Add tests (#693)
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Thomas Kaul
GitHub
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apps/api/src/app/portfolio/current-rate.service.mock.ts
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60
apps/api/src/app/portfolio/current-rate.service.mock.ts
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@ -0,0 +1,60 @@
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import { parseDate, resetHours } from '@ghostfolio/common/helper';
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import { addDays, endOfDay, isBefore, isSameDay } from 'date-fns';
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import { GetValuesParams } from './interfaces/get-values-params.interface';
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function mockGetValue(symbol: string, date: Date) {
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switch (symbol) {
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case 'BALN.SW':
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if (isSameDay(parseDate('2021-11-12'), date)) {
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return { marketPrice: 146 };
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} else if (isSameDay(parseDate('2021-11-22'), date)) {
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return { marketPrice: 142.9 };
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} else if (isSameDay(parseDate('2021-11-26'), date)) {
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return { marketPrice: 139.9 };
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} else if (isSameDay(parseDate('2021-11-30'), date)) {
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return { marketPrice: 136.6 };
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} else if (isSameDay(parseDate('2021-12-18'), date)) {
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return { marketPrice: 148.9 };
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}
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return { marketPrice: 0 };
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default:
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return { marketPrice: 0 };
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}
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}
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export const CurrentRateServiceMock = {
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getValues: ({ dataGatheringItems, dateQuery }: GetValuesParams) => {
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const result = [];
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if (dateQuery.lt) {
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for (
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let date = resetHours(dateQuery.gte);
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isBefore(date, endOfDay(dateQuery.lt));
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date = addDays(date, 1)
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) {
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for (const dataGatheringItem of dataGatheringItems) {
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result.push({
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date,
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marketPrice: mockGetValue(dataGatheringItem.symbol, date)
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.marketPrice,
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symbol: dataGatheringItem.symbol
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});
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}
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}
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} else {
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for (const date of dateQuery.in) {
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for (const dataGatheringItem of dataGatheringItems) {
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result.push({
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date,
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marketPrice: mockGetValue(dataGatheringItem.symbol, date)
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.marketPrice,
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symbol: dataGatheringItem.symbol
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});
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}
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}
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}
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return Promise.resolve(result);
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}
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};
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@ -0,0 +1,95 @@
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import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service';
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import { parseDate } from '@ghostfolio/common/helper';
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import Big from 'big.js';
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import { CurrentRateServiceMock } from './current-rate.service.mock';
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import { PortfolioCalculatorNew } from './portfolio-calculator-new';
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jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
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return {
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// eslint-disable-next-line @typescript-eslint/naming-convention
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CurrentRateService: jest.fn().mockImplementation(() => {
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return CurrentRateServiceMock;
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})
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};
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});
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describe('PortfolioCalculatorNew', () => {
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let currentRateService: CurrentRateService;
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beforeEach(() => {
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currentRateService = new CurrentRateService(null, null, null);
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});
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describe('get current positions', () => {
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it.only('with BALN.SW buy and sell', async () => {
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const portfolioCalculatorNew = new PortfolioCalculatorNew({
