Merge 7754790029 into eaa4c3e6ef

apps/api/src/app/portfolio/calculator/mwr/portfolio-calculator.ts

@@ -1,28 +1,197 @@
 import { PortfolioCalculator } from '@ghostfolio/api/app/portfolio/calculator/portfolio-calculator';
+import { AccumulatedValues } from '@ghostfolio/api/app/portfolio/interfaces/accumulated-values.interface';
 import { HoldingPerformance } from '@ghostfolio/api/app/portfolio/interfaces/holding-performance.interface';
+import { PortfolioCalculatorActivity } from '@ghostfolio/api/app/portfolio/interfaces/portfolio-calculator-activity.interface';
+import { PortfolioCalculatorHolding } from '@ghostfolio/api/app/portfolio/interfaces/portfolio-calculator-holding.interface';
 import { PerformancePercentages } from '@ghostfolio/api/app/portfolio/types/performance-percentages.type';
-import { AssetProfileIdentifier } from '@ghostfolio/common/interfaces';
+import {
+  getAssetProfileIdentifier,
+  parseDate
+} from '@ghostfolio/common/helper';
+import {
+  AssetProfileIdentifier,
+  HistoricalDataItem
+} from '@ghostfolio/common/interfaces';
 import { PortfolioSnapshot } from '@ghostfolio/common/models';
 import { PerformanceCalculationType } from '@ghostfolio/common/types/performance-calculation-type.type';
 
+import { AssetSubClass } from '@prisma/client';
+import { Big } from 'big.js';
+import { differenceInCalendarDays } from 'date-fns';
+
+interface DatedCashFlow {
+  date: string;
+  value: Big;
+}
+
+/**
+ * Money-Weighted Rate of Return (MWR): the annualized internal rate of return
+ * of the dated investor cash flows and the terminal portfolio value.
+ */
 export class MwrPortfolioCalculator extends PortfolioCalculator {
-  protected calculateOverallPerformance(): PortfolioSnapshot {
-    throw new Error('Method not implemented.');
+  protected calculateOverallPerformance({
+    accumulatedValuesByDate,
+    positions
+  }: {
+    accumulatedValuesByDate: { [date: string]: AccumulatedValues };
+    positions: PortfolioCalculatorHolding[];
+  }): PortfolioSnapshot {
+    const latestAccumulatedValues = Object.values(accumulatedValuesByDate).at(
+      -1
+    );
+
+    return this.getOverallPerformance({
+      investedCapital:
+        latestAccumulatedValues?.totalInvestmentValue ?? new Big(0),
+      investedCapitalWithCurrencyEffect:
+        latestAccumulatedValues?.totalInvestmentValueWithCurrencyEffect ??
+        new Big(0),
+      positions
+    });
   }
 
-  protected calculatePerformancePercentages(): {
-    [date: string]: PerformancePercentages;
-  } {
-    throw new Error('Method not implemented.');
+  protected calculatePerformancePercentages({
+    accumulatedValuesByDate
+  }: {
+    accumulatedValuesByDate: { [date: string]: AccumulatedValues };
+  }): { [date: string]: PerformancePercentages } {
+    const performancePercentagesByDate: {
+      [date: string]: PerformancePercentages;
+    } = {};
+
+    for (const [date, accumulatedValues] of Object.entries(
+      accumulatedValuesByDate
+    )) {
+      const netPerformanceInPercentageWithCurrencyEffect =
+        this.getMoneyWeightedReturn({
+          date,
+          terminalValue: accumulatedValues.totalCurrentValueWithCurrencyEffect,
+          withCurrencyEffect: true
+        });
+
+      const netPerformanceInPercentageWithoutDividendsWithCurrencyEffect =
+        this.getMoneyWeightedReturn({
+          date,
+          includeDividends: false,
+          terminalValue: accumulatedValues.totalCurrentValueWithCurrencyEffect,
+          withCurrencyEffect: true
+        });
+
+      performancePercentagesByDate[date] = {
+        dividendInPercentageWithCurrencyEffect:
+          netPerformanceInPercentageWithCurrencyEffect -
+          netPerformanceInPercentageWithoutDividendsWithCurrencyEffect,
+        netPerformanceInPercentage: this.getMoneyWeightedReturn({
+          date,
+          terminalValue: accumulatedValues.totalCurrentValue,
+          withCurrencyEffect: false
+        }),
+        netPerformanceInPercentageWithCurrencyEffect
+      };
+    }
+
+    return performancePercentagesByDate;
   }
 
