lib: roi: fix a bug with PnL attributed to the wrong period (fixes #2391)
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Dmitry Astapov
Simon Michael
parent
8b027a48e8
commit
f38bc34d35
@ -25,7 +25,7 @@ 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, lastMay)
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import Safe (headDef)
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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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@ -175,7 +175,7 @@ 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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-- 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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data TwrPeriod = TwrPeriod { twrStartDate :: Day, twrEndDate :: Day, twrStartValue :: Decimal, twrValueBeforeCashflow :: Decimal, twrPnl :: Decimal, twrCashflow :: Decimal, twrValueAfterCashflow :: 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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@ -188,8 +188,8 @@ timeWeightedReturn _styles showCashFlow prettyTables investmentsQuery trans mixe
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$ map (second maNegate)
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$ cashflows
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valueBefore = unMix valueBeforeAmt
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valueAfter = unMix valueAfterAmt
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valueBefore = dbg3 ("value at the start of the interval, "++show begin) $ unMix valueBeforeAmt
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valueAfter = dbg3 ("value at the end of the interval, "++show end) $ unMix valueAfterAmt
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investmentPostings = concatMap (filter (matchesPosting investmentsQuery) . realPostings) trans
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@ -198,60 +198,51 @@ timeWeightedReturn _styles showCashFlow prettyTables investmentsQuery trans mixe
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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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-- 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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pnlOn date = unMix $ maNegate $ sum $ map snd $ filter ((==date).fst) pnls
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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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-- 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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--
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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 calculateSubPeriods (startDate,startValue) [] =
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let subPeriodReturn =
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if startValue == 0 || valueAfter == 0
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then 0
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else valueAfter/startValue - 1
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in
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[(subPeriodReturn, TwrPeriod startDate end startValue valueAfter 0 0 valueAfter)]
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calculateSubPeriods (startDate,startValue) ((date,cashflow):rest) =
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let (valueBeforeCashflow, valueAfterCashflow, pnl) =
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let valueAfterPrevDay = valueAfterDate (addDays (-1) date)
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pnlOnDay = pnlOn date
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in
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-- If value was zero at the start of the period, then any PnL on cashflow date would accrue after it, not before.
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-- If there was some value already, we can assume that PnL contributes to this period's rate
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if startValue == 0
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then (valueAfterPrevDay, valueAfterDate date - pnlOnDay, 0)
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else (valueAfterPrevDay + pnl, valueAfterDate date, pnlOnDay)
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subPeriodReturn =
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if valueBeforeCashflow == 0 || startValue == 0
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then 0
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else (valueBeforeCashflow / startValue) - 1
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in
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(subPeriodReturn, (TwrPeriod startDate date startValue valueBeforeCashflow pnl (unMix cashflow) valueAfterCashflow)) : calculateSubPeriods (date,valueAfterCashflow) rest
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let subPeriods = dbg3 "subPeriods" $ calculateSubPeriods (TwrEntry begin 0 valueBefore (pnlOn begin)) twrEntries
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let subPeriods = dbg3 "subPeriods" $ calculateSubPeriods (begin,valueBefore) datedCashflows
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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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else foldl (\acc periodRate -> (1+acc)*(1+periodRate)-1) 0 (map fst subPeriods)
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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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periodTWR = roundTo 2 $ 100 * twr
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@ -260,24 +251,16 @@ timeWeightedReturn _styles showCashFlow prettyTables investmentsQuery trans mixe
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when showCashFlow $ do
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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 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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(Tab.Group DoubleLine [ Tab.Group Tab.SingleLine [Tab.Header "Subperiod start", Tab.Header "Cashflow date"]
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, Tab.Group Tab.SingleLine [Tab.Header "Value at start", Tab.Header "Value before cashflow (inc PnL)", Tab.Header "PnL on day", Tab.Header "Cashflow", Tab.Header "Value after cashflow"]
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, Tab.Group Tab.SingleLine [Tab.Header "Subperiod rate, %"]])
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[ [ showDate (twrStartDate sp), showDate (twrEndDate sp)
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, showDecimalT (twrStartValue sp), showDecimalT (twrValueBeforeCashflow sp), showDecimalT (twrPnl sp), showDecimalT (twrCashflow sp), showDecimalT (twrValueAfterCashflow sp)
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, showDecimalT (roundTo 2 (100*rate)) ]
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| (rate, sp) <- subPeriods
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])
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printf "Total period TWR: %s%%.\nPeriod: %.2f years.\nAnnualized TWR: %.2f%%\n\n"
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@ -413,3 +413,33 @@ $ hledger -f - roi --value then --begin 2019 --end 2020 --inv investmen --pnl '"
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+-------++------------+------------++---------------+------------+-------------+-----------++--------++------------+----------+
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>= 0
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# ** 17. Avoids fencepost problem when allocating PnL to periods
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<
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commodity 1,000.00 CHF
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P 2024-11-07 A 1 CHF
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P 2024-11-08 B 1 CHF
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2024-11-07 buying A
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assets -20 CHF
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investments:A 20 A @@ 20 CHF
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2024-11-26 buying B
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assets -20000 CHF
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investments:B 19986 B @@ 20000 CHF
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P 2024-12-31 B 1.0018 CHF
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$ hledger -f - roi -M -b 2024-10-01 -e 2024-12-31 --value then,CHF --inv '"investments:"' --pnl STR
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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 || 2024-10-01 | 2024-10-31 || 0 | 0 | 0 | 0 || 0.00% || 0.00% | 0.00% |
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| 2 || 2024-11-01 | 2024-11-30 || 0 | 20,020.00 CHF | 20,006.00 CHF | -14.00 CHF || -4.96% || 0.00% | 0.00% |
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| 3 || 2024-12-01 | 2024-12-31 || 20,006.00 CHF | 0 | 20,041.97 CHF | 35.97 CHF || 2.14% || 0.18% | 2.14% |
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+-------++------------+------------++---------------+---------------+---------------+------------++--------++------------+----------+
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| Total || 2024-10-01 | 2024-12-31 || 0 | 20,020.00 CHF | 20,041.97 CHF | 21.97 CHF || 1.12% || 0.18% | 0.72% |
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+-------++------------+------------++---------------+---------------+---------------+------------++--------++------------+----------+
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>= 0
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