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currentRateService,
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currency: 'CHF',
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orders: [
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{
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currency: 'CHF',
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date: '2021-11-22',
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dataSource: 'YAHOO',
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fee: new Big(1.55),
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name: 'Bâloise Holding AG',
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quantity: new Big(2),
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symbol: 'BALN.SW',
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type: 'BUY',
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unitPrice: new Big(142.9)
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},
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{
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currency: 'CHF',
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date: '2021-11-30',
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dataSource: 'YAHOO',
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fee: new Big(1.65),
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name: 'Bâloise Holding AG',
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quantity: new Big(2),
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symbol: 'BALN.SW',
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type: 'SELL',
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unitPrice: new Big(136.6)
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}
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]
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});
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portfolioCalculatorNew.computeTransactionPoints();
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const spy = jest
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.spyOn(Date, 'now')
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.mockImplementation(() => parseDate('2021-12-18').getTime());
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const currentPositions = await portfolioCalculatorNew.getCurrentPositions(
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parseDate('2021-11-22')
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);
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spy.mockRestore();
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expect(currentPositions).toEqual({
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currentValue: new Big('0'),
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grossPerformance: new Big('-12.6'),
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grossPerformancePercentage: new Big('-0.0440867739678096571'),
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hasErrors: false,
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netPerformance: new Big('-15.8'),
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netPerformancePercentage: new Big('-0.0552834149755073478'),
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positions: [
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{
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averagePrice: new Big('0'),
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currency: 'CHF',
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dataSource: 'YAHOO',
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firstBuyDate: '2021-11-22',
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grossPerformance: new Big('-12.6'),
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grossPerformancePercentage: new Big('-0.0440867739678096571'),
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investment: new Big('0'),
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netPerformance: new Big('-15.8'),
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netPerformancePercentage: new Big('-0.0552834149755073478'),
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marketPrice: 148.9,
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quantity: new Big('0'),
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symbol: 'BALN.SW',
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transactionCount: 2
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}
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],
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totalInvestment: new Big('0')
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});
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});
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});
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});
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@ -0,0 +1,84 @@
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import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service';
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import { parseDate } from '@ghostfolio/common/helper';
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import Big from 'big.js';
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import { CurrentRateServiceMock } from './current-rate.service.mock';
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import { PortfolioCalculatorNew } from './portfolio-calculator-new';
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jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
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return {
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// eslint-disable-next-line @typescript-eslint/naming-convention
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CurrentRateService: jest.fn().mockImplementation(() => {
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return CurrentRateServiceMock;
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})
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};
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});
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describe('PortfolioCalculatorNew', () => {
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let currentRateService: CurrentRateService;
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beforeEach(() => {
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currentRateService = new CurrentRateService(null, null, null);
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});
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describe('get current positions', () => {
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it.only('with BALN.SW buy', async () => {
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const portfolioCalculatorNew = new PortfolioCalculatorNew({
