[Blotter-commits] r1500 - in pkg/blotter: . R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Sep 9 21:29:52 CEST 2013
Author: braverock
Date: 2013-09-09 21:29:52 +0200 (Mon, 09 Sep 2013)
New Revision: 1500
Added:
pkg/blotter/R/AcctReturns.R
pkg/blotter/man/AcctReturns.Rd
Modified:
pkg/blotter/DESCRIPTION
Log:
- add AcctReturns function by Andrii Babii (moved from PortfolioAttribution)
Modified: pkg/blotter/DESCRIPTION
===================================================================
--- pkg/blotter/DESCRIPTION 2013-08-26 09:01:15 UTC (rev 1499)
+++ pkg/blotter/DESCRIPTION 2013-09-09 19:29:52 UTC (rev 1500)
@@ -26,42 +26,5 @@
Contributors: Dirk Eddelbuettel, Jan Humme, Lance Levenson,
Ben McCann, Jeff Ryan, Garrett See, Joshua Ulrich, Wolfgang Wu
URL: https://r-forge.r-project.org/projects/blotter/
-Copyright: (c) 2008-2012
+Copyright: (c) 2008-2013
ByteCompile: TRUE
-Collate:
- 'PortfReturns.R'
- 'addPortfInstr.R'
- 'addTxn.R'
- 'addAcctTxn.R'
- 'calcPortfWgt.R'
- 'calcPosAvgCost.R'
- 'calcTxnAvgCost.R'
- 'calcTxnValue.R'
- 'chart.ME.R'
- 'chart.Posn.R'
- 'chart.Reconcile.R'
- 'chart.Spread.R'
- 'extractTests.R'
- 'getAccount.R'
- 'getByPortf.R'
- 'getBySymbol.R'
- 'getEndEq.R'
- 'getPortfAcct.R'
- 'getPortfolio.R'
- 'getPos.R'
- 'getPosAvgCost.R'
- 'getPosQty.R'
- 'getTxn.R'
- 'initAcct.R'
- 'initPortf.R'
- 'initPosPL.R'
- 'initSummary.R'
- 'initTxn.R'
- 'perTradeStats.R'
- 'put.portfolio.R'
- 'tradeStats.R'
- 'updateAcct.R'
- 'updateEndEq.R'
- 'updatePortf.R'
- 'updatePosPL.R'
- 'put.account.R'
Added: pkg/blotter/R/AcctReturns.R
===================================================================
--- pkg/blotter/R/AcctReturns.R (rev 0)
+++ pkg/blotter/R/AcctReturns.R 2013-09-09 19:29:52 UTC (rev 1500)
@@ -0,0 +1,129 @@
+#' Calculate account returns
+#'
+#' Similar to the \code{PortfReturns} function, but gives returns for the
+#' entire account and takes into account external cashflows. External cashflows
+#' are defined as contributions to or withdrawals from the account. Allows
+#' selecting between time-weighted returns and linked modified Dietz approach.
+#' If time-weighted method is selected, returns at time \eqn{t} are computed
+#' using: \deqn{r_{t}=\frac{V_{t}}{V_{t-1}+C_{t}}-1}
+#' where \eqn{V_{t}} - account value at time \eqn{t}, \eqn{C_{t}} - cashflow at
+#' time \eqn{t}. The implicit assumption made here is that the cash flow is
+#' available for the portfolio manager to invest from the beginning of the day.
+#' These returns then can be chain linked with geometric compounding (for
+#' instance using \code{Return.cumulative} function from the
+#' \code{PerformanceAnalytics} package) to yield cumulative multi-period
+#' returns:
+#' \deqn{1+r=\prod_{t=1}^{T}(1+r_{t})=\prod_{t=1}^{T}\frac{V_{t}}{V_{t-1}+C_{t}}}
+#' In the case if there were no cashflows, the result reduces to simple
+#' one-period returns. Time-weighted returns has also an interpretation in
+#' terms of unit value pricing.
+#' If Modified Dietz method is selected, monthly returns are computed taking
+#' into account cashflows within each month:
+#' \deqn{r = \frac{V_{t}-V_{t-1}-C}{V_{t-1}+\sum_{t}C_{t}\times W_{t}}}
+#' where \eqn{C} - total external cash flows within a month,
+#' \eqn{C_{t}} - external cashflow at time \eqn{t},
+#' \deqn{W_{t}=\frac{TD-D_{t}}{TD}} - weighting ratio to be applied to external
+#' cashflow on day \eqn{t},
+#' \eqn{TD} - total number of days within the month,
+#' \eqn{D_{t}} - number of days since the beginning of the month including
+#' weekends and public holidays.
