267 lines
12 KiB
Haskell
267 lines
12 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 #-}
|
|
|
|
module Hledger.Data.Prices (
|
|
amountValueAtDate
|
|
,amountApplyValuation
|
|
,mixedAmountValueAtDate
|
|
,mixedAmountApplyValuation
|
|
,priceLookup
|
|
,priceDirectiveToMarketPrice
|
|
,tests_Prices
|
|
)
|
|
where
|
|
|
|
import Control.Applicative ((<|>))
|
|
import Data.Decimal (roundTo)
|
|
import Data.Function (on)
|
|
import Data.Graph.Inductive (Gr, Node, NodeMap, mkMapGraph, mkNode, lab, out, suc, sp)
|
|
import Data.List
|
|
import Data.List.Extra
|
|
import qualified Data.Map as M
|
|
import Data.Maybe
|
|
import qualified Data.Text as T
|
|
import Data.Time.Calendar (Day)
|
|
import Safe (headMay)
|
|
|
|
import Hledger.Utils
|
|
import Hledger.Data.Types
|
|
import Hledger.Data.Amount
|
|
import Hledger.Data.Dates (parsedate)
|
|
|
|
|
|
tests_Prices = tests "Prices" [
|
|
tests_priceLookup
|
|
]
|
|
|
|
------------------------------------------------------------------------------
|
|
-- Valuation
|
|
|
|
-- Apply a specified valuation to this mixed amount, using the provided
|
|
-- prices db, commodity styles, period-end/current dates,
|
|
-- and whether this is for a multiperiod report or not.
|
|
-- Currently ignores the specified valuation commodity and always uses
|
|
-- the default valuation commodity.
|
|
mixedAmountApplyValuation :: [PriceDirective] -> M.Map CommoditySymbol AmountStyle -> Day -> Day -> Bool -> ValuationType -> MixedAmount -> MixedAmount
|
|
mixedAmountApplyValuation prices styles periodend today ismultiperiod v (Mixed as) =
|
|
Mixed $ map (amountApplyValuation prices styles periodend today ismultiperiod v) as
|
|
|
|
-- | 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 prices.
|
|
-- When market prices available on that date are not sufficient to
|
|
-- calculate the value, amounts are left unchanged.
|
|
mixedAmountValueAtDate :: [PriceDirective] -> M.Map CommoditySymbol AmountStyle -> Maybe CommoditySymbol -> Day -> MixedAmount -> MixedAmount
|
|
mixedAmountValueAtDate prices styles mc d (Mixed as) = Mixed $ map (amountValueAtDate prices styles mc d) as
|
|
|
|
-- | Apply a specified valuation to this amount, using the provided
|
|
-- prices db, commodity styles, period-end/current dates,
|
|
-- and whether this is for a multiperiod report or not.
|
|
amountApplyValuation :: [PriceDirective] -> M.Map CommoditySymbol AmountStyle -> Day -> Day -> Bool -> ValuationType -> Amount -> Amount
|
|
amountApplyValuation prices styles periodend today ismultiperiod v a =
|
|
case v of
|
|
AtCost Nothing -> amountToCost styles a
|
|
AtCost mc -> amountValueAtDate prices styles mc periodend $ amountToCost styles a
|
|
AtEnd mc -> amountValueAtDate prices styles mc periodend a
|
|
AtNow mc -> amountValueAtDate prices styles mc today a
|
|
AtDefault mc | ismultiperiod -> amountValueAtDate prices styles mc periodend a
|
|
AtDefault mc -> amountValueAtDate prices styles mc today a
|
|
AtDate d mc -> amountValueAtDate prices styles mc d a
|
|
|
|
-- | 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.)
|
|
-- If the market prices available on that date are not sufficient to
|
|
-- calculate this value, the amount is left unchanged.