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currentRateService,
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currency: 'CHF',
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orders: [
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{
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currency: 'CHF',
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date: '2021-11-30',
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dataSource: 'YAHOO',
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fee: new Big(1.55),
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name: 'Bâloise Holding AG',
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quantity: new Big(2),
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symbol: 'BALN.SW',
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type: 'BUY',
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unitPrice: new Big(136.6)
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}
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]
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});
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portfolioCalculatorNew.computeTransactionPoints();
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const spy = jest
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.spyOn(Date, 'now')
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.mockImplementation(() => parseDate('2021-12-18').getTime());
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const currentPositions = await portfolioCalculatorNew.getCurrentPositions(
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parseDate('2021-11-30')
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);
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spy.mockRestore();
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expect(currentPositions).toEqual({
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currentValue: new Big('297.8'),
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grossPerformance: new Big('24.6'),
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grossPerformancePercentage: new Big('0.09004392386530014641'),
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hasErrors: false,
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netPerformance: new Big('23.05'),
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netPerformancePercentage: new Big('0.08437042459736456808'),
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positions: [
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{
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averagePrice: new Big('136.6'),
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currency: 'CHF',
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dataSource: 'YAHOO',
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firstBuyDate: '2021-11-30',
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grossPerformance: new Big('24.6'),
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grossPerformancePercentage: new Big('0.09004392386530014641'),
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investment: new Big('273.2'),
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netPerformance: new Big('23.05'),
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netPerformancePercentage: new Big('0.08437042459736456808'),
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marketPrice: 148.9,
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quantity: new Big('2'),
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symbol: 'BALN.SW',
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transactionCount: 1
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}
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],
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totalInvestment: new Big('273.2')
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});
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});
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});
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});
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@ -0,0 +1,56 @@
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import { CurrentRateService } from '@ghostfolio/api/app/portfolio/current-rate.service';
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import { parseDate } from '@ghostfolio/common/helper';
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import Big from 'big.js';
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import { CurrentRateServiceMock } from './current-rate.service.mock';
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import { PortfolioCalculatorNew } from './portfolio-calculator-new';
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jest.mock('@ghostfolio/api/app/portfolio/current-rate.service', () => {
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return {
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// eslint-disable-next-line @typescript-eslint/naming-convention
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CurrentRateService: jest.fn().mockImplementation(() => {
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return CurrentRateServiceMock;
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})
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};
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});
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describe('PortfolioCalculatorNew', () => {
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let currentRateService: CurrentRateService;
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beforeEach(() => {
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currentRateService = new CurrentRateService(null, null, null);
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});
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describe('get current positions', () => {
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it('with no orders', async () => {
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const portfolioCalculatorNew = new PortfolioCalculatorNew({
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currentRateService,
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currency: 'CHF',
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orders: []
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});
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portfolioCalculatorNew.computeTransactionPoints();
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const spy = jest
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.spyOn(Date, 'now')
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.mockImplementation(() => parseDate('2021-12-18').getTime());
