import { OrderType } from '@ghostfolio/api/models/order-type'; import { parseDate, resetHours } from '@ghostfolio/common/helper'; import { Currency } from '@prisma/client'; import Big from 'big.js'; import { addDays, differenceInCalendarDays, endOfDay, isBefore, isSameDay } from 'date-fns'; import { CurrentRateService } from './current-rate.service'; import { GetValueParams } from './interfaces/get-value-params.interface'; import { GetValuesParams } from './interfaces/get-values-params.interface'; import { PortfolioOrder } from './interfaces/portfolio-order.interface'; import { TimelinePeriod } from './interfaces/timeline-period.interface'; import { TimelineSpecification } from './interfaces/timeline-specification.interface'; import { TransactionPoint } from './interfaces/transaction-point.interface'; import { PortfolioCalculator } from './portfolio-calculator'; function mockGetValue(symbol: string, date: Date) { switch (symbol) { case 'AMZN': return { marketPrice: 2021.99 }; case 'MFA': if (isSameDay(parseDate('2010-12-31'), date)) { return { marketPrice: 1 }; } else if (isSameDay(parseDate('2011-08-15'), date)) { return { marketPrice: 1.162484 }; // 1162484 / 1000000 } else if (isSameDay(parseDate('2011-12-31'), date)) { return { marketPrice: 1.097884981 }; // 1192328 / 1086022.689344541 } return { marketPrice: 0 }; case 'SPA': if (isSameDay(parseDate('2013-12-31'), date)) { return { marketPrice: 1.025 }; // 205 / 200 } return { marketPrice: 0 }; case 'SPB': if (isSameDay(parseDate('2013-12-31'), date)) { return { marketPrice: 1.04 }; // 312 / 300 } return { marketPrice: 0 }; case 'TSLA': if (isSameDay(parseDate('2021-07-26'), date)) { return { marketPrice: 657.62 }; } else if (isSameDay(parseDate('2021-01-02'), date)) { return { marketPrice: 666.66 }; } return { marketPrice: 0 }; case 'VTI': return { marketPrice: new Big('144.38') .plus( new Big('0.08').mul( differenceInCalendarDays(date, parseDate('2019-02-01')) ) ) .toNumber() }; default: return { marketPrice: 0 }; } } jest.mock('./current-rate.service', () => { return { // eslint-disable-next-line @typescript-eslint/naming-convention CurrentRateService: jest.fn().mockImplementation(() => { return { getValue: ({ currency, date, symbol, userCurrency }: GetValueParams) => { return Promise.resolve(mockGetValue(symbol, date)); }, getValues: ({ currencies, dateQuery, symbols, userCurrency }: GetValuesParams) => { const result = []; if (dateQuery.lt) { for ( let date = resetHours(dateQuery.gte); isBefore(date, endOfDay(dateQuery.lt)); date = addDays(date, 1) ) { for (const symbol of symbols) { result.push({ date, symbol, marketPrice: mockGetValue(symbol, date).marketPrice }); } } } else { for (const date of dateQuery.in) { for (const symbol of symbols) { result.push({ date, symbol, marketPrice: mockGetValue(symbol, date).marketPrice }); } } } return Promise.resolve(result); } }; }) }; }); describe('PortfolioCalculator', () => { let currentRateService: CurrentRateService; beforeEach(() => { currentRateService = new CurrentRateService(null, null, null); }); describe('calculate transaction points', () => { it('with orders of only one symbol', () => { const portfolioCalculator = new PortfolioCalculator( currentRateService, Currency.USD ); portfolioCalculator.computeTransactionPoints(ordersVTI); const portfolioItemsAtTransactionPoints = portfolioCalculator.getTransactionPoints(); expect(portfolioItemsAtTransactionPoints).toEqual( ordersVTITransactionPoints ); }); it('with two orders at the same day of the same type', () => { const orders = [ ...ordersVTI, { currency: Currency.USD, date: '2021-02-01', name: 'Vanguard Total Stock Market Index Fund ETF Shares', quantity: new Big('20'), symbol: 'VTI', type: OrderType.Buy, unitPrice: new Big('197.15') } ]; const portfolioCalculator = new PortfolioCalculator( currentRateService, Currency.USD ); portfolioCalculator.computeTransactionPoints(orders); const portfolioItemsAtTransactionPoints = portfolioCalculator.getTransactionPoints(); expect(portfolioItemsAtTransactionPoints).toEqual([ { date: '2019-02-01', items: [ { currency: Currency.USD, firstBuyDate: '2019-02-01', investment: new Big('1443.8'), quantity: new Big('10'), symbol: 'VTI', transactionCount: 1 } ] }, { date: '2019-08-03', items: [ { currency: Currency.USD, firstBuyDate: '2019-02-01', investment: new Big('2923.7'), quantity: new Big('20'), symbol: 'VTI', transactionCount: 2 } ] }, { date: '2020-02-02', items: [ { currency: Currency.USD, firstBuyDate: '2019-02-01', investment: new Big('652.55'), quantity: new Big('5'), symbol: 'VTI', transactionCount: 3 } ] }, { date: '2021-02-01', items: [ { currency: Currency.USD, firstBuyDate: '2019-02-01', investment: new Big('6627.05'), quantity: new Big('35'), symbol: 'VTI', transactionCount: 5 } ] }, { date: '2021-08-01', items: [ { currency: Currency.USD, firstBuyDate: '2019-02-01', investment: new Big('8403.95'), quantity: new Big('45'), symbol: 'VTI', transactionCount: 6 } ] } ]); }); it('with additional order', () => { const orders = [ ...ordersVTI, { currency: Currency.USD, date: '2019-09-01', name: 'Amazon.com, Inc.', quantity: new Big('5'), symbol: 'AMZN', type: OrderType.Buy, unitPrice: new Big('2021.99') } ]; const portfolioCalculator = new PortfolioCalculator( currentRateService, Currency.USD ); portfolioCalculator.computeTransactionPoints(orders); const portfolioItemsAtTransactionPoints = portfolioCalculator.getTransactionPoints(); expect(portfolioItemsAtTransactionPoints).toEqual([ { date: '2019-02-01', items: [ { quantity: new Big('10'), symbol: 'VTI', investment: new Big('1443.8'), currency: Currency.USD, firstBuyDate: '2019-02-01', transactionCount: 1 } ] }, { date: '2019-08-03', items: [ { quantity: new Big('20'), symbol: 'VTI', investment: new Big('2923.7'), currency: Currency.USD, firstBuyDate: '2019-02-01', transactionCount: 2 } ] }, { date: '2019-09-01', items: [ { quantity: new Big('5'), symbol: 'AMZN', investment: new Big('10109.95'), currency: Currency.USD, firstBuyDate: '2019-09-01', transactionCount: 1 }, { quantity: new Big('20'), symbol: 'VTI', investment: new Big('2923.7'), currency: Currency.USD, firstBuyDate: '2019-02-01', transactionCount: 2 } ] }, { date: '2020-02-02', items: [ { quantity: new Big('5'), symbol: 'AMZN', investment: new Big('10109.95'), currency: Currency.USD, firstBuyDate: '2019-09-01', transactionCount: 1 }, { quantity: new Big('5'), symbol: 'VTI', investment: new Big('652.55'), currency: Currency.USD, firstBuyDate: '2019-02-01', transactionCount: 3 } ] }, { date: '2021-02-01', items: [ { quantity: new Big('5'), symbol: 'AMZN', investment: new Big('10109.95'), currency: Currency.USD, firstBuyDate: '2019-09-01', transactionCount: 1 }, { quantity: new Big('15'), symbol: 'VTI', investment: new Big('2684.05'), currency: Currency.USD, firstBuyDate: '2019-02-01', transactionCount: 4 } ] }, { date: '2021-08-01', items: [ { quantity: new Big('5'), symbol: 'AMZN', investment: new Big('10109.95'), currency: Currency.USD, firstBuyDate: '2019-09-01', transactionCount: 1 }, { quantity: new Big('25'), symbol: 'VTI', investment: new Big('4460.95'), currency: Currency.USD, firstBuyDate: '2019-02-01', transactionCount: 5 } ] } ]); }); it('with additional buy & sell', () => { const orders = [ ...ordersVTI, { date: '2019-09-01', name: 'Amazon.com, Inc.', quantity: new Big('5'), symbol: 'AMZN', type: OrderType.Buy, unitPrice: new Big('2021.99'), currency: Currency.USD }, { date: '2020-08-02', name: 'Amazon.com, Inc.', quantity: new Big('5'), symbol: 'AMZN', type: OrderType.Sell, unitPrice: new Big('2412.23'), currency: Currency.USD } ]; const portfolioCalculator = new PortfolioCalculator( currentRateService, Currency.USD ); portfolioCalculator.computeTransactionPoints(orders); const portfolioItemsAtTransactionPoints = portfolioCalculator.getTransactionPoints(); expect(portfolioItemsAtTransactionPoints).toEqual( transactionPointsBuyAndSell ); }); it('with mixed symbols', () => { const portfolioCalculator = new PortfolioCalculator( currentRateService, Currency.USD ); portfolioCalculator.computeTransactionPoints(ordersMixedSymbols); const portfolioItemsAtTransactionPoints = portfolioCalculator.getTransactionPoints(); expect(portfolioItemsAtTransactionPoints).toEqual([ { date: '2017-01-03', items: [ { quantity: new Big('50'), symbol: 'TSLA', investment: new Big('2148.5'), currency: Currency.USD, firstBuyDate: '2017-01-03', transactionCount: 1 } ] }, { date: '2017-07-01', items: [ { quantity: new Big('0.5614682'), symbol: 'BTCUSD', investment: new Big('1999.9999999999998659756'), currency: Currency.USD, firstBuyDate: '2017-07-01', transactionCount: 1 }, { quantity: new Big('50'), symbol: 'TSLA', investment: new Big('2148.5'), currency: Currency.USD, firstBuyDate: '2017-01-03', transactionCount: 1 } ] }, { date: '2018-09-01', items: [ { quantity: new Big('5'), symbol: 'AMZN', investment: new Big('10109.95'), currency: Currency.USD, firstBuyDate: '2018-09-01', transactionCount: 1 }, { quantity: new Big('0.5614682'), symbol: 'BTCUSD', investment: new Big('1999.9999999999998659756'), currency: Currency.USD, firstBuyDate: '2017-07-01', transactionCount: 1 }, { quantity: new Big('50'), symbol: 'TSLA', investment: new Big('2148.5'), currency: Currency.USD, firstBuyDate: '2017-01-03', transactionCount: 1 } ] } ]); }); }); describe('get current positions', () => { it('with single TSLA and early start', async () => { const portfolioCalculator = new PortfolioCalculator( currentRateService, Currency.USD ); portfolioCalculator.setTransactionPoints(orderTslaTransactionPoint); const spy = jest .spyOn(Date, 'now') .mockImplementation(() => new Date(Date.UTC(2021, 6, 26)).getTime()); // 2021-07-26 const currentPositions = await portfolioCalculator.getCurrentPositions( parseDate('2020-01-21') ); spy.mockRestore(); expect(currentPositions).toEqual({ hasErrors: false, currentValue: new Big('657.62'), grossPerformance: new Big('-61.84'), grossPerformancePercentage: new Big('-0.08595335390431712673'), totalInvestment: new Big('719.46'), positions: [ { averagePrice: new Big('719.46'), currency: 'USD', firstBuyDate: '2021-01-01', grossPerformance: new Big('-61.84'), // 657.62-719.46=-61.84 grossPerformancePercentage: new Big('-0.08595335390431712673'), // (657.62-719.46)/719.46=-0.08595335390431712673 investment: new Big('719.46'), marketPrice: 657.62, quantity: new Big('1'), symbol: 'TSLA', transactionCount: 1 } ] }); }); it('with single TSLA and buy day start', async () => { const portfolioCalculator = new PortfolioCalculator( currentRateService, Currency.USD ); portfolioCalculator.setTransactionPoints(orderTslaTransactionPoint); const spy = jest .spyOn(Date, 'now') .mockImplementation(() => new Date(Date.UTC(2021, 6, 26)).getTime()); // 2021-07-26 const currentPositions = await portfolioCalculator.getCurrentPositions( parseDate('2021-01-01') ); spy.mockRestore(); expect(currentPositions).toEqual({ hasErrors: false, currentValue: new Big('657.62'), grossPerformance: new Big('-61.84'), grossPerformancePercentage: new Big('-0.08595335390431712673'), totalInvestment: new Big('719.46'), positions: [ { averagePrice: new Big('719.46'), currency: 'USD', firstBuyDate: '2021-01-01', grossPerformance: new Big('-61.84'), // 657.62-719.46=-61.84 grossPerformancePercentage: new Big('-0.08595335390431712673'), // (657.62-719.46)/719.46=-0.08595335390431712673 investment: new Big('719.46'), marketPrice: 657.62, quantity: new Big('1'), symbol: 'TSLA', transactionCount: 1 } ] }); }); it('with single TSLA and late start', async () => { const portfolioCalculator = new PortfolioCalculator( currentRateService, Currency.USD ); portfolioCalculator.setTransactionPoints(orderTslaTransactionPoint); const spy = jest .spyOn(Date, 'now') .mockImplementation(() => new Date(Date.UTC(2021, 6, 26)).getTime()); // 2021-07-26 const currentPositions = await portfolioCalculator.getCurrentPositions( parseDate('2021-01-02') ); spy.mockRestore(); expect(currentPositions).toEqual({ hasErrors: false, currentValue: new Big('657.62'), grossPerformance: new Big('-9.04'), grossPerformancePercentage: new Big('-0.01356013560135601356'), totalInvestment: new Big('719.46'), positions: [ { averagePrice: new Big('719.46'), currency: 'USD', firstBuyDate: '2021-01-01', grossPerformance: new Big('-9.04'), // 657.62-666.66=-9.04 grossPerformancePercentage: new Big('-0.01356013560135601356'), // 657.62/666.66-1=-0.013560136 investment: new Big('719.46'), marketPrice: 657.62, quantity: new Big('1'), symbol: 'TSLA', transactionCount: 1 } ] }); }); it('with VTI only', async () => { const portfolioCalculator = new PortfolioCalculator( currentRateService, Currency.USD ); portfolioCalculator.setTransactionPoints(ordersVTITransactionPoints); const spy = jest .spyOn(Date, 'now') .mockImplementation(() => new Date(Date.UTC(2020, 9, 24)).getTime()); // 2020-10-24 const currentPositions = await portfolioCalculator.getCurrentPositions( parseDate('2019-01-01') ); spy.mockRestore(); expect(currentPositions).toEqual({ hasErrors: false, currentValue: new Big('4871.5'), grossPerformance: new Big('240.4'), grossPerformancePercentage: new Big('0.08839407904876477102'), totalInvestment: new Big('4460.95'), positions: [ { averagePrice: new Big('178.438'), currency: 'USD', firstBuyDate: '2019-02-01', // see next test for details about how to calculate this grossPerformance: new Big('240.4'), grossPerformancePercentage: new Big( '0.0883940790487647710162214425767848424215253864940558186258745429269647266073266478435285352186572448' ), investment: new Big('4460.95'), marketPrice: 194.86, quantity: new Big('25'), symbol: 'VTI', transactionCount: 5 } ] }); }); it('with buy and sell', async () => { const portfolioCalculator = new PortfolioCalculator( currentRateService, Currency.USD ); portfolioCalculator.setTransactionPoints(transactionPointsBuyAndSell); const spy = jest .spyOn(Date, 'now') .mockImplementation(() => new Date(Date.UTC(2020, 9, 24)).getTime()); // 2020-10-24 const currentPositions = await portfolioCalculator.getCurrentPositions( parseDate('2019-01-01') ); spy.mockRestore(); expect(currentPositions).toEqual({ hasErrors: false, currentValue: new Big('4871.5'), grossPerformance: new Big('240.4'), grossPerformancePercentage: new Big('0.01104605615757711361'), totalInvestment: new Big('4460.95'), positions: [ { averagePrice: new Big('0'), currency: 'USD', firstBuyDate: '2019-09-01', grossPerformance: new Big('0'), grossPerformancePercentage: new Big('0'), investment: new Big('0'), marketPrice: 2021.99, quantity: new Big('0'), symbol: 'AMZN', transactionCount: 2 }, { averagePrice: new Big('178.438'), currency: 'USD', firstBuyDate: '2019-02-01', grossPerformance: new Big('240.4'), grossPerformancePercentage: new Big( '0.08839407904876477101219019935616297754969945667391763908415656216989674494965785538864363782688167989866968512455219637257546280462751601552' ), investment: new Big('4460.95'), marketPrice: 194.86, quantity: new Big('25'), symbol: 'VTI', transactionCount: 5 } ] }); }); it('with buy, sell, buy', async () => { const portfolioCalculator = new PortfolioCalculator( currentRateService, Currency.USD ); portfolioCalculator.setTransactionPoints([ { date: '2019-09-01', items: [ { quantity: new Big('5'), symbol: 'VTI', investment: new Big('805.9'), currency: Currency.USD, firstBuyDate: '2019-09-01', transactionCount: 1 } ] }, { date: '2020-08-02', items: [ { quantity: new Big('0'), symbol: 'VTI', investment: new Big('0'), currency: Currency.USD, firstBuyDate: '2019-09-01', transactionCount: 2 } ] }, { date: '2021-02-01', items: [ { quantity: new Big('5'), symbol: 'VTI', investment: new Big('1013.9'), currency: Currency.USD, firstBuyDate: '2019-09-01', transactionCount: 3 } ] } ]); const spy = jest .spyOn(Date, 'now') .mockImplementation(() => new Date(Date.UTC(2021, 7, 1)).getTime()); // 2021-08-01 const currentPositions = await portfolioCalculator.getCurrentPositions( parseDate('2019-02-01') ); spy.mockRestore(); expect(currentPositions).toEqual({ hasErrors: false, currentValue: new Big('1086.7'), grossPerformance: new Big('207.6'), grossPerformancePercentage: new Big('0.2516103956224511062'), totalInvestment: new Big('1013.9'), positions: [ { averagePrice: new Big('202.78'), currency: 'USD', firstBuyDate: '2019-09-01', grossPerformance: new Big('207.6'), grossPerformancePercentage: new Big( '0.2516103956224511061954915466429950404846' ), investment: new Big('1013.9'), marketPrice: 217.34, quantity: new Big('5'), symbol: 'VTI', transactionCount: 3 } ] }); }); it('with performance since Jan 1st, 2020', async () => { const portfolioCalculator = new PortfolioCalculator( currentRateService, Currency.USD ); const transactionPoints = [ { date: '2019-02-01', items: [ { quantity: new Big('10'), name: 'Vanguard Total Stock Market Index Fund ETF Shares', symbol: 'VTI', investment: new Big('1443.8'), currency: Currency.USD, firstBuyDate: '2019-02-01', transactionCount: 1 } ] }, { date: '2020-08-03', items: [ { quantity: new Big('20'), name: 'Vanguard Total Stock Market Index Fund ETF Shares', symbol: 'VTI', investment: new Big('2923.7'), currency: Currency.USD, firstBuyDate: '2019-02-01', transactionCount: 2 } ] } ]; portfolioCalculator.setTransactionPoints(transactionPoints); const spy = jest .spyOn(Date, 'now') .mockImplementation(() => new Date(Date.UTC(2020, 9, 24)).getTime()); // 2020-10-24 // 2020-01-01 -> days 334 => value: VTI: 144.38+334*0.08=171.1 => 10*171.10=1711 // 2020-08-03 -> days 549 => value: VTI: 144.38+549*0.08=188.3 => 10*188.30=1883 => 1883/1711 = 1.100526008 // 2020-08-03 -> days 549 => value: VTI: 144.38+549*0.08=188.3 => 20*188.30=3766 // cash flow: 2923.7-1443.8=1479.9 // 2020-10-24 [today] -> days 631 => value: VTI: 144.38+631*0.08=194.86 => 20*194.86=3897.2 => 3897.2/(1883+1479.9) = 1.158880728 // gross performance: 1883-1711 + 3897.2-3766 = 303.2 // gross performance percentage: 1.100526008 * 1.158880728 = 1.275378381 => 27.5378381 % const currentPositions = await portfolioCalculator.getCurrentPositions( parseDate('2020-01-01') ); spy.mockRestore(); expect(currentPositions).toEqual({ hasErrors: false, currentValue: new Big('3897.2'), grossPerformance: new Big('303.2'), grossPerformancePercentage: new Big('0.27537838148272398344'), totalInvestment: new Big('2923.7'), positions: [ { averagePrice: new Big('146.185'), firstBuyDate: '2019-02-01', quantity: new Big('20'), symbol: 'VTI', investment: new Big('2923.7'), marketPrice: 194.86, transactionCount: 2, grossPerformance: new Big('303.2'), grossPerformancePercentage: new Big( '0.2753783814827239834392742298083677500037' ), currency: 'USD' } ] }); }); /** * Source: https://www.investopedia.com/terms/t/time-weightedror.asp */ it('with TWR example from Investopedia: Scenario 1', async () => { const portfolioCalculator = new PortfolioCalculator( currentRateService, Currency.USD ); portfolioCalculator.setTransactionPoints([ { date: '2010-12-31', items: [ { quantity: new Big('1000000'), // 1 million symbol: 'MFA', // Mutual Fund A investment: new Big('1000000'), // 1 million currency: Currency.USD, firstBuyDate: '2010-12-31', transactionCount: 1 } ] }, { date: '2011-08-15', items: [ { quantity: new Big('1086022.689344541'), // 1,000,000 + 100,000 / 1.162484 symbol: 'MFA', // Mutual Fund A investment: new Big('1100000'), // 1,000,000 + 100,000 currency: Currency.USD, firstBuyDate: '2010-12-31', transactionCount: 2 } ] } ]); const spy = jest .spyOn(Date, 'now') .mockImplementation(() => new Date(Date.UTC(2011, 11, 31)).getTime()); // 2011-12-31 const currentPositions = await portfolioCalculator.getCurrentPositions( parseDate('2010-12-31') ); spy.mockRestore(); expect(currentPositions).toEqual({ hasErrors: false, currentValue: new Big('1192327.999656600298238721'), grossPerformance: new Big('92327.999656600898394721'), grossPerformancePercentage: new Big('0.09788498099999947809'), totalInvestment: new Big('1100000'), positions: [ { averagePrice: new Big('1.01287018290924923237'), // 1'100'000 / 1'086'022.689344542 firstBuyDate: '2010-12-31', quantity: new Big('1086022.689344541'), symbol: 'MFA', investment: new Big('1100000'), marketPrice: 1.097884981, transactionCount: 2, grossPerformance: new Big('92327.999656600898394721'), // 1'192'328 - 1'100'000 = 92'328 grossPerformancePercentage: new Big('0.09788498099999947808927632'), // 9.79 % currency: 'USD' } ] }); }); /** * Source: https://www.chsoft.ch/en/assets/Dateien/files/PDF/ePoca/en/Practical%20Performance%20Calculation.pdf */ it('with example from chsoft.ch: Performance of a Combination of Investments', async () => { const portfolioCalculator = new PortfolioCalculator( currentRateService, Currency.CHF ); portfolioCalculator.setTransactionPoints([ { date: '2012-12-31', items: [ { quantity: new Big('200'), symbol: 'SPA', // Sub Portfolio A investment: new Big('200'), currency: Currency.CHF, firstBuyDate: '2012-12-31', transactionCount: 1 }, { quantity: new Big('300'), symbol: 'SPB', // Sub Portfolio B investment: new Big('300'), currency: Currency.CHF, firstBuyDate: '2012-12-31', transactionCount: 1 } ] }, { date: '2013-12-31', items: [ { quantity: new Big('200'), symbol: 'SPA', // Sub Portfolio A investment: new Big('200'), currency: Currency.CHF, firstBuyDate: '2012-12-31', transactionCount: 1 }, { quantity: new Big('300'), symbol: 'SPB', // Sub Portfolio B investment: new Big('300'), currency: Currency.CHF, firstBuyDate: '2012-12-31', transactionCount: 1 } ] } ]); const spy = jest .spyOn(Date, 'now') .mockImplementation(() => new Date(Date.UTC(2013, 11, 31)).getTime()); // 2013-12-31 const currentPositions = await portfolioCalculator.getCurrentPositions( parseDate('2012-12-31') ); spy.mockRestore(); expect(currentPositions).toEqual({ currentValue: new Big('517'), grossPerformance: new Big('17'), // 517 - 500 grossPerformancePercentage: new Big('0.034'), // ((200 * 0.025) + (300 * 0.04)) / (200 + 300) = 3.4% totalInvestment: new Big('500'), hasErrors: false, positions: [ { averagePrice: new Big('1'), firstBuyDate: '2012-12-31', quantity: new Big('200'), symbol: 'SPA', investment: new Big('200'), marketPrice: 1.025, // 205 / 200 transactionCount: 1, grossPerformance: new Big('5'), // 205 - 200 grossPerformancePercentage: new Big('0.025'), currency: 'CHF' }, { averagePrice: new Big('1'), firstBuyDate: '2012-12-31', quantity: new Big('300'), symbol: 'SPB', investment: new Big('300'), marketPrice: 1.04, // 312 / 300 transactionCount: 1, grossPerformance: new Big('12'), // 312 - 300 grossPerformancePercentage: new Big('0.04'), currency: 'CHF' } ] }); }); }); describe('calculate timeline', () => { it('with yearly', async () => { const portfolioCalculator = new PortfolioCalculator( currentRateService, Currency.USD ); portfolioCalculator.setTransactionPoints(ordersVTITransactionPoints); const timelineSpecification: TimelineSpecification[] = [ { start: '2019-01-01', accuracy: 'year' } ]; const timeline: TimelinePeriod[] = await portfolioCalculator.calculateTimeline( timelineSpecification, '2021-06-30' ); expect(timeline).toEqual([ { date: '2019-01-01', grossPerformance: new Big('0'), investment: new Big('0'), value: new Big('0') }, { date: '2020-01-01', grossPerformance: new Big('498.3'), investment: new Big('2923.7'), value: new Big('3422') // 20 * (144.38 + days=335 * 0.08) }, { date: '2021-01-01', grossPerformance: new Big('349.35'), investment: new Big('652.55'), value: new Big('1001.9') // 5 * (144.38 + days=700 * 0.08) } ]); }); it('with monthly', async () => { const portfolioCalculator = new PortfolioCalculator( currentRateService, Currency.USD ); portfolioCalculator.setTransactionPoints(ordersVTITransactionPoints); const timelineSpecification: TimelineSpecification[] = [ { start: '2019-01-01', accuracy: 'month' } ]; const timeline: TimelinePeriod[] = await portfolioCalculator.calculateTimeline( timelineSpecification, '2021-06-30' ); expect(timeline).toEqual([ { date: '2019-01-01', grossPerformance: new Big('0'), investment: new Big('0'), value: new Big('0') }, { date: '2019-02-01', grossPerformance: new Big('0'), investment: new Big('1443.8'), value: new Big('1443.8') // 10 * (144.38 + days=0 * 0.08) }, { date: '2019-03-01', grossPerformance: new Big('22.4'), investment: new Big('1443.8'), value: new Big('1466.2') // 10 * (144.38 + days=28 * 0.08) }, { date: '2019-04-01', grossPerformance: new Big('47.2'), investment: new Big('1443.8'), value: new Big('1491') // 10 * (144.38 + days=59 * 0.08) }, { date: '2019-05-01', grossPerformance: new Big('71.2'), investment: new Big('1443.8'), value: new Big('1515') // 10 * (144.38 + days=89 * 0.08) }, { date: '2019-06-01', grossPerformance: new Big('96'), investment: new Big('1443.8'), value: new Big('1539.8') // 10 * (144.38 + days=120 * 0.08) }, { date: '2019-07-01', grossPerformance: new Big('120'), investment: new Big('1443.8'), value: new Big('1563.8') // 10 * (144.38 + days=150 * 0.08) }, { date: '2019-08-01', grossPerformance: new Big('144.8'), investment: new Big('1443.8'), value: new Big('1588.6') // 10 * (144.38 + days=181 * 0.08) }, { date: '2019-09-01', grossPerformance: new Big('303.1'), investment: new Big('2923.7'), value: new Big('3226.8') // 20 * (144.38 + days=212 * 0.08) }, { date: '2019-10-01', grossPerformance: new Big('351.1'), investment: new Big('2923.7'), value: new Big('3274.8') // 20 * (144.38 + days=242 * 0.08) }, { date: '2019-11-01', grossPerformance: new Big('400.7'), investment: new Big('2923.7'), value: new Big('3324.4') // 20 * (144.38 + days=273 * 0.08) }, { date: '2019-12-01', grossPerformance: new Big('448.7'), investment: new Big('2923.7'), value: new Big('3372.4') // 20 * (144.38 + days=303 * 0.08) }, { date: '2020-01-01', grossPerformance: new Big('498.3'), investment: new Big('2923.7'), value: new Big('3422') // 20 * (144.38 + days=335 * 0.08) }, { date: '2020-02-01', grossPerformance: new Big('547.9'), investment: new Big('2923.7'), value: new