-  protected calculatePerformancePercentagesForDateRange(): {
-    [date: string]: PerformancePercentages;
-  } {
-    throw new Error('Method not implemented.');
+  protected calculatePerformancePercentagesForDateRange({
+    historicalDataItems
+  }: {
+    historicalDataItems: HistoricalDataItem[];
+  }): { [date: string]: PerformancePercentages } {
+    const performancePercentagesByDate: {
+      [date: string]: PerformancePercentages;
+    } = {};
+
+    const firstHistoricalDataItem = historicalDataItems[0];
+
+    if (!firstHistoricalDataItem) {
+      return performancePercentagesByDate;
+    }
+
+    const openingDate = firstHistoricalDataItem.date;
+    const openingValue = new Big(firstHistoricalDataItem.value ?? 0);
+    const openingValueWithCurrencyEffect = new Big(
+      firstHistoricalDataItem.valueWithCurrencyEffect ?? 0
+    );
+
+    for (const historicalDataItem of historicalDataItems) {
+      const cashFlows = [
+        {
+          date: openingDate,
+          value: openingValue.mul(-1)
+        },
+        ...this.getActivityCashFlows({
+          endDate: historicalDataItem.date,
+          startDate: openingDate,
+          withCurrencyEffect: false
+        }),
+        {
+          date: historicalDataItem.date,
+          value: new Big(historicalDataItem.value ?? 0)
+        }
+      ];
+
+      const cashFlowsWithCurrencyEffect = [
+        {
+          date: openingDate,
+          value: openingValueWithCurrencyEffect.mul(-1)
+        },
+        ...this.getActivityCashFlows({
+          endDate: historicalDataItem.date,
+          startDate: openingDate,
+          withCurrencyEffect: true
+        }),
+        {
+          date: historicalDataItem.date,
+          value: new Big(historicalDataItem.valueWithCurrencyEffect ?? 0)
+        }
+      ];
+
+      const cashFlowsWithoutDividendsWithCurrencyEffect = [
+        {
+          date: openingDate,
+          value: openingValueWithCurrencyEffect.mul(-1)
+        },
+        ...this.getActivityCashFlows({
+          endDate: historicalDataItem.date,
+          includeDividends: false,
+          startDate: openingDate,
+          withCurrencyEffect: true
+        }),
+        {
+          date: historicalDataItem.date,
+          value: new Big(historicalDataItem.valueWithCurrencyEffect ?? 0)
+        }
+      ];
+
+      const netPerformanceInPercentageWithCurrencyEffect = this.calculateXirr(
+        cashFlowsWithCurrencyEffect
+      );
+
+      const netPerformanceInPercentageWithoutDividendsWithCurrencyEffect =
+        this.calculateXirr(cashFlowsWithoutDividendsWithCurrencyEffect);
+
+      performancePercentagesByDate[historicalDataItem.date] = {
+        dividendInPercentageWithCurrencyEffect:
+          netPerformanceInPercentageWithCurrencyEffect -
+          netPerformanceInPercentageWithoutDividendsWithCurrencyEffect,
+        netPerformanceInPercentage: this.calculateXirr(cashFlows),
+        netPerformanceInPercentageWithCurrencyEffect
+      };
+    }
+
+    return performancePercentagesByDate;
   }
 