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const currentPositions = await portfolioCalculatorNew.getCurrentPositions(
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new Date()
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);
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spy.mockRestore();
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expect(currentPositions).toEqual({
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currentValue: new Big(0),
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grossPerformance: new Big(0),
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grossPerformancePercentage: new Big(0),
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hasErrors: false,
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netPerformance: new Big(0),
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netPerformancePercentage: new Big(0),
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positions: [],
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totalInvestment: new Big(0)
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});
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});
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});
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});
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@ -281,283 +281,6 @@ export class PortfolioCalculatorNew {
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};
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}
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public getSymbolMetrics({
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marketSymbolMap,
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start,
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symbol
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}: {
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marketSymbolMap: {
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[date: string]: { [symbol: string]: Big };
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};
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start: Date;
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symbol: string;
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}) {
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let orders: PortfolioOrderItem[] = this.orders.filter((order) => {
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return order.symbol === symbol;
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});
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if (orders.length <= 0) {
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return {
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hasErrors: false,
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initialValue: new Big(0),
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netPerformance: new Big(0),
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netPerformancePercentage: new Big(0),
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grossPerformance: new Big(0),
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grossPerformancePercentage: new Big(0)
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};
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}
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const dateOfFirstTransaction = new Date(first(orders).date);
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const endDate = new Date(Date.now());
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const unitPriceAtStartDate =
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marketSymbolMap[format(start, DATE_FORMAT)]?.[symbol];
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const unitPriceAtEndDate =
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marketSymbolMap[format(endDate, DATE_FORMAT)]?.[symbol];
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if (
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!unitPriceAtEndDate ||
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(!unitPriceAtStartDate && isBefore(dateOfFirstTransaction, start))
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) {
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return {
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hasErrors: true,
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initialValue: new Big(0),
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netPerformance: new Big(0),
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netPerformancePercentage: new Big(0),
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grossPerformance: new Big(0),
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grossPerformancePercentage: new Big(0)
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};
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}
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let feesAtStartDate = new Big(0);
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let fees = new Big(0);
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let grossPerformance = new Big(0);
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let grossPerformanceAtStartDate = new Big(0);
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let grossPerformanceFromSells = new Big(0);
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let initialValue: Big;
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let lastAveragePrice = new Big(0);
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let lastTransactionInvestment = new Big(0);
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let lastValueOfInvestmentBeforeTransaction = new Big(0);
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let timeWeightedGrossPerformancePercentage = new Big(1);
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let timeWeightedNetPerformancePercentage = new Big(1);
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let totalInvestment = new Big(0);
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let totalUnits = new Big(0);
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const holdingPeriodPerformances: {
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grossReturn: Big;
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netReturn: Big;
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valueOfInvestment: Big;
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}[] = [];
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// Add a synthetic order at the start and the end date
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orders.push({
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symbol,
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currency: null,
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date: format(start, DATE_FORMAT),
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dataSource: null,