Big('3471.6') // 20 * (144.38 + days=365 * 0.08) }, { date: '2020-03-01', grossPerformance: new Big('226.95'), investment: new Big('652.55'), value: new Big('879.5') // 5 * (144.38 + days=394 * 0.08) }, { date: '2020-04-01', grossPerformance: new Big('239.35'), investment: new Big('652.55'), value: new Big('891.9') // 5 * (144.38 + days=425 * 0.08) }, { date: '2020-05-01', grossPerformance: new Big('251.35'), investment: new Big('652.55'), value: new Big('903.9') // 5 * (144.38 + days=455 * 0.08) }, { date: '2020-06-01', grossPerformance: new Big('263.75'), investment: new Big('652.55'), value: new Big('916.3') // 5 * (144.38 + days=486 * 0.08) }, { date: '2020-07-01', grossPerformance: new Big('275.75'), investment: new Big('652.55'), value: new Big('928.3') // 5 * (144.38 + days=516 * 0.08) }, { date: '2020-08-01', grossPerformance: new Big('288.15'), investment: new Big('652.55'), value: new Big('940.7') // 5 * (144.38 + days=547 * 0.08) }, { date: '2020-09-01', grossPerformance: new Big('300.55'), investment: new Big('652.55'), value: new Big('953.1') // 5 * (144.38 + days=578 * 0.08) }, { date: '2020-10-01', grossPerformance: new Big('312.55'), investment: new Big('652.55'), value: new Big('965.1') // 5 * (144.38 + days=608 * 0.08) }, { date: '2020-11-01', grossPerformance: new Big('324.95'), investment: new Big('652.55'), value: new Big('977.5') // 5 * (144.38 + days=639 * 0.08) }, { date: '2020-12-01', grossPerformance: new Big('336.95'), investment: new Big('652.55'), value: new Big('989.5') // 5 * (144.38 + days=669 * 0.08) }, { date: '2021-01-01', grossPerformance: new Big('349.35'), investment: new Big('652.55'), value: new Big('1001.9') // 5 * (144.38 + days=700 * 0.08) }, { date: '2021-02-01', grossPerformance: new Big('358.85'), investment: new Big('2684.05'), value: new Big('3042.9') // 15 * (144.38 + days=731 * 0.08) }, { date: '2021-03-01', grossPerformance: new Big('392.45'), investment: new Big('2684.05'), value: new Big('3076.5') // 15 * (144.38 + days=759 * 0.08) }, { date: '2021-04-01', grossPerformance: new Big('429.65'), investment: new Big('2684.05'), value: new Big('3113.7') // 15 * (144.38 + days=790 * 0.08) }, { date: '2021-05-01', grossPerformance: new Big('465.65'), investment: new Big('2684.05'), value: new Big('3149.7') // 15 * (144.38 + days=820 * 0.08) }, { date: '2021-06-01', grossPerformance: new Big('502.85'), investment: new Big('2684.05'), value: new Big('3186.9') // 15 * (144.38 + days=851 * 0.08) } ]); }); it('with yearly and monthly mixed', async () => { const portfolioCalculator = new PortfolioCalculator( currentRateService, Currency.USD ); portfolioCalculator.setTransactionPoints(ordersVTITransactionPoints); const timelineSpecification: TimelineSpecification[] = [ { start: '2019-01-01', accuracy: 'year' }, { start: '2021-01-01', accuracy: 'month' } ]; const timeline: TimelinePeriod[] = await portfolioCalculator.calculateTimeline( timelineSpecification, '2021-06-30' ); expect(timeline).toEqual([ { date: '2019-01-01', grossPerformance: new Big('0'), investment: new Big('0'), value: new Big('0') }, { date: '2020-01-01', grossPerformance: new Big('498.3'), investment: new Big('2923.7'), value: new Big('3422') // 20 * (144.38 + days=335 * 0.08) }, { date: '2021-01-01', grossPerformance: new Big('349.35'), investment: new Big('652.55'), value: new Big('1001.9') // 5 * (144.38 + days=700 * 0.08) }, { date: '2021-02-01', grossPerformance: new Big('358.85'), investment: new Big('2684.05'), value: new Big('3042.9') // 15 * (144.38 + days=731 * 0.08) }, { date: '2021-03-01', grossPerformance: new Big('392.45'), investment: new Big('2684.05'), value: new Big('3076.5') // 15 * (144.38 + days=759 * 0.08) }, { date: '2021-04-01', grossPerformance: new Big('429.65'), investment: new Big('2684.05'), value: new Big('3113.7') // 15 * (144.38 + days=790 * 0.08) }, { date: '2021-05-01', grossPerformance: new Big('465.65'), investment: new Big('2684.05'), value: new Big('3149.7') // 15 * (144.38 + days=820 * 0.08) }, { date: '2021-06-01', grossPerformance: new Big('502.85'), investment: new Big('2684.05'), value: new Big('3186.9') // 15 * (144.38 + days=851 * 0.08) } ]); }); it('with all mixed', async () => { const portfolioCalculator = new PortfolioCalculator( currentRateService, Currency.USD ); portfolioCalculator.setTransactionPoints(ordersVTITransactionPoints); const timelineSpecification: TimelineSpecification[] = [ { start: '2019-01-01', accuracy: 'year' }, { start: '2021-01-01', accuracy: 'month' }, { start: '2021-06-01', accuracy: 'day' } ]; const timeline: TimelinePeriod[] = await portfolioCalculator.calculateTimeline( timelineSpecification, '2021-06-30' ); expect(timeline).toEqual( expect.objectContaining([ { date: '2019-01-01', grossPerformance: new Big('0'), investment: new Big('0'), value: new Big('0') }, { date: '2020-01-01', grossPerformance: new Big('498.3'), investment: new Big('2923.7'), value: new Big('3422') // 20 * (144.38 + days=335 * 0.08) }, { date: '2021-01-01', grossPerformance: new Big('349.35'), investment: new Big('652.55'), value: new Big('1001.9') // 5 * (144.38 + days=700 * 0.08) }, { date: '2021-02-01', grossPerformance: new