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lib: roi: fix a bug with PnL attributed to the wrong period (fixes #2391)

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Dmitry Astapov 2025-05-25 20:38:28 +01:00 committed by Simon Michael
parent 8b027a48e8
commit f38bc34d35
2 changed files with 73 additions and 60 deletions
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103
hledger/Hledger/Cli/Commands/Roi.hs
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@ -25,7 +25,7 @@ import Numeric.RootFinding
import Data.Decimal import Data.Decimal
import qualified Data.Text as T import qualified Data.Text as T
import qualified Data.Text.Lazy.IO as TL import qualified Data.Text.Lazy.IO as TL
import Safe (headDef, lastMay) import Safe (headDef)
import System.Console.CmdArgs.Explicit as CmdArgs import System.Console.CmdArgs.Explicit as CmdArgs
import Text.Tabular.AsciiWide as Tab import Text.Tabular.AsciiWide as Tab
@ -175,7 +175,7 @@ roi CliOpts{rawopts_=rawopts, reportspec_=rspec@ReportSpec{_rsReportOpts=ReportO
TL.putStrLn $ Tab.render prettyTables id id id table TL.putStrLn $ Tab.render prettyTables id id id table
-- Entry for TWR computation, capturing all cashflows that are potentially accompanied by pnl change on the same day (if not, it is zero) -- Entry for TWR computation, capturing all cashflows that are potentially accompanied by pnl change on the same day (if not, it is zero)
data TwrEntry = TwrEntry { twrDate :: Day, twrCashflow :: Decimal, twrValueAfter :: Decimal, twrPnl :: Decimal } deriving (Eq, Show) data TwrPeriod = TwrPeriod { twrStartDate :: Day, twrEndDate :: Day, twrStartValue :: Decimal, twrValueBeforeCashflow :: Decimal, twrPnl :: Decimal, twrCashflow :: Decimal, twrValueAfterCashflow :: Decimal } deriving (Eq, Show)
timeWeightedReturn _styles showCashFlow prettyTables investmentsQuery trans mixedAmountValue (OneSpan begin end valueBeforeAmt valueAfterAmt cashflows pnls) = do timeWeightedReturn _styles showCashFlow prettyTables investmentsQuery trans mixedAmountValue (OneSpan begin end valueBeforeAmt valueAfterAmt cashflows pnls) = do
let datedCashflows = let datedCashflows =
@ -188,8 +188,8 @@ timeWeightedReturn _styles showCashFlow prettyTables investmentsQuery trans mixe
$ map (second maNegate) $ map (second maNegate)
$ cashflows $ cashflows
valueBefore = unMix valueBeforeAmt valueBefore = dbg3 ("value at the start of the interval, "++show begin) $ unMix valueBeforeAmt
valueAfter = unMix valueAfterAmt valueAfter = dbg3 ("value at the end of the interval, "++show end) $ unMix valueAfterAmt
investmentPostings = concatMap (filter (matchesPosting investmentsQuery) . realPostings) trans investmentPostings = concatMap (filter (matchesPosting investmentsQuery) . realPostings) trans
@ -198,60 +198,51 @@ timeWeightedReturn _styles showCashFlow prettyTables investmentsQuery trans mixe
-- filter span is (-infinity, date+1), which gives us effectively (-infinity, date] -- filter span is (-infinity, date+1), which gives us effectively (-infinity, date]
valueAfterDate date = unMix $ mixedAmountValue end date $ totalInvestmentPostingsTill (addDays 1 date) valueAfterDate date = unMix $ mixedAmountValue end date $ totalInvestmentPostingsTill (addDays 1 date)
-- We are dividing the period [begin, end) into subperiods on each cashflow, and then compute
-- the rate of return for each subperiod. For this we need to know the value of the investment
-- at the beginning and end of each subperiod, adjusted for cashflow.
--
-- Subperiods are going to be [valueBefore ... (c_0,v_0)][... (c_1, v_1)][... (c_2,v_2)] ... [... (c_n,v_n)][... valueAfter]
-- , where v_i is the value of investment computed immediately after cashflow c_i
addEnd cflows =
case lastMay cflows of
Nothing -> cflows
Just entry ->
let end_ = addDays (-1) end in
if twrDate entry < end_ then cflows++[TwrEntry end_ 0 valueAfter (pnlOn end_)] else cflows
pnlOn date = unMix $ maNegate $ sum $ map snd $ filter ((==date).fst) pnls pnlOn date = unMix $ maNegate $ sum $ map snd $ filter ((==date).fst) pnls
twrEntries = -- We are dividing the period [begin, end) into subperiods on each cashflow, and then compute
dbg3 "twrEntries" -- the rate of return for each subperiod. For this we need to know the value of the investment
$ addEnd -- at the beginning and end of each subperiod, adjusted for cashflow.
