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;roi: fixes #1791 (fix TWR when investment=0, several pnls per day)

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Dmitry Astapov 2021-12-27 16:57:28 +00:00 committed by Simon Michael
parent a36836e723
commit ce54fb8ae9
2 changed files with 55 additions and 12 deletions
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18
hledger/Hledger/Cli/Commands/Roi.hs
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@ -176,7 +176,7 @@ timeWeightedReturn showCashFlow prettyTables investmentsQuery trans mixedAmountV
-- one for the given date, by construction.
zeroUnitsNeedsCashflowAtTheFront
$ sort
$ dailyCashflows ++ datedPnls
$ datedCashflows ++ datedPnls
where
zeroUnitsNeedsCashflowAtTheFront changes =
if initialUnits > 0 then changes
@ -185,16 +185,18 @@ timeWeightedReturn showCashFlow prettyTables investmentsQuery trans mixedAmountV
(firstCashflow, rest') = splitAt 1 rest
in firstCashflow ++ leadingPnls ++ rest'
datedPnls = map (\(date,amt) -> (date,Left $ maNegate amt)) pnl
datedPnls = map (second Left) $ aggregateByDate pnl
dailyCashflows =
datedCashflows = map (second Right) $ aggregateByDate cashFlow
aggregateByDate datedAmounts =
-- Aggregate all entries for a single day, assuming that intraday interest is negligible
sort
-- Aggregate all entries for a single day, assuming that intraday interest is negligible
$ map (\date_cash -> let (dates, cash) = unzip date_cash in (head dates, Right (maSum cash)))
$ map (\date_cash -> let (dates, cash) = unzip date_cash in (head dates, maSum cash))
$ groupBy ((==) `on` fst)
$ sortOn fst
$ map (second maNegate)
$ cashFlow
$ datedAmounts
let units =
tail $
@ -216,7 +218,9 @@ timeWeightedReturn showCashFlow prettyTables investmentsQuery trans mixedAmountV
$ dbg3 "changes" changes
let finalUnitBalance = if null units then initialUnits else let (_,_,_,u) = last units in u
finalUnitPrice = if finalUnitBalance == 0 then initialUnitPrice
finalUnitPrice = if finalUnitBalance == 0 then
if null units then initialUnitPrice
else let (_,_,lastUnitPrice,_) = last units in lastUnitPrice
else (unMix valueAfter) / finalUnitBalance
-- Technically, totalTWR should be (100*(finalUnitPrice - initialUnitPrice) / initialUnitPrice), but initalUnitPrice is 100, so 100/100 == 1
totalTWR = roundTo 2 $ (finalUnitPrice - initialUnitPrice)

49
hledger/test/roi.test
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@ -255,11 +255,11 @@ hledger -f- roi -p 2019-11 --inv Investment --pnl PnL --cost --value=then,A --in
Assets:Checking 101 A
Unrealized PnL
>>>
+---++------------+------------++---------------+----------+-------------+-----++----------+-------+
| || Begin | End || Value (begin) | Cashflow | Value (end) | PnL || IRR | TWR |
+===++============+============++===============+==========+=============+=====++==========+=======+
| 1 || 2019-11-01 | 2019-11-30 || 0 | -1 A | 0 | 1 A || 3678.34% | 0.00% |
+---++------------+------------++---------------+----------+-------------+-----++----------+-------+
+---++------------+------------++---------------+----------+-------------+-----++----------+--------+
| || Begin | End || Value (begin) | Cashflow | Value (end) | PnL || IRR | TWR |
+===++============+============++===============+==========+=============+=====++==========+========+
| 1 || 2019-11-01 | 2019-11-30 || 0 | -1 A | 0 | 1 A || 3678.34% | 12.87% |
+---++------------+------------++---------------+----------+-------------+-----++----------+--------+
>>>=0
@ -306,3 +306,42 @@ P 2021-01-01 $ 73.88
+---++------------+------------++---------------+----------+-------------+-----++---------+---------+
>>>=0
# 13. Several PnL transactions on a single date are aggregated together
hledger -f - roi --inv saving --pnl dividend
<<<
2010-01-01 A1
savingA 100.00 €
checking
2011-12-31 A2
savingA 0.00 €
dividendA -8.00 €
checking
2012-03-29 A3
savingA -100.00 €
checking
# ========================================
2010-01-01 B1
savingB 100.00 €
checking
2011-12-31 B2
savingB 0.00 €
dividendB -8.00 €
checking
2012-03-29 B3
saving -100.00 €
checking
>>>
+---++------------+------------++---------------+----------+-------------+---------++-------+-------+
| || Begin | End || Value (begin) | Cashflow | Value (end) | PnL || IRR | TWR |
+===++============+============++===============+==========+=============+=========++=======+=======+
| 1 || 2010-01-01 | 2012-03-29 || 0 | -16.00 € | 0 | 16.00 € || 3.52% | 3.49% |
+---++------------+------------++---------------+----------+-------------+---------++-------+-------+
>>>=0