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fee: new Big(0),
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itemType: 'start',
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name: '',
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quantity: new Big(0),
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type: TypeOfOrder.BUY,
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unitPrice: unitPriceAtStartDate ?? new Big(0)
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});
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orders.push({
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symbol,
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currency: null,
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date: format(endDate, DATE_FORMAT),
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dataSource: null,
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fee: new Big(0),
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itemType: 'end',
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name: '',
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quantity: new Big(0),
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type: TypeOfOrder.BUY,
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unitPrice: unitPriceAtEndDate ?? new Big(0)
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});
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// Sort orders so that the start and end placeholder order are at the right
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// position
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orders = sortBy(orders, (order) => {
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let sortIndex = new Date(order.date);
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if (order.itemType === 'start') {
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sortIndex = addMilliseconds(sortIndex, -1);
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}
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if (order.itemType === 'end') {
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sortIndex = addMilliseconds(sortIndex, 1);
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}
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return sortIndex.getTime();
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});
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const indexOfStartOrder = orders.findIndex((order) => {
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return order.itemType === 'start';
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});
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for (let i = 0; i < orders.length; i += 1) {
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const order = orders[i];
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const valueOfInvestmentBeforeTransaction = totalUnits.mul(
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order.unitPrice
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);
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const transactionInvestment = order.quantity
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.mul(order.unitPrice)
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.mul(this.getFactor(order.type));
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if (
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!initialValue &&
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order.itemType !== 'start' &&
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order.itemType !== 'end'
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) {
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initialValue = transactionInvestment;
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}
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fees = fees.plus(order.fee);
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totalUnits = totalUnits.plus(
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order.quantity.mul(this.getFactor(order.type))
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);
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const valueOfInvestment = totalUnits.mul(order.unitPrice);
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const grossPerformanceFromSell =
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order.type === TypeOfOrder.SELL
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? order.unitPrice.minus(lastAveragePrice).mul(order.quantity)
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: new Big(0);
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grossPerformanceFromSells = grossPerformanceFromSells.plus(
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grossPerformanceFromSell
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);
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totalInvestment = totalInvestment
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.plus(transactionInvestment)
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.plus(grossPerformanceFromSell);
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lastAveragePrice = totalUnits.eq(0)
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? new Big(0)
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: totalInvestment.div(totalUnits);
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const newGrossPerformance = valueOfInvestment
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.minus(totalInvestment)
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.plus(grossPerformanceFromSells);
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if (
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i > indexOfStartOrder &&
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!lastValueOfInvestmentBeforeTransaction
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.plus(lastTransactionInvestment)
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.eq(0)
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) {
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const grossHoldingPeriodReturn = valueOfInvestmentBeforeTransaction
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.minus(
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lastValueOfInvestmentBeforeTransaction.plus(
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lastTransactionInvestment
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)
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)
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.div(
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lastValueOfInvestmentBeforeTransaction.plus(
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lastTransactionInvestment
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)