$ concatMap (\(date,cashflow) -> --
let pnl = pnlOn date -- Subperiods are going to be [valueBefore ... (c_0,v_0)][... (c_1, v_1)][... (c_2,v_2)] ... [... (c_n,v_n)][... valueAfter]
cash = unMix cashflow -- , where v_i is the value of investment computed immediately after cashflow c_i
value_ = valueAfterDate date - pnl - cash -- valueAfterDate includes both cashflow and pnl on date, if any --
in
-- if we had PnL postings on the same day as cashflow,
-- we want to account for them separately. If pnl is positive, we apply pnl first, and if pnl was negative
-- we apply cashflow first, in an attempt to avoid having negative valuations and ugly debug output (and
-- computations as well)
if pnl == 0 then [TwrEntry date cash (value_ + cash) 0]
else if pnl > 0
then [TwrEntry date 0 (value_ + pnl) pnl, TwrEntry date cash (value_ + cash + pnl) 0]
else [TwrEntry date cash (value_ + cash) 0, TwrEntry date 0 (value_ + cash + pnl) pnl]
) datedCashflows
-- Calculate interest for each subperiod, adjusting the value at the start of the period by the cashflow -- Calculate interest for each subperiod, adjusting the value at the start of the period by the cashflow
-- 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 -- 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
-- 1 + twr = (v_0 - c_0)/valueBefore + (v_1 - c_1) / v_0 + ... + valueAfter/v_n -- 1 + twr = (v_0 - c_0)/valueBefore + (v_1 - c_1) / v_0 + ... + valueAfter/v_n
-- See https://en.wikipedia.org/wiki/Time-weighted_return#Time-weighted_return_compensating_for_external_flows -- See https://en.wikipedia.org/wiki/Time-weighted_return#Time-weighted_return_compensating_for_external_flows
let calculateSubPeriods _ [] = [] let calculateSubPeriods (startDate,startValue) [] =
calculateSubPeriods prev (curr:rest) = let subPeriodReturn =
let adjustedEnd = twrValueAfter curr - twrCashflow curr in if startValue == 0 || valueAfter == 0
let subPeriodReturn = then 0
if twrValueAfter prev == 0 || adjustedEnd == 0 else valueAfter/startValue - 1
then 1 in
else adjustedEnd / (twrValueAfter prev) [(subPeriodReturn, TwrPeriod startDate end startValue valueAfter 0 0 valueAfter)]
in (subPeriodReturn, (prev, curr)) : calculateSubPeriods curr rest calculateSubPeriods (startDate,startValue) ((date,cashflow):rest) =
let (valueBeforeCashflow, valueAfterCashflow, pnl) =
let valueAfterPrevDay = valueAfterDate (addDays (-1) date)
pnlOnDay = pnlOn date
in
-- If value was zero at the start of the period, then any PnL on cashflow date would accrue after it, not before.
-- If there was some value already, we can assume that PnL contributes to this period's rate
if startValue == 0
then (valueAfterPrevDay, valueAfterDate date - pnlOnDay, 0)
else (valueAfterPrevDay + pnl, valueAfterDate date, pnlOnDay)
subPeriodReturn =
if valueBeforeCashflow == 0 || startValue == 0
then 0
else (valueBeforeCashflow / startValue) - 1
in
(subPeriodReturn, (TwrPeriod startDate date startValue valueBeforeCashflow pnl (unMix cashflow) valueAfterCashflow)) : calculateSubPeriods (date,valueAfterCashflow) rest
let subPeriods = dbg3 "subPeriods" $ calculateSubPeriods (TwrEntry begin 0 valueBefore (pnlOn begin)) twrEntries let subPeriods = dbg3 "subPeriods" $ calculateSubPeriods (begin,valueBefore) datedCashflows
-- Compute overall time-weighted rate of return -- Compute overall time-weighted rate of return
let twr = let twr =
dbg3 "twr" $ dbg3 "twr" $
if subPeriods == [] if subPeriods == []
then if valueBefore == 0 then 0 else (valueAfter - valueBefore)/valueBefore then if valueBefore == 0 then 0 else (valueAfter - valueBefore)/valueBefore
else (product $ map fst subPeriods) - 1 else foldl (\acc periodRate -> (1+acc)*(1+periodRate)-1) 0 (map fst subPeriods)
(startYear, _, _) = toGregorian begin (startYear, _, _) = toGregorian begin
years = fromIntegral (diffDays end begin) / (if isLeapYear startYear then 366 else 365) :: Double years = fromIntegral (diffDays end begin) / (if isLeapYear startYear then 366 else 365) :: Double
periodTWR = roundTo 2 $ 100 * twr periodTWR = roundTo 2 $ 100 * twr