|
|
amountValueAtDate :: [PriceDirective] -> M.Map CommoditySymbol AmountStyle -> Maybe CommoditySymbol -> Day -> Amount -> Amount
|
|
amountValueAtDate pricedirectives styles mto d a =
|
|
case priceLookup pricedirectives d (acommodity a) mto of
|
|
Nothing -> a
|
|
Just (comm, rate) -> styleAmount styles $ amount{acommodity=comm, aquantity=rate * aquantity a}
|
|
|
|
------------------------------------------------------------------------------
|
|
-- Market price lookup
|
|
|
|
tests_priceLookup =
|
|
let
|
|
d = parsedate
|
|
a q c = amount{acommodity=c, aquantity=q}
|
|
p date from q to = PriceDirective{pddate=d date, pdcommodity=from, pdamount=a q to}
|
|
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"
|
|
]
|
|
in tests "priceLookup" [
|
|
priceLookup ps1 (d "1999/01/01") "A" Nothing `is` Nothing
|
|
,priceLookup ps1 (d "2000/01/01") "A" Nothing `is` Just ("B",10)
|
|
,priceLookup ps1 (d "2000/01/01") "B" (Just "A") `is` Just ("A",0.1)
|
|
,priceLookup ps1 (d "2000/01/01") "A" (Just "E") `is` Just ("E",500)
|
|
]
|
|
|
|
-- | Given a list of price directives in parse order, find the market
|
|
-- value at the given date of one unit of a given source commodity, in
|
|
-- a different specified valuation commodity, or a default valuation
|
|
-- commodity.
|
|
--
|
|
-- When the valuation commodity is specified, this looks for, in order:
|
|
--
|
|
-- - a price declaration giving the exchange rate from source
|
|
-- commodity to valuation commodity ("declared price").
|
|
--
|
|
-- - a price declaration from valuation to source commodity, which
|
|
-- gets inverted ("reverse price").
|
|
--
|
|
-- - the shortest chain of prices (declared or reverse) leading from
|
|
-- source commodity to valuation commodity, which gets collapsed
|
|
-- into a single synthetic exchange rate ("indirect price").
|
|
--
|
|
-- When the valuation commodity is not specified, this looks for the
|
|
-- latest applicable market price, and converts to the commodity
|
|
-- mentioned in that price (default valuation commodity).
|
|
--
|
|
-- Note when calling this repeatedly for different periods, the
|
|
-- default valuation commodity can vary, since it depends on the
|
|
-- presence and parse order of market price declarations in each
|
|
-- period.
|
|
--
|
|
-- This returns the valuation commodity that was specified or
|
|
-- inferred, and the quantity of it that one unit of the source
|
|
-- commodity is worth. Or if no applicable market price or chain of
|
|
-- prices can be found, or the source commodity and the valuation
|
|
-- commodity are the same, returns Nothing.
|
|
--
|
|
-- A 'Prices' database (price graphs) is built each time this is
|
|
-- called, which is probably wasteful when looking up multiple prices
|
|
-- on the same day; it could be built at a higher level, or memoised.
|
|
--
|
|
priceLookup :: [PriceDirective] -> Day -> CommoditySymbol -> Maybe CommoditySymbol -> Maybe (CommoditySymbol, Quantity)
|
|
priceLookup pricedirectives d from mto =
|
|
let
|
|
-- build a graph of the commodity exchange rates in effect on this day
|
|
Prices{prNodemap=m, prDeclaredPrices=g, prWithReversePrices=gr} = pricesAtDate pricedirectives d
|
|
fromnode = node m from
|
|
-- if to is unspecified, try to find a default valuation commodity based on available prices
|
|
mto' = mto <|> mdefaultto
|
|
where
|
|
-- the default valuation commodity, if we could find one.
|
|
-- XXX how to choose ? Take lowest sorted ?
|
|
-- Take first, hoping current order is useful ? <-
|
|
-- Keep parse order in label and take latest parsed ?
|
|
mdefaultto = headMay (suc g fromnode) >>= lab g
|
|
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,
|
|
-- and return it as an amount.
