421 lines
20 KiB
Haskell
421 lines
20 KiB
Haskell
{-|
|
|
|
|
Convert amounts to some related value in various ways. This involves
|
|
looking up historical market prices (exchange rates) between commodities.
|
|
|
|
-}
|
|
|
|
{-# LANGUAGE NamedFieldPuns #-}
|
|
{-# LANGUAGE OverloadedStrings #-}
|
|
{-# LANGUAGE RecordWildCards #-}
|
|
{-# LANGUAGE ScopedTypeVariables #-}
|
|
{-# LANGUAGE DeriveDataTypeable, DeriveGeneric #-}
|
|
|
|
module Hledger.Data.Valuation (
|
|
ValuationType(..)
|
|
,PriceOracle
|
|
,journalPriceOracle
|
|
,unsupportedValueThenError
|
|
-- ,amountApplyValuation
|
|
-- ,amountValueAtDate
|
|
,mixedAmountApplyValuation
|
|
,mixedAmountValueAtDate
|
|
,marketPriceReverse
|
|
,priceDirectiveToMarketPrice
|
|
-- ,priceLookup
|
|
,tests_Valuation
|
|
)
|
|
where
|
|
|
|
import Control.Applicative ((<|>))
|
|
import Control.DeepSeq (NFData)
|
|
import Data.Data
|
|
import Data.Decimal (roundTo)
|
|
import Data.Function ((&), on)
|
|
import Data.Graph.Inductive (Gr, Node, NodeMap, mkMapGraph, mkNode, lab, out, sp)
|
|
import Data.List
|
|
import Data.List.Extra (nubSortBy)
|
|
import qualified Data.Map as M
|
|
import Data.Maybe
|
|
import qualified Data.Text as T
|
|
import Data.Time.Calendar (Day)
|
|
import Data.MemoUgly (memo)
|
|
import GHC.Generics (Generic)
|
|
import Safe (headMay)
|
|
|
|
import Hledger.Utils
|
|
import Hledger.Data.Types
|
|
import Hledger.Data.Amount
|
|
import Hledger.Data.Dates (parsedate)
|
|
|
|
|
|
------------------------------------------------------------------------------
|
|
-- Types
|
|
|
|
-- | What kind of value conversion should be done on amounts ?
|
|
-- CLI: --value=cost|then|end|now|DATE[,COMM]
|
|
data ValuationType =
|
|
AtCost (Maybe CommoditySymbol) -- ^ convert to cost commodity using transaction prices, then optionally to given commodity using market prices at posting date
|
|
| AtThen (Maybe CommoditySymbol) -- ^ convert to default or given valuation commodity, using market prices at each posting's date
|
|
| AtEnd (Maybe CommoditySymbol) -- ^ convert to default or given valuation commodity, using market prices at period end(s)
|
|
| AtNow (Maybe CommoditySymbol) -- ^ convert to default or given valuation commodity, using current market prices
|
|
| AtDate Day (Maybe CommoditySymbol) -- ^ convert to default or given valuation commodity, using market prices on some date
|
|
| AtDefault (Maybe CommoditySymbol) -- ^ works like AtNow in single period reports, like AtEnd in multiperiod reports
|
|
deriving (Show,Data,Eq) -- Typeable
|
|
|
|
-- | A snapshot of the known exchange rates between commodity pairs at a given date,
|
|
-- as a graph allowing fast lookup and path finding, along with some helper data.
|
|
data PriceGraph = PriceGraph {
|
|
prGraph :: Gr CommoditySymbol Quantity
|
|
-- ^ A directed graph of exchange rates between commodity pairs.
|
|
-- Node labels are commodities and edge labels are exchange rates,
|
|
-- which were either:
|
|
-- declared by P directives,
|
|
-- inferred from transaction prices,
|
|
-- inferred by reversing a declared rate,
|
|
-- or inferred by reversing a transaction-inferred rate.
|
|
-- There will be at most one edge between each directed pair of commodities,
|
|
-- eg there can be one USD->EUR and one EUR->USD.