+#' Finally monthly Modified Dietz returns can also be linked geometrically.
+#'
+#' @aliases AcctReturns
+#' @param Account string name of the account to generate returns for
+#' @param \dots any other passthru parameters (like \code{native} for
+#' \code{.getBySymbol}
+#' @param Dates xts style ISO 8601 date subset to retrieve, default NULL
+#' (all dates)
+#' @param Portfolios concatenated string vector for portfolio names to retrieve
+#' returns on, default NULL (all portfolios)
+#' @param method Used to select between time-weighted and linked modified Dietz
+#' returns. May be any of: \itemize{\item timeweighted \item dietz} By default
+#' time-weighted is selected
+#' @return returns xts with account returns
+#' @author Brian Peterson, Andrii Babii
+#' @seealso PortfReturns
+#' @references Christopherson, Jon A., Carino, David R., Ferson, Wayne E.
+#' \emph{Portfolio Performance Measurement and Benchmarking}. McGraw-Hill.
+#' 2009. Chapter 5 \cr Bacon, C. \emph{Practical Portfolio Performance
+#' Measurement and Attribution}. Wiley. 2004. Chapter 2 \cr
+#' @keywords portfolio returns
+#' @note
+#' TODO handle portfolio and account in different currencies (not hard, just not done)
+#'
+#' TODO explicitly handle portfolio weights
+#'
+#' TODO support additions and withdrawals to available capital
+#' @export
+AcctReturns <-
+function(Account, Dates = NULL, Portfolios = NULL, method = c("timeweighted", "dietz"), ...)
+{ # @author Brian Peterson, Andrii Babii
+ aname <- Account
+ if(!grepl("account\\.", aname)){
+ Account <- try(get(paste("account", aname, sep = '.'), envir = .blotter))
+ } else{
+ Account <- try(get(aname, envir = .blotter))
+ }
+ if(inherits(Account, "try-error")){
+ stop(paste("Account ", aname, " not found, use initAcct() to create a new
+ account"))
+ }
+ if(!inherits(Account, "account")){
+ stop("Account ", aname, " passed is not the name of an account object.")
+ }
+ if(is.null(Portfolios)){
+ Portfolios = names(Account$portfolios)
+ }
+
+ # Get xts with net trading P&L for all portfolios associated with account
+ table = NULL
+ for(pname in Portfolios){
+ Portfolio <- getPortfolio(pname)
+ if(is.null(Dates)){
+ Dates <- paste("::", last(index(Portfolio$summary)), sep = '')
+ }
+ ptable = .getBySymbol(Portfolio = Portfolio, Attribute = "Net.Trading.PL",
+ Dates = Dates)
+ if(is.null(table)){
+ table=ptable
+ }
+ else{
+ table=cbind(table,ptable)
+ }
+ }
+ if(!is.null(attr(Account, 'initEq'))){
+ initEq <- as.numeric(attr(Account, 'initEq'))
+ if(initEq == 0){
+ stop("Initial equity of zero would produce div by zero NaN, Inf, -Inf
+ returns, please fix in initAcct().")
+ }
+
+ #TODO check portfolio and account currencies and convert if necessary
+
+ CF = Account$summary$Additions - Account$summary$Withdrawals # Cashflows
+ V = initEq + reclass(rowSums(table), table) # Account values
+ method = method[1]
+
+ if (method == "timeweighted"){
+ # Time-weighted returns
+ returns = V / (lag(V) + CF) - 1
+ }
+
+ if (method == "dietz"){
+ # Linked modified Dietz
+ C = apply.monthly(CF, sum) # total monthly cashflow
+ V = apply.monthly(V, first) # monthly account values
+ cfweighted <- function(CF){
+ TD = ndays(CF) # total number of days within the period
+ # number of days since the beginning of the period
+ D = round(as.vector((index(CF) - index(CF)[1])/3600/24))
+ W = (TD - D) / TD # weights
+ cashfl = sum(CF * W) # weighted sum of cashflows within the period
+ return(cashfl)
+ }
+ cashfl = apply.monthly(CF, cfweighted)
+ returns = (V - lag(V) - C) / (lag(V) + cashfl) # Modified Dietz
+ }
+ }
+ return(returns)
+}
Added: pkg/blotter/man/AcctReturns.Rd
===================================================================
--- pkg/blotter/man/AcctReturns.Rd (rev 0)
+++ pkg/blotter/man/AcctReturns.Rd 2013-09-09 19:29:52 UTC (rev 1500)
@@ -0,0 +1,88 @@
+\name{AcctReturns}
+\alias{AcctReturns}
+\title{Calculate account returns}
+\usage{
+ AcctReturns(Account, Dates = NULL, Portfolios = NULL,
+ method = c("timeweighted", "dietz"), ...)
