----------++--------++------------+----------+
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| || Begin | End || Value (begin) | Cashflow | Value (end) | PnL || IRR || TWR/period | TWR/year |
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+=======++============+============++===============+============+=============+===========++========++============+==========+
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| 1 || 2019-01-01 | 2019-06-30 || 43.11 EUR | 0 | 50.93 EUR | 7.82 EUR || 39.96% || 18.14% | 39.96% |
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| 2 || 2019-07-01 | 2019-12-31 || 50.93 EUR | 509.30 EUR | 622.49 EUR | 62.26 EUR || 23.25% || 11.11% | 23.25% |
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+-------++------------+------------++---------------+------------+-------------+-----------++--------++------------+----------+
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| Total || 2019-01-01 | 2019-12-31 || 43.11 EUR | 509.30 EUR | 622.49 EUR | 70.08 EUR || 24.51% || 31.27% | 31.27% |
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+-------++------------+------------++---------------+------------+-------------+-----------++--------++------------+----------+
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>= 0
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