|
|
,prNodemap :: NodeMap CommoditySymbol
|
|
-- ^ Mapping of graph node ids to commodity symbols.
|
|
,prDefaultValuationCommodities :: M.Map CommoditySymbol CommoditySymbol
|
|
-- ^ The default valuation commodity for each source commodity.
|
|
-- These are used when a valuation commodity is not specified
|
|
-- (-V). They are the destination commodity of the latest
|
|
-- (declared or inferred, but not reverse) each
|
|
-- source commodity's latest market price (on the date of this
|
|
-- graph).
|
|
}
|
|
deriving (Show,Generic)
|
|
|
|
instance NFData PriceGraph
|
|
|
|
-- | A price oracle is a magic memoising function that efficiently
|
|
-- looks up market prices (exchange rates) from one commodity to
|
|
-- another (or if unspecified, to a default valuation commodity) on a
|
|
-- given date.
|
|
type PriceOracle = (Day, CommoditySymbol, Maybe CommoditySymbol) -> Maybe (CommoditySymbol, Quantity)
|
|
|
|
-- | Generate a price oracle (memoising price lookup function) from a
|
|
-- journal's directive-declared and transaction-inferred market
|
|
-- prices. For best performance, generate this only once per journal,
|
|
-- reusing it across reports if there are more than one, as
|
|
-- compoundBalanceCommand does.
|
|
-- The boolean argument is whether to infer market prices from
|
|
-- transactions or not.
|
|
journalPriceOracle :: Bool -> Journal -> PriceOracle
|
|
journalPriceOracle infer Journal{jpricedirectives, jinferredmarketprices} =
|
|
let
|
|
declaredprices = map priceDirectiveToMarketPrice jpricedirectives
|
|
inferredprices = if infer then jinferredmarketprices else []
|
|
makepricegraph = memo $ makePriceGraph declaredprices inferredprices
|
|
in
|
|
memo $ uncurry3 $ priceLookup makepricegraph
|
|
|
|
priceDirectiveToMarketPrice :: PriceDirective -> MarketPrice
|
|
priceDirectiveToMarketPrice PriceDirective{..} =
|
|
MarketPrice{ mpdate = pddate
|
|
, mpfrom = pdcommodity
|
|
, mpto = acommodity pdamount
|
|
, mprate = aquantity pdamount
|
|
}
|
|
|
|
------------------------------------------------------------------------------
|
|
-- Converting things to value
|
|
|
|
-- | Apply a specified valuation to this mixed amount, using the
|
|
-- provided price oracle, commodity styles, reference dates, and
|
|
-- whether this is for a multiperiod report or not.
|
|
-- See amountApplyValuation.
|
|
mixedAmountApplyValuation :: PriceOracle -> M.Map CommoditySymbol AmountStyle -> Day -> Maybe Day -> Day -> Bool -> ValuationType -> MixedAmount -> MixedAmount
|
|
mixedAmountApplyValuation priceoracle styles periodlast mreportlast today ismultiperiod v (Mixed as) =
|
|
Mixed $ map (amountApplyValuation priceoracle styles periodlast mreportlast today ismultiperiod v) as
|
|
|
|
-- | Apply a specified valuation to this amount, using the provided
|
|
-- price oracle, reference dates, and whether this is for a
|
|
-- multiperiod report or not. Also fix up its display style using the
|
|
-- provided commodity styles.
|
|
--
|
|
-- When the valuation requires converting to another commodity, a
|
|
-- valuation (conversion) date is chosen based on the valuation type,
|
|
-- the provided reference dates, and whether this is for a
|
|
-- single-period or multi-period report. It will be one of:
|
|
--
|
|
-- - a fixed date specified by the ValuationType itself
|
|
-- (--value=DATE).
|
|
--
|
|
-- - the provided "period end" date - this is typically the last day
|
|
-- of a subperiod (--value=end with a multi-period report), or of
|
|
-- the specified report period or the journal (--value=end with a
|
|
-- single-period report).