+}
+\arguments{
+ \item{Account}{string name of the account to generate
+ returns for}
+
+ \item{\dots}{any other passthru parameters (like
+ \code{native} for \code{.getBySymbol}}
+
+ \item{Dates}{xts style ISO 8601 date subset to retrieve,
+ default NULL (all dates)}
+
+ \item{Portfolios}{concatenated string vector for
+ portfolio names to retrieve returns on, default NULL (all
+ portfolios)}
+
+ \item{method}{Used to select between time-weighted and
+ linked modified Dietz returns. May be any of:
+ \itemize{\item timeweighted \item dietz} By default
+ time-weighted is selected}
+}
+\value{
+ returns xts with account returns
+}
+\description{
+ Similar to the \code{PortfReturns} function, but gives
+ returns for the entire account and takes into account
+ external cashflows. External cashflows are defined as
+ contributions to or withdrawals from the account. Allows
+ selecting between time-weighted returns and linked
+ modified Dietz approach. If time-weighted method is
+ selected, returns at time \eqn{t} are computed using:
+ \deqn{r_{t}=\frac{V_{t}}{V_{t-1}+C_{t}}-1} where
+ \eqn{V_{t}} - account value at time \eqn{t}, \eqn{C_{t}}
+ - cashflow at time \eqn{t}. The implicit assumption made
+ here is that the cash flow is available for the portfolio
+ manager to invest from the beginning of the day. These
+ returns then can be chain linked with geometric
+ compounding (for instance using \code{Return.cumulative}
+ function from the \code{PerformanceAnalytics} package) to
+ yield cumulative multi-period returns:
+ \deqn{1+r=\prod_{t=1}^{T}(1+r_{t})=\prod_{t=1}^{T}\frac{V_{t}}{V_{t-1}+C_{t}}}
+ In the case if there were no cashflows, the result
+ reduces to simple one-period returns. Time-weighted
+ returns has also an interpretation in terms of unit value
+ pricing. If Modified Dietz method is selected, monthly
+ returns are computed taking into account cashflows within
+ each month: \deqn{r =
+ \frac{V_{t}-V_{t-1}-C}{V_{t-1}+\sum_{t}C_{t}\times
+ W_{t}}} where \eqn{C} - total external cash flows within
+ a month, \eqn{C_{t}} - external cashflow at time \eqn{t},
+ \deqn{W_{t}=\frac{TD-D_{t}}{TD}} - weighting ratio to be
+ applied to external cashflow on day \eqn{t}, \eqn{TD} -
+ total number of days within the month, \eqn{D_{t}} -
+ number of days since the beginning of the month including
+ weekends and public holidays. Finally monthly Modified
+ Dietz returns can also be linked geometrically.
+}
+\note{
+ TODO handle portfolio and account in different currencies
+ (not hard, just not done)
+
+ TODO explicitly handle portfolio weights
+
+ TODO support additions and withdrawals to available
+ capital
+}
+\author{
+ Brian Peterson, Andrii Babii
+}
+\references{
+ Christopherson, Jon A., Carino, David R., Ferson, Wayne
+ E. \emph{Portfolio Performance Measurement and
+ Benchmarking}. McGraw-Hill. 2009. Chapter 5 \cr Bacon, C.
+ \emph{Practical Portfolio Performance Measurement and
+ Attribution}. Wiley. 2004. Chapter 2 \cr
+}
+\seealso{
+ PortfReturns
+}
+\keyword{portfolio}
+\keyword{returns}
+
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