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);
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timeWeightedGrossPerformancePercentage =
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timeWeightedGrossPerformancePercentage.mul(
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new Big(1).plus(grossHoldingPeriodReturn)
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);
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const netHoldingPeriodReturn = valueOfInvestmentBeforeTransaction
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.minus(fees.minus(feesAtStartDate))
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.minus(
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lastValueOfInvestmentBeforeTransaction.plus(
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lastTransactionInvestment
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)
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)
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.div(
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lastValueOfInvestmentBeforeTransaction.plus(
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lastTransactionInvestment
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)
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);
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timeWeightedNetPerformancePercentage =
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timeWeightedNetPerformancePercentage.mul(
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new Big(1).plus(netHoldingPeriodReturn)
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);
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holdingPeriodPerformances.push({
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grossReturn: grossHoldingPeriodReturn,
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netReturn: netHoldingPeriodReturn,
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valueOfInvestment: lastValueOfInvestmentBeforeTransaction.plus(
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lastTransactionInvestment
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)
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});
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}
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|
||||
grossPerformance = newGrossPerformance;
|
||||
|
||||
lastTransactionInvestment = transactionInvestment;
|
||||
|
||||
lastValueOfInvestmentBeforeTransaction =
|
||||
valueOfInvestmentBeforeTransaction;
|
||||
|
||||
if (order.itemType === 'start') {
|
||||
feesAtStartDate = fees;
|
||||
grossPerformanceAtStartDate = grossPerformance;
|
||||
}
|
||||
}
|
||||
|
||||
timeWeightedGrossPerformancePercentage =
|
||||
timeWeightedGrossPerformancePercentage.minus(1);
|
||||
|
||||
timeWeightedNetPerformancePercentage =
|
||||
timeWeightedNetPerformancePercentage.minus(1);
|
||||
|
||||
const totalGrossPerformance = grossPerformance.minus(
|
||||
grossPerformanceAtStartDate
|
||||
);
|
||||
|
||||
const totalNetPerformance = grossPerformance
|
||||
.minus(grossPerformanceAtStartDate)
|
||||
.minus(fees.minus(feesAtStartDate));
|
||||
|
||||
let valueOfInvestmentSum = new Big(0);
|
||||
|
||||
for (const holdingPeriodPerformance of holdingPeriodPerformances) {
|
||||
valueOfInvestmentSum = valueOfInvestmentSum.plus(
|
||||
holdingPeriodPerformance.valueOfInvestment
|
||||
);
|
||||
}
|
||||
|
||||
let totalWeightedGrossPerformance = new Big(0);
|
||||
let totalWeightedNetPerformance = new Big(0);
|
||||
|
||||
// Weight the holding period returns according to their value of investment
|
||||
for (const holdingPeriodPerformance of holdingPeriodPerformances) {
|
||||
totalWeightedGrossPerformance = totalWeightedGrossPerformance.plus(
|
||||
holdingPeriodPerformance.grossReturn
|
||||
.mul(holdingPeriodPerformance.valueOfInvestment)
|
||||
.div(valueOfInvestmentSum)
|
||||
);
|
||||
|
||||
totalWeightedNetPerformance = totalWeightedNetPerformance.plus(
|
||||
holdingPeriodPerformance.netReturn
|
||||
.mul(holdingPeriodPerformance.valueOfInvestment)
|
||||
.div(valueOfInvestmentSum)
|
||||
);
|
||||
}
|
||||
|
||||
return {
|
||||
initialValue,
|
||||
hasErrors: !initialValue || !unitPriceAtEndDate,
|
||||
netPerformance: totalNetPerformance,
|
||||
netPerformancePercentage: totalWeightedNetPerformance,
|
||||
grossPerformance: totalGrossPerformance,
|
||||
grossPerformancePercentage: totalWeightedGrossPerformance
|
||||
};
|
||||
}
|
||||
|
||||
public getInvestments(): { date: string; investment: Big }[] {
|
||||
if (this.transactionPoints.length === 0) {
|
||||
return [];
|
||||
@ -885,6 +608,283 @@ export class PortfolioCalculatorNew {
|
||||
}
|
||||
}
|
||||
|
||||
private getSymbolMetrics({
|
||||
marketSymbolMap,
|
||||
start,
|
||||
symbol
|
||||
}: {
|
||||
marketSymbolMap: {
|
||||
[date: string]: { [symbol: string]: Big };
|
||||
};
|
||||
start: Date;
|
||||
symbol: string;
|
||||
}) {
|
||||
let orders: PortfolioOrderItem[] = this.orders.filter((order) => {
|
||||
return order.symbol === symbol;
|
||||
});
|
||||
|
||||
if (orders.length <= 0) {
|
||||
return {
|
||||
hasErrors: false,
|
||||
initialValue: new Big(0),
|
||||
netPerformance: new Big(0),
|
||||
netPerformancePercentage: new Big(0),
|
||||
grossPerformance: new Big(0),
|
||||
grossPerformancePercentage: new Big(0)
|
||||
};
|
||||
}
|
||||
|
||||
const dateOfFirstTransaction = new Date(first(orders).date);
|
||||
const endDate = new Date(Date.now());
|
||||
|
||||
const unitPriceAtStartDate =
|
||||
marketSymbolMap[format(start, DATE_FORMAT)]?.[symbol];
|
||||
|
||||
const unitPriceAtEndDate =
|
||||
marketSymbolMap[format(endDate, DATE_FORMAT)]?.[symbol];
|
||||
|
||||
if (
|
||||
!unitPriceAtEndDate ||
|
||||
(!unitPriceAtStartDate && isBefore(dateOfFirstTransaction, start))
|
||||
) {
|
||||
return {
|
||||
hasErrors: true,
|
||||
initialValue: new Big(0),
|
||||
netPerformance: new Big(0),
|
||||
netPerformancePercentage: new Big(0),
|
||||
grossPerformance: new Big(0),
|
||||
grossPerformancePercentage: new Big(0)
|
||||
};
|
||||
}
|
||||
|
||||
let feesAtStartDate = new Big(0);
|
||||
let fees = new Big(0);
|
||||
let grossPerformance = new Big(0);
|
||||
let grossPerformanceAtStartDate = new Big(0);
|
||||
let grossPerformanceFromSells = new Big(0);
|
||||
let initialValue: Big;
|
||||
let lastAveragePrice = new Big(0);
|
||||
let lastTransactionInvestment = new Big(0);
|
||||
let lastValueOfInvestmentBeforeTransaction = new Big(0);
|
||||
let timeWeightedGrossPerformancePercentage = new Big(1);
|
||||
let timeWeightedNetPerformancePercentage = new Big(1);
|
||||
let totalInvestment = new Big(0);
|
||||
let totalUnits = new Big(0);
|
||||
|
||||
const holdingPeriodPerformances: {
|
||||
grossReturn: Big;
|
||||
netReturn: Big;
|
||||
valueOfInvestment: Big;
|