|
|
--
|
|
-- - the provided "report end" date - the last day of the specified
|
|
-- report period, if any (-V/-X with a report end date).
|
|
--
|
|
-- - the provided "today" date - (--value=now, or -V/X with no report
|
|
-- end date).
|
|
--
|
|
-- Note --value=then is not supported by this function, and will cause an error;
|
|
-- use postingApplyValuation for that.
|
|
--
|
|
-- This is all a bit complicated. See the reference doc at
|
|
-- https://hledger.org/hledger.html#effect-of-valuation-on-reports
|
|
-- (hledger_options.m4.md "Effect of valuation on reports"), and #1083.
|
|
--
|
|
amountApplyValuation :: PriceOracle -> M.Map CommoditySymbol AmountStyle -> Day -> Maybe Day -> Day -> Bool -> ValuationType -> Amount -> Amount
|
|
amountApplyValuation priceoracle styles periodlast mreportlast today ismultiperiod v a =
|
|
case v of
|
|
AtCost Nothing -> styleAmount styles $ amountCost a
|
|
AtCost mc -> amountValueAtDate priceoracle styles mc periodlast $ styleAmount styles $ amountCost a
|
|
AtThen _mc -> error' unsupportedValueThenError -- TODO
|
|
-- amountValueAtDate priceoracle styles mc periodlast a -- posting date unknown, handle like AtEnd
|
|
AtEnd mc -> amountValueAtDate priceoracle styles mc periodlast a
|
|
AtNow mc -> amountValueAtDate priceoracle styles mc today a
|
|
AtDefault mc | ismultiperiod -> amountValueAtDate priceoracle styles mc periodlast a
|
|
AtDefault mc -> amountValueAtDate priceoracle styles mc (fromMaybe today mreportlast) a
|
|
AtDate d mc -> amountValueAtDate priceoracle styles mc d a
|
|
|
|
-- | Standard error message for a report not supporting --value=then.
|
|
unsupportedValueThenError :: String
|
|
unsupportedValueThenError = "Sorry, --value=then is not yet implemented for this kind of report."
|
|
|
|
-- | Find the market value of each component amount in the given
|
|
-- commodity, or its default valuation commodity, at the given
|
|
-- valuation date, using the given market price oracle.
|
|
-- When market prices available on that date are not sufficient to
|
|
-- calculate the value, amounts are left unchanged.
|
|
mixedAmountValueAtDate :: PriceOracle -> M.Map CommoditySymbol AmountStyle -> Maybe CommoditySymbol -> Day -> MixedAmount -> MixedAmount
|
|
mixedAmountValueAtDate priceoracle styles mc d (Mixed as) = Mixed $ map (amountValueAtDate priceoracle styles mc d) as
|
|
|
|
-- | Find the market value of this amount in the given valuation
|
|
-- commodity if any, otherwise the default valuation commodity, at the
|
|
-- given valuation date. (The default valuation commodity is the
|
|
-- commodity of the latest applicable market price before the
|
|
-- valuation date.)
|
|
--
|
|
-- The returned amount will have its commodity's canonical style applied,
|
|
-- but with the precision adjusted to show all significant decimal digits
|
|
-- up to a maximum of 8. (experimental)
|
|
--
|
|
-- If the market prices available on that date are not sufficient to
|
|
-- calculate this value, the amount is left unchanged.
|
|
amountValueAtDate :: PriceOracle -> M.Map CommoditySymbol AmountStyle -> Maybe CommoditySymbol -> Day -> Amount -> Amount
|
|
amountValueAtDate priceoracle styles mto d a =
|
|
case priceoracle (d, acommodity a, mto) of
|
|
Nothing -> a
|
|
Just (comm, rate) ->
|
|
-- setNaturalPrecisionUpTo 8 $ -- XXX force higher precision in case amount appears to be zero ?
|
|
-- Make default display style use precision 2 instead of 0 ?