@ -260,24 +251,16 @@ timeWeightedReturn _styles showCashFlow prettyTables investmentsQuery trans mixe
when showCashFlow $ do when showCashFlow $ do
printf "\nTWR cash flow entries and subperiod rates for period %s - %s\n" (showDate begin) (showDate (addDays (-1) end)) printf "\nTWR cash flow entries and subperiod rates for period %s - %s\n" (showDate begin) (showDate (addDays (-1) end))
let showDecimalT = T.pack . showDecimal let showDecimalT = T.pack . showDecimal
let dates = map twrDate twrEntries
TL.putStrLn $ Tab.render prettyTables id id id
(Table
(Tab.Group Tab.NoLine (map (Header . showDate) dates))
(Tab.Group Tab.SingleLine [Header "Amount", Header "PnL on this day", Header "Value afterwards" ])
( [ [ showDecimalT (twrCashflow e), showDecimalT (twrPnl e), showDecimalT (twrValueAfter e) ]
| e <- twrEntries ]))
TL.putStr $ Tab.render prettyTables T.pack id id TL.putStr $ Tab.render prettyTables T.pack id id
(Table (Table
(Tab.Group Tab.NoLine [ Header (show n) | n <-[1..length subPeriods]]) (Tab.Group Tab.NoLine [ Header (show n) | n <-[1..length subPeriods]])
(Tab.Group DoubleLine [ Tab.Group Tab.SingleLine [Tab.Header "Subperiod start", Tab.Header "Subperiod end"] (Tab.Group DoubleLine [ Tab.Group Tab.SingleLine [Tab.Header "Subperiod start", Tab.Header "Cashflow date"]
, Tab.Group Tab.SingleLine [Tab.Header "Value at start", Tab.Header "Cashflow", Tab.Header "PnL postings", Tab.Header "Value at end"] , 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"]
, Tab.Group Tab.SingleLine [Tab.Header "Subperiod return rate"]]) , Tab.Group Tab.SingleLine [Tab.Header "Subperiod rate, %"]])
[ [ showDate (twrDate prev), showDate (twrDate curr) [ [ showDate (twrStartDate sp), showDate (twrEndDate sp)
, showDecimalT (twrValueAfter prev - twrCashflow prev), showDecimalT (twrCashflow prev), showDecimalT (twrPnl prev), showDecimalT (twrValueAfter curr - twrCashflow curr) , showDecimalT (twrStartValue sp), showDecimalT (twrValueBeforeCashflow sp), showDecimalT (twrPnl sp), showDecimalT (twrCashflow sp), showDecimalT (twrValueAfterCashflow sp)
, showDecimalT rate ] , showDecimalT (roundTo 2 (100*rate)) ]
| (rate, (prev, curr)) <- subPeriods | (rate, sp) <- subPeriods
]) ])
printf "Total period TWR: %s%%.\nPeriod: %.2f years.\nAnnualized TWR: %.2f%%\n\n" printf "Total period TWR: %s%%.\nPeriod: %.2f years.\nAnnualized TWR: %.2f%%\n\n"

30
hledger/test/roi.test
View File

@ -413,3 +413,33 @@ $ hledger -f - roi --value then --begin 2019 --end 2020 --inv investmen --pnl '"
+-------++------------+------------++---------------+------------+-------------+-----------++--------++------------+----------+ +-------++------------+------------++---------------+------------+-------------+-----------++--------++------------+----------+
>= 0 >= 0
# ** 17. Avoids fencepost problem when allocating PnL to periods
<
commodity 1,000.00 CHF
P 2024-11-07 A 1 CHF
P 2024-11-08 B 1 CHF
2024-11-07 buying A
assets -20 CHF
investments:A 20 A @@ 20 CHF
2024-11-26 buying B
assets -20000 CHF
investments:B 19986 B @@ 20000 CHF
P 2024-12-31 B 1.0018 CHF
$ hledger -f - roi -M -b 2024-10-01 -e 2024-12-31 --value then,CHF --inv '"investments:"' --pnl STR
+-------++------------+------------++---------------+---------------+---------------+------------++--------++------------+----------+
| || Begin | End || Value (begin) | Cashflow | Value (end) | PnL || IRR || TWR/period | TWR/year |
+=======++============+============++===============+===============+===============+============++========++============+==========+
| 1 || 2024-10-01 | 2024-10-31 || 0 | 0 | 0 | 0 || 0.00% || 0.00% | 0.00% |
| 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% |
| 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% |
+-------++------------+------------++---------------+---------------+---------------+------------++--------++------------+----------+
| 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% |
+-------++------------+------------++---------------+---------------+---------------+------------++--------++------------+----------+
>= 0