[Blotter-commits] r305 - pkg/blotter/R

[noreply at r-forge.r-project.org]

Author: peter_carl
Date: 2010-03-26 15:28:57 +0100 (Fri, 26 Mar 2010)
New Revision: 305

Modified:
   pkg/blotter/R/addTxn.R
   pkg/blotter/R/calcPosAvgCost.R
   pkg/blotter/R/initTxn.R
   pkg/blotter/R/updatePosPL.R
Log:
- applies fixes to Realized.PL in posPL table


Modified: pkg/blotter/R/addTxn.R
===================================================================
--- pkg/blotter/R/addTxn.R	2010-03-26 10:29:05 UTC (rev 304)
+++ pkg/blotter/R/addTxn.R	2010-03-26 14:28:57 UTC (rev 305)
@@ -114,7 +114,7 @@
 
         if(row==1){
             NewTxns <- NewTxn
-            colnames(NewTxns) = c('Txn.Qty', 'Txn.Price', 'Txn.Fees', 'Txn.Value', 'Txn.Avg.Cost', 'Pos.Qty', 'Pos.Avg.Cost', 'Realized.PL', 'Con.Mult')
+            colnames(NewTxns) = c('Txn.Qty', 'Txn.Price', 'Txn.Fees', 'Txn.Value', 'Txn.Avg.Cost', 'Pos.Qty', 'Pos.Avg.Cost', 'Txn.Realized.PL', 'Con.Mult')
         } else {
             NewTxns<-rbind(NewTxns, NewTxn)
         }

Modified: pkg/blotter/R/calcPosAvgCost.R
===================================================================
--- pkg/blotter/R/calcPosAvgCost.R	2010-03-26 10:29:05 UTC (rev 304)
+++ pkg/blotter/R/calcPosAvgCost.R	2010-03-26 14:28:57 UTC (rev 305)
@@ -18,7 +18,7 @@
     if(PosQty == 0)
         PosAvgCost = 0
     else {
-        PosAvgCost = (PrevPosQty * PrevPosAvgCost * ConMult + TxnValue)/(PosQty*ConMult)
+        PosAvgCost = abs((PrevPosQty * PrevPosAvgCost * ConMult + TxnValue)/(PosQty*ConMult))
     }
     return(PosAvgCost)
 }

Modified: pkg/blotter/R/initTxn.R
===================================================================
--- pkg/blotter/R/initTxn.R	2010-03-26 10:29:05 UTC (rev 304)
+++ pkg/blotter/R/initTxn.R	2010-03-26 14:28:57 UTC (rev 305)
@@ -17,7 +17,7 @@
     ## TODO: Add 'Txn.Type' column
     ## TODO: DIVIDEND Txn.Type creates a realized gain
     txn <- xts( as.matrix(t(c(0,0,0,0,0,initPosQty,0,0,0))), order.by=as.POSIXct(initDate) )
-    colnames(txn) <- c('Txn.Qty', 'Txn.Price', 'Txn.Fees', 'Txn.Value', 'Txn.Avg.Cost', 'Pos.Qty', 'Pos.Avg.Cost', 'Realized.PL','Con.Mult')
+    colnames(txn) <- c('Txn.Qty', 'Txn.Price', 'Txn.Fees', 'Txn.Value', 'Txn.Avg.Cost', 'Pos.Qty', 'Pos.Avg.Cost', 'Txn.Realized.PL','Con.Mult')
     class(txn)<-c("transactions",class(txn))
     return(txn)
 }

Modified: pkg/blotter/R/updatePosPL.R
===================================================================
--- pkg/blotter/R/updatePosPL.R	2010-03-26 10:29:05 UTC (rev 304)
+++ pkg/blotter/R/updatePosPL.R	2010-03-26 14:28:57 UTC (rev 305)
@@ -88,11 +88,13 @@
             PrevClosePrice = as.numeric(Cl(Prices)[as.character(PrevDate)])
 
         PrevPosValue = calcPosValue(PrevPosQty, PrevClosePrice, ConMult) ### @TODO: PrevConMult?
-        TradingPL = calcTradingPL(PosValue, PrevPosValue, TxnValue)
-        RealizedPL = getRealizedPL(pname, Symbol, CurrentSpan)
-        #$unrealized_gl    = $end_return['calc_position'] * ($end_return['last_price'] - $end_return['average_cost']);
+        TradingPL = PosValue - PrevPosValue - TxnValue
+
         UnrealizedPL = PosQty*(ClosePrice-getPosAvgCost(Portfolio=pname, Symbol, CurrentDate))*ConMult
 
+        RealizedPL = round(TradingPL - UnrealizedPL,2)
+        #$unrealized_gl    = $end_return['calc_position'] * ($end_return['last_price'] - $end_return['average_cost']);
+
         NewPeriod = as.xts(t(c(PosQty, ConMult, CcyMult, PosValue, TxnValue, TxnFees, RealizedPL, UnrealizedPL, TradingPL)), order.by=as.POSIXct(CurrentDate)) #, format=tformat
         colnames(NewPeriod) = c('Pos.Qty', 'Con.Mult', 'Ccy.Mult', 'Pos.Value', 'Txn.Value', 'Txn.Fees', 'Realized.PL', 'Unrealized.PL', 'Trading.PL')
         Portfolio[[Symbol]]$posPL <- rbind(Portfolio[[Symbol]]$posPL, NewPeriod)