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Remove TWR calculation (#1377)

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Thomas Kaul 2022-10-18 21:06:28 +02:00 committed by GitHub
parent 8fd1fbd44a
commit f9e04022f4
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GPG Key ID: 4AEE18F83AFDEB23
1 changed files with 49 additions and 49 deletions
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98
apps/api/src/app/portfolio/portfolio-calculator.ts
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@ -900,12 +900,12 @@ export class PortfolioCalculator {
let investmentAtStartDate: Big;
const investmentValues: { [date: string]: Big } = {};
let lastAveragePrice = new Big(0);
let lastTransactionInvestment = new Big(0);
let lastValueOfInvestmentBeforeTransaction = new Big(0);
// let lastTransactionInvestment = new Big(0);
// let lastValueOfInvestmentBeforeTransaction = new Big(0);
let maxTotalInvestment = new Big(0);
const netPerformanceValues: { [date: string]: Big } = {};
let timeWeightedGrossPerformancePercentage = new Big(1);
let timeWeightedNetPerformancePercentage = new Big(1);
// let timeWeightedGrossPerformancePercentage = new Big(1);
// let timeWeightedNetPerformancePercentage = new Big(1);
let totalInvestment = new Big(0);
let totalInvestmentWithGrossPerformanceFromSell = new Big(0);
let totalUnits = new Big(0);
@ -1082,54 +1082,54 @@ export class PortfolioCalculator {
.minus(totalInvestmentWithGrossPerformanceFromSell)
.plus(grossPerformanceFromSells);
if (
i > indexOfStartOrder &&
!lastValueOfInvestmentBeforeTransaction
.plus(lastTransactionInvestment)
.eq(0)
) {
const grossHoldingPeriodReturn = valueOfInvestmentBeforeTransaction
.minus(
lastValueOfInvestmentBeforeTransaction.plus(
lastTransactionInvestment
)
)
.div(
lastValueOfInvestmentBeforeTransaction.plus(
lastTransactionInvestment
)
);
// 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)
);
// timeWeightedGrossPerformancePercentage =
// timeWeightedGrossPerformancePercentage.mul(
// new Big(1).plus(grossHoldingPeriodReturn)
// );
const netHoldingPeriodReturn = valueOfInvestmentBeforeTransaction
.minus(fees.minus(feesAtStartDate))
.minus(
lastValueOfInvestmentBeforeTransaction.plus(
lastTransactionInvestment
)
)
.div(
lastValueOfInvestmentBeforeTransaction.plus(
lastTransactionInvestment
)
);
// const netHoldingPeriodReturn = valueOfInvestmentBeforeTransaction
// .minus(fees.minus(feesAtStartDate))
// .minus(
// lastValueOfInvestmentBeforeTransaction.plus(
// lastTransactionInvestment
// )
// )
// .div(
// lastValueOfInvestmentBeforeTransaction.plus(
// lastTransactionInvestment
// )
// );
timeWeightedNetPerformancePercentage =
timeWeightedNetPerformancePercentage.mul(
new Big(1).plus(netHoldingPeriodReturn)
);
}
// timeWeightedNetPerformancePercentage =
// timeWeightedNetPerformancePercentage.mul(
// new Big(1).plus(netHoldingPeriodReturn)
// );
// }
grossPerformance = newGrossPerformance;
lastTransactionInvestment = transactionInvestment;
// lastTransactionInvestment = transactionInvestment;
lastValueOfInvestmentBeforeTransaction =
valueOfInvestmentBeforeTransaction;
// lastValueOfInvestmentBeforeTransaction =
// valueOfInvestmentBeforeTransaction;
if (order.itemType === 'start') {
feesAtStartDate = fees;
@ -1149,11 +1149,11 @@ export class PortfolioCalculator {
}
}
timeWeightedGrossPerformancePercentage =
timeWeightedGrossPerformancePercentage.minus(1);
// timeWeightedGrossPerformancePercentage =
// timeWeightedGrossPerformancePercentage.minus(1);
timeWeightedNetPerformancePercentage =
timeWeightedNetPerformancePercentage.minus(1);
// timeWeightedNetPerformancePercentage =
// timeWeightedNetPerformancePercentage.minus(1);
const totalGrossPerformance = grossPerformance.minus(
grossPerformanceAtStartDate