-  protected getHoldingPerformance({}: {
+  protected getHoldingPerformance({
+    chartDates,
+    dataSource,
+    end,
+    exchangeRates,
+    marketSymbolMap,
+    start,
+    symbol
+  }: {
     chartDates: string[];
     end: Date;
     exchangeRates: { [dateString: string]: number };
@@ -31,10 +200,411 @@ export class MwrPortfolioCalculator extends PortfolioCalculator {
     };
     start: Date;
   } & AssetProfileIdentifier): HoldingPerformance {
-    throw new Error('Method not implemented.');
+    const { holdingPerformance, valuation } =
+      this.getMethodIndependentHoldingPerformance({
+        chartDates,
+        dataSource,
+        end,
+        exchangeRates,
+        marketSymbolMap,
+        start,
+        symbol
+      });
+
+    if (!valuation) {
+      return holdingPerformance;
+    }
+
+    const assetProfileIdentifier = getAssetProfileIdentifier({
+      dataSource,
+      symbol
+    });
+
+    const activities =
+      this.activitiesByAssetProfileIdentifier[assetProfileIdentifier] ?? [];
+
+    const endDate = chartDates.at(-1);
+
+    if (!endDate) {
+      return holdingPerformance;
+    }
+
+    const terminalValue = valuation.currentValues[endDate] ?? new Big(0);
+    const terminalValueWithCurrencyEffect =
+      valuation.currentValuesWithCurrencyEffect[endDate] ?? new Big(0);
+
+    const grossPerformancePercentage = this.calculateXirr([
+      ...this.getActivityCashFlows({
+        activities,
+        endDate,
+        includeFees: false,
+        withCurrencyEffect: false
+      }),
+      {
+        date: endDate,
+        value: terminalValue
+      }
+    ]);
+
+    const grossPerformancePercentageWithCurrencyEffect = this.calculateXirr([
+      ...this.getActivityCashFlows({
+        activities,
+        endDate,
+        includeFees: false,
+        withCurrencyEffect: true
+      }),
+      {
+        date: endDate,
+        value: terminalValueWithCurrencyEffect
+      }
+    ]);
+
+    const netPerformancePercentage = this.calculateXirr([
+      ...this.getActivityCashFlows({
+        activities,
+        endDate,
+        includeFees: true,
+        withCurrencyEffect: false
+      }),
+      {
+        date: endDate,
+        value: terminalValue
+      }
+    ]);
+
+    const netPerformancePercentageWithCurrencyEffect = this.calculateXirr([
+      ...this.getActivityCashFlows({
+        activities,
+        endDate,
+        includeFees: true,
+        withCurrencyEffect: true
+      }),
+      {
+        date: endDate,
+        value: terminalValueWithCurrencyEffect
+      }
+    ]);
+
+    const netPerformancePercentageWithCurrencyEffectMap: HoldingPerformance['netPerformancePercentageWithCurrencyEffectMap'] =
+      {
+        ...holdingPerformance.netPerformancePercentageWithCurrencyEffectMap,
+        max: new Big(netPerformancePercentageWithCurrencyEffect)
+      };
+
+    for (const {
+      dateRange,
+      endDateString: rangeEndDateString,
+      startDateString: rangeStartDateString
+    } of valuation.dateRanges) {
+      if (dateRange === 'max') {
+        continue;
+      }
+
+      const openingValueWithCurrencyEffect =
+        valuation.currentValuesWithCurrencyEffect[rangeStartDateString] ??
+        new Big(0);
+
+      const terminalValueOfRangeWithCurrencyEffect =
+        valuation.currentValuesWithCurrencyEffect[rangeEndDateString] ??
+        new Big(0);
+
+      const rangeReturnWithCurrencyEffect = this.calculateXirr([
+        {
+          date: rangeStartDateString,
+          value: openingValueWithCurrencyEffect.mul(-1)
+        },
+        ...this.getActivityCashFlows({
+          activities,
+          endDate: rangeEndDateString,
+          includeFees: true,
+          startDate: rangeStartDateString,
+          withCurrencyEffect: true
+        }),
+        {
+          date: rangeEndDateString,
+          value: terminalValueOfRangeWithCurrencyEffect
+        }
+      ]);
+
+      netPerformancePercentageWithCurrencyEffectMap[dateRange] = new Big(
+        rangeReturnWithCurrencyEffect
+      );
+    }
+
+    return {
+      ...holdingPerformance,
+      grossPerformancePercentage: new Big(grossPerformancePercentage),
+      grossPerformancePercentageWithCurrencyEffect: new Big(
+        grossPerformancePercentageWithCurrencyEffect
+      ),
+      netPerformancePercentage: new Big(netPerformancePercentage),
+      netPerformancePercentageWithCurrencyEffectMap
+    };
   }
 