Big('358.85'), investment: new Big('2684.05'), value: new Big('3042.9') // 15 * (144.38 + days=731 * 0.08) }, { date: '2021-03-01', grossPerformance: new Big('392.45'), investment: new Big('2684.05'), value: new Big('3076.5') // 15 * (144.38 + days=759 * 0.08) }, { date: '2021-04-01', grossPerformance: new Big('429.65'), investment: new Big('2684.05'), value: new Big('3113.7') // 15 * (144.38 + days=790 * 0.08) }, { date: '2021-05-01', grossPerformance: new Big('465.65'), investment: new Big('2684.05'), value: new Big('3149.7') // 15 * (144.38 + days=820 * 0.08) }, { date: '2021-06-01', grossPerformance: new Big('502.85'), investment: new Big('2684.05'), value: new Big('3186.9') // 15 * (144.38 + days=851 * 0.08) }, { date: '2021-06-02', grossPerformance: new Big('504.05'), investment: new Big('2684.05'), value: new Big('3188.1') // 15 * (144.38 + days=852 * 0.08) / +1.2 }, { date: '2021-06-03', grossPerformance: new Big('505.25'), investment: new Big('2684.05'), value: new Big('3189.3') // +1.2 }, { date: '2021-06-04', grossPerformance: new Big('506.45'), investment: new Big('2684.05'), value: new Big('3190.5') // +1.2 }, { date: '2021-06-05', grossPerformance: new Big('507.65'), investment: new Big('2684.05'), value: new Big('3191.7') // +1.2 }, { date: '2021-06-06', grossPerformance: new Big('508.85'), investment: new Big('2684.05'), value: new Big('3192.9') // +1.2 }, { date: '2021-06-07', grossPerformance: new Big('510.05'), investment: new Big('2684.05'), value: new Big('3194.1') // +1.2 }, { date: '2021-06-08', grossPerformance: new Big('511.25'), investment: new Big('2684.05'), value: new Big('3195.3') // +1.2 }, { date: '2021-06-09', grossPerformance: new Big('512.45'), investment: new Big('2684.05'), value: new Big('3196.5') // +1.2 }, { date: '2021-06-10', grossPerformance: new Big('513.65'), investment: new Big('2684.05'), value: new Big('3197.7') // +1.2 }, { date: '2021-06-11', grossPerformance: new Big('514.85'), investment: new Big('2684.05'), value: new Big('3198.9') // +1.2 }, { date: '2021-06-12', grossPerformance: new Big('516.05'), investment: new Big('2684.05'), value: new Big('3200.1') // +1.2 }, { date: '2021-06-13', grossPerformance: new Big('517.25'), investment: new Big('2684.05'), value: new Big('3201.3') // +1.2 }, { date: '2021-06-14', grossPerformance: new Big('518.45'), investment: new Big('2684.05'), value: new Big('3202.5') // +1.2 }, { date: '2021-06-15', grossPerformance: new Big('519.65'), investment: new Big('2684.05'), value: new Big('3203.7') // +1.2 }, { date: '2021-06-16', grossPerformance: new Big('520.85'), investment: new Big('2684.05'), value: new Big('3204.9') // +1.2 }, { date: '2021-06-17', grossPerformance: new Big('522.05'), investment: new Big('2684.05'), value: new Big('3206.1') // +1.2 }, { date: '2021-06-18', grossPerformance: new Big('523.25'), investment: new Big('2684.05'), value: new Big('3207.3') // +1.2 }, { date: '2021-06-19', grossPerformance: new Big('524.45'), investment: new Big('2684.05'), value: new Big('3208.5') // +1.2 }, { date: '2021-06-20', grossPerformance: new Big('525.65'), investment: new Big('2684.05'), value: new Big('3209.7') // +1.2 }, { date: '2021-06-21', grossPerformance: new Big('526.85'), investment: new Big('2684.05'), value: new Big('3210.9') // +1.2 }, { date: '2021-06-22', grossPerformance: new Big('528.05'), investment: new Big('2684.05'), value: new Big('3212.1') // +1.2 }, { date: '2021-06-23', grossPerformance: new Big('529.25'), investment: new Big('2684.05'), value: new Big('3213.3') // +1.2 }, { date: '2021-06-24', grossPerformance: new Big('530.45'), investment: new Big('2684.05'), value: new Big('3214.5') // +1.2 }, { date: '2021-06-25', grossPerformance: new Big('531.65'), investment: new Big('2684.05'), value: new Big('3215.7') // +1.2 }, { date: '2021-06-26', grossPerformance: new Big('532.85'), investment: new Big('2684.05'), value: new Big('3216.9') // +1.2 }, { date: '2021-06-27', grossPerformance: new Big('534.05'), investment: new Big('2684.05'), value: new Big('3218.1') // +1.2 }, { date: '2021-06-28', grossPerformance: new Big('535.25'), investment: new Big('2684.05'), value: new Big('3219.3') // +1.2 }, { date: '2021-06-29', grossPerformance: new Big('536.45'), investment: new Big('2684.05'), value: new Big('3220.5') // +1.2 }, { date: '2021-06-30', grossPerformance: new Big('537.65'), investment: new Big('2684.05'), value: new Big('3221.7') // +1.2 } ]) ); }); it('with mixed portfolio', async () => { const portfolioCalculator = new PortfolioCalculator( currentRateService, Currency.USD ); portfolioCalculator.setTransactionPoints([ { date: '2019-02-01', items: [ { quantity: new Big('5'), symbol: 'AMZN', investment: new Big('10109.95'), currency: Currency.USD, firstBuyDate: '2019-02-01', transactionCount: 1 }, { quantity: new Big('10'), symbol: 'VTI', investment: new Big('1443.8'), currency: Currency.USD, firstBuyDate: '2019-02-01', transactionCount: 1 } ] } ]); const timelineSpecification: TimelineSpecification[] = [ { start: '2019-01-01', accuracy: 'year' } ]; const timeline: TimelinePeriod[] = await portfolioCalculator.calculateTimeline( timelineSpecification, '2020-01-01' ); expect(timeline).toEqual([ { date: '2019-01-01', grossPerformance: new Big('0'), investment: new Big('0'), value: new Big('0') }, { date: '2020-01-01', grossPerformance: new Big('267.2'), investment: new Big('11553.75'), value: new Big('11820.95') // 10 * (144.38 + days=334 * 0.08) + 5 * 2021.99 } ]); }); }); }); const ordersMixedSymbols: PortfolioOrder[] = [ { date: '2017-01-03', name: 'Tesla, Inc.', quantity: new Big('50'), symbol: 'TSLA', type: OrderType.Buy, unitPrice: new Big('42.97'), currency: Currency.USD }, { date: '2017-07-01', name: 'Bitcoin USD', quantity: new Big('0.5614682'), symbol: 'BTCUSD', type: OrderType.Buy, unitPrice: new Big('3562.089535970158'), currency: Currency.USD }, { date: '2018-09-01', name: 'Amazon.com, Inc.', quantity: new Big('5'), symbol: 'AMZN', type: OrderType.Buy, unitPrice: new Big('2021.99'), currency: Currency.USD } ]; const ordersVTI: PortfolioOrder[] = [ { date: '2019-02-01', name: 'Vanguard Total Stock Market Index Fund ETF Shares', quantity: new Big('10'), symbol: 'VTI', type: OrderType.Buy, unitPrice: new Big('144.38'), currency: Currency.USD }, { date: '2019-08-03', name: 'Vanguard Total Stock Market Index Fund ETF Shares', quantity: new Big('10'), symbol: 'VTI', type: OrderType.Buy, unitPrice: new Big('147.99'), currency: Currency.USD }, { date: '2020-02-02', name: 'Vanguard Total Stock Market Index Fund ETF Shares', quantity: new Big('15'), symbol: 'VTI', type: OrderType.Sell, unitPrice: new Big('151.41'), currency: Currency.USD }, { date: '2021-08-01', name: 'Vanguard Total Stock Market Index Fund ETF Shares', quantity: new Big('10'), symbol: 'VTI', type: OrderType.Buy, unitPrice: new Big('177.69'), currency: Currency.USD }, { date: '2021-02-01', name: 'Vanguard Total Stock Market Index Fund ETF Shares', quantity: new Big('10'), symbol: 'VTI', type: OrderType.Buy, unitPrice: new Big('203.15'), currency: Currency.USD } ]; const orderTslaTransactionPoint: TransactionPoint[] = [ { date: '2021-01-01', items: [ { quantity: new Big('1'), symbol: 'TSLA', investment: new Big('719.46'), currency: Currency.USD, firstBuyDate: '2021-01-01', transactionCount: 1 } ] } ]; const ordersVTITransactionPoints: TransactionPoint[] = [ { date: '2019-02-01', items: [ { quantity: new Big('10'), symbol: 'VTI', investment: new Big('1443.8'), currency: Currency.USD, firstBuyDate: '2019-02-01', transactionCount: 1 } ] }, { date: '2019-08-03', items: [ { quantity: new Big('20'), symbol: 'VTI', investment: new Big('2923.7'), currency: Currency.USD, firstBuyDate: '2019-02-01', transactionCount: 2 } ] }, { date: '2020-02-02', items: [ { quantity: new Big('5'), symbol: 'VTI', investment: new Big('652.55'), currency: Currency.USD, firstBuyDate: '2019-02-01', transactionCount: 3 } ] }, { date: '2021-02-01', items: [ { quantity: new Big('15'), symbol: 'VTI', investment: new Big('2684.05'), currency: Currency.USD, firstBuyDate: '2019-02-01', transactionCount: 4 } ] }, { date: '2021-08-01', items: [ { quantity: new Big('25'), symbol: 'VTI', investment: new Big('4460.95'), currency: Currency.USD, firstBuyDate: '2019-02-01', transactionCount: 5 } ] } ]; const transactionPointsBuyAndSell = [ { date: '2019-02-01', items: [ { quantity: new Big('10'), symbol: 'VTI', investment: new Big('1443.8'), currency: Currency.USD, firstBuyDate: '2019-02-01', transactionCount: 1 } ] }, { date: '2019-08-03', items: [ { quantity: new Big('20'), symbol: 'VTI', investment: new Big('2923.7'), currency: Currency.USD, firstBuyDate: '2019-02-01', transactionCount: 2 } ] }, { date: '2019-09-01', items: [ { quantity: new Big('5'), symbol: 'AMZN', investment: new Big('10109.95'), currency: Currency.USD, firstBuyDate: '2019-09-01', transactionCount: 1 }, { quantity: new Big('20'), symbol: 'VTI', investment: new Big('2923.7'), currency: Currency.USD, firstBuyDate: '2019-02-01', transactionCount: 2 } ] }, { date: '2020-02-02', items: [ { quantity: new Big('5'), symbol: 'AMZN', investment: new Big('10109.95'), currency: Currency.USD, firstBuyDate: '2019-09-01', transactionCount: 1 }, { quantity: new Big('5'), symbol: 'VTI', investment: new Big('652.55'), currency: Currency.USD, firstBuyDate: '2019-02-01', transactionCount: 3 } ] }, { date: '2020-08-02', items: [ { quantity: new Big('0'), symbol: 'AMZN', investment: new Big('0'), currency: Currency.USD, firstBuyDate: '2019-09-01', transactionCount: 2 }, { quantity: new Big('5'), symbol: 'VTI', investment: new Big('652.55'), currency: Currency.USD, firstBuyDate: '2019-02-01', transactionCount: 3 } ] }, { date: '2021-02-01', items: [ { quantity: new Big('0'), symbol: 'AMZN', investment: new Big('0'), currency: Currency.USD, firstBuyDate: '2019-09-01', transactionCount: 2 }, { quantity: new Big('15'), symbol: 'VTI', investment: new Big('2684.05'), currency: Currency.USD, firstBuyDate: '2019-02-01', transactionCount: 4 } ] }, { date: '2021-08-01', items: [ { quantity: new Big('0'), symbol: 'AMZN', investment: new Big('0'), currency: Currency.USD, firstBuyDate: '2019-09-01', transactionCount: 2 }, { quantity: new Big('25'), symbol: 'VTI', investment: new Big('4460.95'), currency: Currency.USD, firstBuyDate: '2019-02-01', transactionCount: 5 } ] } ];