|
|
-- Leave as is for now; mentioned in manual.
|
|
styleAmount styles
|
|
amount{acommodity=comm, aquantity=rate * aquantity a}
|
|
|
|
------------------------------------------------------------------------------
|
|
-- Market price lookup
|
|
|
|
-- | Given a memoising price graph generator, a valuation date, a
|
|
-- source commodity and an optional valuation commodity, find the
|
|
-- value on that date of one unit of the source commodity in the
|
|
-- valuation commodity, or in a default valuation commodity. Returns
|
|
-- the valuation commodity that was specified or chosen, and the
|
|
-- quantity of it that one unit of the source commodity is worth. Or
|
|
-- if no applicable market price can be found or calculated, or if the
|
|
-- source commodity and the valuation commodity are the same, returns
|
|
-- Nothing.
|
|
--
|
|
-- See makePriceGraph for how prices are determined.
|
|
-- Note that both market prices and default valuation commodities can
|
|
-- vary with valuation date, since that determines which market prices
|
|
-- are visible.
|
|
--
|
|
priceLookup :: (Day -> PriceGraph) -> Day -> CommoditySymbol -> Maybe CommoditySymbol -> Maybe (CommoditySymbol, Quantity)
|
|
priceLookup makepricegraph d from mto =
|
|
-- trace ("priceLookup ("++show d++", "++show from++", "++show mto++")") $
|
|
let
|
|
-- build a graph of the commodity exchange rates in effect on this day
|
|
-- XXX should hide these fgl details better
|
|
PriceGraph{prGraph=g, prNodemap=m, prDefaultValuationCommodities=defaultdests} =
|
|
traceAt 1 ("valuation date: "++show d) $ makepricegraph d
|
|
fromnode = node m from
|
|
mto' = mto <|> mdefaultto
|
|
where
|
|
mdefaultto = dbg1 ("default valuation commodity for "++T.unpack from) $
|
|
M.lookup from defaultdests
|
|
in
|
|
case mto' of
|
|
Nothing -> Nothing
|
|
Just to | to==from -> Nothing
|
|
Just to ->
|
|
-- We have a commodity to convert to. Find the most direct price available.
|
|
case mindirectprice of
|
|
Nothing -> Nothing
|
|
Just q -> Just (to, q)
|
|
where
|
|
tonode = node m to
|
|
mindirectprice :: Maybe Quantity =
|
|
-- Find the shortest path, if any, between from and to.
|
|
case sp fromnode tonode g :: Maybe [Node] of
|
|
Nothing -> Nothing
|
|
Just nodes ->
|
|
dbg ("market price for "++intercalate " -> " (map T.unpack comms)) $
|
|
-- TODO: it would be nice to include price date as part of the label
|
|
-- in PriceGraph, so we could show the dates of market prices here
|
|
Just $ product $ pathEdgeLabels g nodes -- convert to a single exchange rate
|
|
where comms = catMaybes $ map (lab g) nodes
|
|
|
|
-- log a message and a Maybe Quantity, hiding Just/Nothing and limiting decimal places
|
|
dbg msg = dbg1With (((msg++": ")++) . maybe "" (show . roundTo 8))
|
|
|
|
tests_priceLookup =
|
|
let
|
|
d = parsedate
|
|
p date from q to = MarketPrice{mpdate=d date, mpfrom=from, mpto=to, mprate=q}
|
|
ps1 = [
|
|
p "2000/01/01" "A" 10 "B"
|
|
,p "2000/01/01" "B" 10 "C"
|
|
,p "2000/01/01" "C" 10 "D"
|
|
,p "2000/01/01" "E" 2 "D"
|
|
,p "2001/01/01" "A" 11 "B"
|
|
]
|
|
makepricegraph = makePriceGraph ps1 []
|
|
in test "priceLookup" $ do
|
|
priceLookup makepricegraph (d "1999/01/01") "A" Nothing @?= Nothing
|
|
priceLookup makepricegraph (d "2000/01/01") "A" Nothing @?= Just ("B",10)
|
|
priceLookup makepricegraph (d "2000/01/01") "B" (Just "A") @?= Just ("A",0.1)
|
|
priceLookup makepricegraph (d "2000/01/01") "A" (Just "E") @?= Just ("E",500)
|
|
|
|
-- | Build the graph of commodity conversion prices for a given day.