||||
}[] = [];
|
||||
|
||||
// Add a synthetic order at the start and the end date
|
||||
orders.push({
|
||||
symbol,
|
||||
currency: null,
|
||||
date: format(start, DATE_FORMAT),
|
||||
dataSource: null,
|
||||
fee: new Big(0),
|
||||
itemType: 'start',
|
||||
name: '',
|
||||
quantity: new Big(0),
|
||||
type: TypeOfOrder.BUY,
|
||||
unitPrice: unitPriceAtStartDate ?? new Big(0)
|
||||
});
|
||||
|
||||
orders.push({
|
||||
symbol,
|
||||
currency: null,
|
||||
date: format(endDate, DATE_FORMAT),
|
||||
dataSource: null,
|
||||
fee: new Big(0),
|
||||
itemType: 'end',
|
||||
name: '',
|
||||
quantity: new Big(0),
|
||||
type: TypeOfOrder.BUY,
|
||||
unitPrice: unitPriceAtEndDate ?? new Big(0)
|
||||
});
|
||||
|
||||
// Sort orders so that the start and end placeholder order are at the right
|
||||
// position
|
||||
orders = sortBy(orders, (order) => {
|
||||
let sortIndex = new Date(order.date);
|
||||
|
||||
if (order.itemType === 'start') {
|
||||
sortIndex = addMilliseconds(sortIndex, -1);
|
||||
}
|
||||
|
||||
if (order.itemType === 'end') {
|
||||
sortIndex = addMilliseconds(sortIndex, 1);
|
||||
}
|
||||
|
||||
return sortIndex.getTime();
|
||||
});
|
||||
|
||||
const indexOfStartOrder = orders.findIndex((order) => {
|
||||
return order.itemType === 'start';
|
||||
});
|
||||
|
||||
for (let i = 0; i < orders.length; i += 1) {
|
||||
const order = orders[i];
|
||||
|
||||
const valueOfInvestmentBeforeTransaction = totalUnits.mul(
|
||||
order.unitPrice
|
||||
);
|
||||
|
||||
const transactionInvestment = order.quantity
|
||||
.mul(order.unitPrice)
|
||||
.mul(this.getFactor(order.type));
|
||||
|
||||
if (
|
||||
!initialValue &&
|
||||
order.itemType !== 'start' &&
|
||||
order.itemType !== 'end'
|
||||
) {
|
||||
initialValue = transactionInvestment;
|
||||
}
|
||||
|
||||
fees = fees.plus(order.fee);
|
||||
|
||||
totalUnits = totalUnits.plus(
|
||||
order.quantity.mul(this.getFactor(order.type))
|
||||
);
|
||||
|
||||
const valueOfInvestment = totalUnits.mul(order.unitPrice);
|
||||
|
||||
const grossPerformanceFromSell =
|
||||
order.type === TypeOfOrder.SELL
|
||||
? order.unitPrice.minus(lastAveragePrice).mul(order.quantity)
|
||||
: new Big(0);
|
||||
|
||||
grossPerformanceFromSells = grossPerformanceFromSells.plus(
|
||||
grossPerformanceFromSell
|
||||
);
|
||||
|
||||
totalInvestment = totalInvestment
|
||||
.plus(transactionInvestment)
|
||||
.plus(grossPerformanceFromSell);
|
||||
|
||||
lastAveragePrice = totalUnits.eq(0)
|
||||
? new Big(0)
|
||||
: totalInvestment.div(totalUnits);
|
||||
|
||||
const newGrossPerformance = valueOfInvestment
|
||||
.minus(totalInvestment)
|
||||
.plus(grossPerformanceFromSells);
|
||||
|
||||
if (
|
||||
i > indexOfStartOrder &&
|
||||
!lastValueOfInvestmentBeforeTransaction
|
||||
.plus(lastTransactionInvestment)
|
||||
.eq(0)
|
||||
) {
|
||||
const grossHoldingPeriodReturn = valueOfInvestmentBeforeTransaction
|
||||
.minus(
|
||||
lastValueOfInvestmentBeforeTransaction.plus(
|
||||
lastTransactionInvestment
|
||||
)
|
||||
)
|
||||
.div(
|
||||
lastValueOfInvestmentBeforeTransaction.plus(
|
||||
lastTransactionInvestment
|
||||
)
|
||||
);
|
||||
|
||||
timeWeightedGrossPerformancePercentage =
|
||||
timeWeightedGrossPerformancePercentage.mul(
|
||||
new Big(1).plus(grossHoldingPeriodReturn)
|
||||
);
|
||||
|
||||
const netHoldingPeriodReturn = valueOfInvestmentBeforeTransaction
|
||||
.minus(fees.minus(feesAtStartDate))
|
||||
.minus(
|
||||
lastValueOfInvestmentBeforeTransaction.plus(
|
||||
lastTransactionInvestment
|
||||
)
|
||||
)
|
||||
.div(
|
||||
lastValueOfInvestmentBeforeTransaction.plus(
|
||||
lastTransactionInvestment
|
||||
)
|
||||
);
|
||||
|
||||
timeWeightedNetPerformancePercentage =
|
||||
timeWeightedNetPerformancePercentage.mul(
|
||||
new Big(1).plus(netHoldingPeriodReturn)
|
||||
);
|
||||
|
||||
holdingPeriodPerformances.push({
|
||||
grossReturn: grossHoldingPeriodReturn,
|
||||
netReturn: netHoldingPeriodReturn,
|
||||
valueOfInvestment: lastValueOfInvestmentBeforeTransaction.plus(
|
||||
lastTransactionInvestment
|
||||
)
|
||||
});
|
||||
}
|
||||
|
||||
grossPerformance = newGrossPerformance;
|
||||
|
||||
lastTransactionInvestment = transactionInvestment;
|
||||
|
||||
lastValueOfInvestmentBeforeTransaction =
|
||||
valueOfInvestmentBeforeTransaction;
|
||||
|
||||
if (order.itemType === 'start') {
|
||||
feesAtStartDate = fees;
|
||||
grossPerformanceAtStartDate = grossPerformance;
|
||||
}
|
||||
}
|
||||
|
||||
timeWeightedGrossPerformancePercentage =
|
||||
timeWeightedGrossPerformancePercentage.minus(1);
|
||||
|
||||
timeWeightedNetPerformancePercentage =
|
||||
timeWeightedNetPerformancePercentage.minus(1);
|
||||
|
||||
const totalGrossPerformance = grossPerformance.minus(
|
||||
grossPerformanceAtStartDate
|
||||
);
|
||||
|
||||
const totalNetPerformance = grossPerformance
|
||||
.minus(grossPerformanceAtStartDate)
|
||||
.minus(fees.minus(feesAtStartDate));
|
||||
|
||||
let valueOfInvestmentSum = new Big(0);
|
||||
|
||||
for (const holdingPeriodPerformance of holdingPeriodPerformances) {
|
||||
valueOfInvestmentSum = valueOfInvestmentSum.plus(
|
||||
holdingPeriodPerformance.valueOfInvestment
|
||||
);
|
||||
}
|
||||
|
||||
let totalWeightedGrossPerformance = new Big(0);
|
||||
let totalWeightedNetPerformance = new Big(0);
|
||||
|
||||
// Weight the holding period returns according to their value of investment
|
||||
for (const holdingPeriodPerformance of holdingPeriodPerformances) {
|
||||
totalWeightedGrossPerformance = totalWeightedGrossPerformance.plus(
|
||||
holdingPeriodPerformance.grossReturn
|
||||
.mul(holdingPeriodPerformance.valueOfInvestment)
|
||||
.div(valueOfInvestmentSum)
|
||||
);
|
||||
|
||||
totalWeightedNetPerformance = totalWeightedNetPerformance.plus(
|
||||
holdingPeriodPerformance.netReturn
|
||||
.mul(holdingPeriodPerformance.valueOfInvestment)
|
||||
.div(valueOfInvestmentSum)
|
||||
);
|
||||
}
|
||||
|
||||
return {
|
||||
initialValue,
|
||||
hasErrors: !initialValue || !unitPriceAtEndDate,
|
||||
netPerformance: totalNetPerformance,
|
||||
netPerformancePercentage: totalWeightedNetPerformance,
|
||||
grossPerformance: totalGrossPerformance,
|
||||
grossPerformancePercentage: totalWeightedGrossPerformance
|
||||
};
|
||||
}
|
||||
|
||||
private isNextItemActive(
|
||||
timelineSpecification: TimelineSpecification[],
|
||||
currentDate: Date,
|
||||
|
||||
@ -42,6 +42,7 @@
|
||||
"start:server": "nx serve api --watch",
|
||||
"start:storybook": "nx run ui:storybook",
|
||||
"test": "nx test",
|
||||
"test:single": "nx test --test-file portfolio-calculator-new.spec.ts",
|
||||
"ts-node": "ts-node",
|
||||
"update": "nx migrate latest",
|
||||
"watch:server": "nx build api --watch",
|
||||
|
||||
Loading…
x
Reference in New Issue
Block a user