   protected getPerformanceCalculationType() {
     return PerformanceCalculationType.MWR;
   }
+
+  private calculateXirr(cashFlows: DatedCashFlow[]): number {
+    const cashFlowsByDate = new Map<string, Big>();
+
+    for (const { date, value } of cashFlows) {
+      cashFlowsByDate.set(
+        date,
+        (cashFlowsByDate.get(date) ?? new Big(0)).plus(value)
+      );
+    }
+
+    const aggregatedCashFlows = Array.from(cashFlowsByDate.entries())
+      .map(([date, value]) => ({ date, value }))
+      .filter(({ value }) => !value.eq(0))
+      .sort((a, b) => a.date.localeCompare(b.date));
+
+    if (aggregatedCashFlows.length < 2) {
+      return 0;
+    }
+
+    if (
+      !aggregatedCashFlows.some(({ value }) => value.lt(0)) ||
+      !aggregatedCashFlows.some(({ value }) => value.gt(0))
+    ) {
+      return 0;
+    }
+
+    const firstDate = parseDate(aggregatedCashFlows[0].date);
+    const lastDate = parseDate(aggregatedCashFlows.at(-1).date);
+
+    if (differenceInCalendarDays(lastDate, firstDate) === 0) {
+      return 0;
+    }
+
+    const scale = aggregatedCashFlows.reduce((maximum, { value }) => {
+      return value.abs().gt(maximum) ? value.abs() : maximum;
+    }, new Big(0));
+
+    if (scale.eq(0)) {
+      return 0;
+    }
+
+    const normalizedCashFlows = aggregatedCashFlows.map(({ date, value }) => ({
+      date,
+      value: value.div(scale).toNumber()
+    }));
+
+    const calculateXnpv = (rate: number) => {
+      if (rate <= -1) {
+        return Number.POSITIVE_INFINITY;
+      }
+
+      return normalizedCashFlows.reduce((xnpv, cashFlow) => {
+        const days = differenceInCalendarDays(
+          parseDate(cashFlow.date),
+          firstDate
+        );
+
+        return xnpv + cashFlow.value / Math.pow(1 + rate, days / 365);
+      }, 0);
+    };
+
+    // Start Newton's method at zero. In common multiple-IRR cases this
+    // deterministically favors the root reached from that initial estimate.
+    let newtonRate = 0;
+
+    for (let iteration = 0; iteration < 50; iteration += 1) {
+      const xnpv = calculateXnpv(newtonRate);
+
+      if (Math.abs(xnpv) < 1e-14) {
+        return newtonRate;
+      }
+
+      const derivative = normalizedCashFlows.reduce((value, cashFlow) => {
+        const days = differenceInCalendarDays(
+          parseDate(cashFlow.date),
+          firstDate
+        );
+        const exponent = days / 365;
+
+        if (exponent === 0) {
+          return value;
+        }
+
+        return (
+          value -
+          (exponent * cashFlow.value) / Math.pow(1 + newtonRate, exponent + 1)
+        );
+      }, 0);
+
+      if (!Number.isFinite(derivative) || Math.abs(derivative) < 1e-14) {
+        break;
+      }
+
+      const nextRate = newtonRate - xnpv / derivative;
+
+      if (!Number.isFinite(nextRate) || nextRate <= -1) {
+        break;
+      }
+
+      if (Math.abs(nextRate - newtonRate) < 1e-14) {
+        return nextRate;
+      }
+
+      newtonRate = nextRate;
+    }
+
+    let lowerRate = -0.999999999;
+    let upperRate = 1;
+
+    let lowerValue = calculateXnpv(lowerRate);
+    let upperValue = calculateXnpv(upperRate);
+
+    if (Math.abs(lowerValue) < 1e-14) {
+      return lowerRate;
+    }
+
+    if (Math.abs(upperValue) < 1e-14) {
+      return upperRate;
+    }
+
+    while (
+      Math.sign(lowerValue) === Math.sign(upperValue) &&
+      upperRate < 1_000_000
+    ) {
+      upperRate = upperRate * 2 + 1;
+      upperValue = calculateXnpv(upperRate);
+    }
+
+    if (
+      !Number.isFinite(lowerValue) ||
+      !Number.isFinite(upperValue) ||
+      Math.sign(lowerValue) === Math.sign(upperValue)
+    ) {
+      return 0;
+    }
+
+    for (let iteration = 0; iteration < 200; iteration += 1) {