|
|
-- Converts a list of declared market prices in parse order, and a
|
|
-- list of transaction-inferred market prices in parse order, to a
|
|
-- graph of all known exchange rates between commodity pairs in effect
|
|
-- on that day. Cf hledger.m4.md -> Valuation:
|
|
--
|
|
-- hledger looks for a market price (exchange rate) from commodity A
|
|
-- to commodity B in one or more of these ways, in this order of
|
|
-- preference:
|
|
--
|
|
-- 1. A *declared market price* or *inferred market price*:
|
|
-- A's latest market price in B on or before the valuation date
|
|
-- as declared by a P directive, or (with the `--infer-value` flag)
|
|
-- inferred from transaction prices.
|
|
--
|
|
-- 2. A *reverse market price*:
|
|
-- the inverse of a declared or inferred market price from B to A.
|
|
--
|
|
-- 3. A *chained market price*:
|
|
-- a synthetic price formed by combining the shortest chain of market
|
|
-- prices (any of the above types) leading from A to B.
|
|
--
|
|
-- 1 and 2 form the edges of the price graph, and we can query it for
|
|
-- 3 (which is the reason we use a graph).
|
|
--
|
|
-- We also identify each commodity's default valuation commodity, if
|
|
-- any. For each commodity A, hledger picks a default valuation
|
|
-- commodity as follows, in this order of preference:
|
|
--
|
|
-- 1. The price commodity from the latest declared market price for A
|
|
-- on or before valuation date.
|
|
--
|
|
-- 2. The price commodity from the latest declared market price for A
|
|
-- on any date. (Allows conversion to proceed if there are inferred
|
|
-- prices before the valuation date.)
|
|
--
|
|
-- 3. If there are no P directives at all (any commodity or date), and
|
|
-- the `--infer-value` flag is used, then the price commodity from
|
|
-- the latest transaction price for A on or before valuation date.
|
|
--
|
|
makePriceGraph :: [MarketPrice] -> [MarketPrice] -> Day -> PriceGraph
|
|
makePriceGraph alldeclaredprices allinferredprices d =
|
|
dbg9 ("makePriceGraph "++show d) $
|
|
PriceGraph{prGraph=g, prNodemap=m, prDefaultValuationCommodities=defaultdests}
|
|
where
|
|
-- prices in effect on date d, either declared or inferred
|
|
visibledeclaredprices = filter ((<=d).mpdate) alldeclaredprices
|
|
visibleinferredprices = filter ((<=d).mpdate) allinferredprices
|
|
declaredandinferredprices = dbg2 "declaredandinferredprices" $
|
|
effectiveMarketPrices visibledeclaredprices visibleinferredprices
|
|
|
|
-- infer any additional reverse prices not already declared or inferred
|
|
reverseprices = dbg2 "reverseprices" $
|
|
map marketPriceReverse declaredandinferredprices \\ declaredandinferredprices
|
|
|
|
-- build the graph and associated node map
|
|
(g, m) =
|
|
mkMapGraph
|
|
(dbg9 "price graph labels" $ sort allcomms) -- this must include all nodes mentioned in edges
|
|
(dbg9 "price graph edges" $ [(mpfrom, mpto, mprate) | MarketPrice{..} <- prices])
|
|
:: (Gr CommoditySymbol Quantity, NodeMap CommoditySymbol)
|
|
where
|
|
prices = declaredandinferredprices ++ reverseprices
|
|
allcomms = map mpfrom prices
|
|
|
|
-- determine a default valuation commodity for each source commodity
|
|
-- somewhat but not quite like effectiveMarketPrices
|
|
defaultdests = M.fromList [(mpfrom,mpto) | MarketPrice{..} <- pricesfordefaultcomms]
|
|
where
|
|
pricesfordefaultcomms = dbg2 "prices for choosing default valuation commodities, by date then parse order" $
|
|
ps
|
|
& zip [1..] -- label items with their parse order
|
|
& sortBy (compare `on` (\(parseorder,MarketPrice{..})->(mpdate,parseorder))) -- sort by increasing date then increasing parse order
|
|
& map snd -- discard labels
|
|
where
|
|
ps | not $ null visibledeclaredprices = visibledeclaredprices
|
|
| not $ null alldeclaredprices = alldeclaredprices
|
|
| otherwise = visibleinferredprices -- will be null without --infer-value
|
|
|
|
-- | Given a list of P-declared market prices in parse order and a
|
|
-- list of transaction-inferred market prices in parse order, select
|
|
-- just the latest prices that are in effect for each commodity pair.