|
|
case
|
|
-- These seem unnecessary, and we can avoid building one of the graphs
|
|
-- mdeclaredprice <|> mreverseprice <|>
|
|
mindirectprice of
|
|
Nothing -> Nothing
|
|
Just q -> Just (to, q)
|
|
where
|
|
tonode = node m to
|
|
-- mdeclaredprice :: Maybe Quantity =
|
|
-- dbg ("declared market price "++T.unpack from++"->"++T.unpack to) $
|
|
-- nodesEdgeLabel g (fromnode,tonode)
|
|
-- mreverseprice :: Maybe Quantity =
|
|
-- dbg ("reverse market price "++T.unpack from++"->"++T.unpack to) $
|
|
-- ((1 /) <$> nodesEdgeLabel g (tonode,fromnode))
|
|
mindirectprice :: Maybe Quantity =
|
|
-- Find the shortest path, if any, between from and to.
|
|
-- This time use gr which includes both declared and reverse prices.
|
|
case sp fromnode tonode gr :: Maybe [Node] of
|
|
Nothing -> Nothing
|
|
Just nodes ->
|
|
dbg ("market price "++intercalate "->" (map T.unpack comms)) $
|
|
Just $ product $ pathEdgeLabels gr 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 = dbg4With (((msg++": ")++) . maybe "" (show . roundTo 3))
|
|
|
|
-- | Convert a list of market price directives in parse order to
|
|
-- a database of market prices in effect on a given day,
|
|
-- allowing efficient lookup of exchange rates between commodity pairs.
|
|
pricesAtDate :: [PriceDirective] -> Day -> Prices
|
|
pricesAtDate pricedirectives d = Prices{
|
|
prNodemap = m
|
|
,prDeclaredPrices = g
|
|
,prWithReversePrices = gr
|
|
}
|
|
where
|
|
-- get the latest (before d) declared price for each commodity pair
|
|
latestdeclaredprices :: [MarketPrice] =
|
|
dbg4 "latestdeclaredprices" $
|
|
nubSortBy (compare `on` (\(MarketPrice{..})->(mpfrom,mpto))) $ -- keep only the first (ie newest and latest parsed) price for each pair
|
|
map snd $ -- discard the parse order label
|
|
sortBy (flip compare `on` (\(parseorder,mp)->(mpdate mp,parseorder))) $ -- sort with newest dates and latest parse order first
|
|
zip [1..] $ -- label with parse order
|
|
map priceDirectiveToMarketPrice $
|
|
filter ((<=d).pddate) pricedirectives -- consider only price declarations up to the valuation date
|
|
-- and the latest declared or reverse price for each commodity pair
|
|
latestdeclaredandreverseprices =
|
|
latestdeclaredprices `union` map marketPriceReverse latestdeclaredprices
|
|
-- XXX hopefully this prioritises the declared prices, test
|
|
allcomms = sort $ map mpfrom latestdeclaredandreverseprices
|
|
(g :: PriceGraph, m :: NodeMap CommoditySymbol) = mkMapGraph
|
|
(dbg5 "g nodelabels" allcomms) -- this must include all nodes mentioned in edges
|
|
(dbg5 "g edges" [(mpfrom, mpto, mprate) | MarketPrice{..} <- latestdeclaredprices])
|
|
(gr, _) = mkMapGraph
|
|
(dbg5 "gr nodelabels" allcomms) -- this must include all nodes mentioned in edges
|
|
(dbg5 "gr edges" [(mpfrom, mpto, mprate) | MarketPrice{..} <- latestdeclaredandreverseprices])
|
|
|
|
priceDirectiveToMarketPrice :: PriceDirective -> MarketPrice
|
|
priceDirectiveToMarketPrice PriceDirective{..} =
|
|
MarketPrice{ mpdate = pddate
|
|
, mpfrom = pdcommodity
|
|
, mpto = acommodity pdamount
|
|
, mprate = aquantity pdamount
|
|
}
|
|
|
|
marketPriceReverse :: MarketPrice -> MarketPrice
|
|
marketPriceReverse mp@MarketPrice{..} = mp{mpfrom=mpto, mpto=mpfrom, mprate=1/mprate}
|
|
|
|
------------------------------------------------------------------------------
|
|
-- fgl helpers
|
|
|
|
-- | Look up an existing node by its label in the given NodeMap.
|
|
-- (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 from 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]
|
|
|
|
------------------------------------------------------------------------------
|