|
|
-- That is, for each commodity pair, the latest price by date then
|
|
-- parse order, with declared prices having precedence over inferred
|
|
-- prices on the same day.
|
|
effectiveMarketPrices :: [MarketPrice] -> [MarketPrice] -> [MarketPrice]
|
|
effectiveMarketPrices declaredprices inferredprices =
|
|
let
|
|
-- label each item with its same-day precedence, then parse order
|
|
declaredprices' = [(1, i, p) | (i,p) <- zip [1..] declaredprices]
|
|
inferredprices' = [(0, i, p) | (i,p) <- zip [1..] inferredprices]
|
|
in
|
|
-- combine
|
|
declaredprices' ++ inferredprices'
|
|
-- sort by decreasing date then decreasing precedence then decreasing parse order
|
|
& sortBy (flip compare `on` (\(precedence,parseorder,mp)->(mpdate mp,precedence,parseorder)))
|
|
-- discard the sorting labels
|
|
& map third3
|
|
-- keep only the first (ie the newest, highest precedence, latest parsed) price for each pair
|
|
& nubSortBy (compare `on` (\(MarketPrice{..})->(mpfrom,mpto)))
|
|
|
|
marketPriceReverse :: MarketPrice -> MarketPrice
|
|
marketPriceReverse mp@MarketPrice{..} = mp{mpfrom=mpto, mpto=mpfrom, mprate=1/mprate}
|
|
|
|
------------------------------------------------------------------------------
|
|
-- fgl helpers
|
|
|
|
-- | Look up an existing graph node by its label.
|
|
-- (If the node does not exist, a new one will be generated, but not
|
|
-- persisted in the nodemap.)
|
|
node :: Ord a => NodeMap a -> a -> Node
|
|
node m = fst . fst . mkNode m
|
|
|
|
-- | Convert a valid path within the given graph to the corresponding
|
|
-- edge labels. When there are multiple edges between two nodes, the
|
|
-- lowest-sorting label is used.
|
|
pathEdgeLabels :: (Show b, Ord b) => Gr a b -> [Node] -> [b]
|
|
pathEdgeLabels g = map frommaybe . map (nodesEdgeLabel g) . pathEdges
|
|
where frommaybe = fromMaybe (error' "pathEdgeLabels: expected no Nothings here")
|
|
|
|
-- | Convert a path to node pairs representing the path's edges.
|
|
pathEdges :: [Node] -> [(Node,Node)]
|
|
pathEdges p = [(f,t) | f:t:_ <- tails p]
|
|
|
|
-- | Get the label of a graph edge from one node to another.
|
|
-- When there are multiple such edges, the lowest-sorting label is used.
|
|
nodesEdgeLabel :: Ord b => Gr a b -> (Node, Node) -> Maybe b
|
|
nodesEdgeLabel g (from,to) = headMay $ sort [l | (_,t,l) <- out g from, t==to]
|
|
|
|
------------------------------------------------------------------------------
|
|
|
|
tests_Valuation = tests "Valuation" [
|
|
tests_priceLookup
|
|
]
|