+      const middleRate = (lowerRate + upperRate) / 2;
+      const middleValue = calculateXnpv(middleRate);
+
+      if (Math.abs(middleValue) < 1e-14) {
+        return middleRate;
+      }
+
+      if (Math.sign(lowerValue) === Math.sign(middleValue)) {
+        lowerRate = middleRate;
+        lowerValue = middleValue;
+      } else {
+        upperRate = middleRate;
+        upperValue = middleValue;
+      }
+
+      if (Math.abs(upperRate - lowerRate) < 1e-14) {
+        return (lowerRate + upperRate) / 2;
+      }
+    }
+
+    return (lowerRate + upperRate) / 2;
+  }
+
+  private getActivityCashFlows({
+    activities = this.activities,
+    endDate,
+    includeDividends = true,
+    includeFees = true,
+    startDate,
+    withCurrencyEffect
+  }: {
+    activities?: PortfolioCalculatorActivity[];
+    endDate: string;
+    includeDividends?: boolean;
+    includeFees?: boolean;
+    startDate?: string;
+    withCurrencyEffect: boolean;
+  }): DatedCashFlow[] {
+    const cashFlows: DatedCashFlow[] = [];
+    const exchangeRatesByCurrency = this.getExchangeRatesByCurrency();
+
+    for (const activity of activities) {
+      const isCashInBaseCurrency =
+        activity.assetProfile.assetSubClass === AssetSubClass.CASH &&
+        activity.assetProfile.currency === this.getBaseCurrency() &&
+        activity.assetProfile.symbol === this.getBaseCurrency();
+
+      if (
+        isCashInBaseCurrency ||
+        activity.date > endDate ||
+        (startDate !== undefined && activity.date <= startDate)
+      ) {
+        continue;
+      }
+
+      const currencyPair =
+        activity.assetProfile.currency + this.getBaseCurrency();
+
+      const exchangeRates = exchangeRatesByCurrency[currencyPair];
+
+      const exchangeRate = withCurrencyEffect
+        ? (exchangeRates?.[activity.date] ?? 1)
+        : (exchangeRates?.[endDate] ?? 1);
+
+      if (includeFees && !activity.fee.eq(0)) {
+        cashFlows.push({
+          date: activity.date,
+          value: activity.fee.mul(exchangeRate).mul(-1)
+        });
+      }
+
+      if (['BUY', 'SELL'].includes(activity.type)) {
+        const transactionValue = activity.quantity
+          .mul(activity.unitPrice)
+          .mul(exchangeRate);
+
+        cashFlows.push({
+          date: activity.date,
+          value:
+            activity.type === 'BUY'
+              ? transactionValue.mul(-1)
+              : transactionValue
+        });
+
+        continue;
+      }
+
+      if (
+        activity.type === 'INTEREST' ||
+        (includeDividends && activity.type === 'DIVIDEND')
+      ) {
+        cashFlows.push({
+          date: activity.date,
+          value: activity.quantity.mul(activity.unitPrice).mul(exchangeRate)
+        });
+      }
+    }
+
+    return cashFlows;
+  }
+
+  private getMoneyWeightedReturn({
+    date,
+    includeDividends = true,
+    terminalValue,
+    withCurrencyEffect
+  }: {
+    date: string;
+    includeDividends?: boolean;
+    terminalValue: Big;
+    withCurrencyEffect: boolean;
+  }): number {
+    return this.calculateXirr([
+      ...this.getActivityCashFlows({
+        endDate: date,
+        includeDividends,
+        withCurrencyEffect
+      }),
+      {
+        date,
+        value: terminalValue
+      }
+    ]);
+  }
 }

apps/api/src/app/portfolio/calculator/portfolio-calculator.ts

@@ -101,6 +101,9 @@ export abstract class PortfolioCalculator {
   private dataProviderInfos: DataProviderInfo[];
   private endDate: Date;
   private exchangeRateDataService: ExchangeRateDataService;
+  private exchangeRatesByCurrency: {
+    [currencyPair: string]: { [date: string]: number };
+  } = {};
   private filters: Filter[];
   private holdingBalancesByDate: HoldingBalancesAtDate[];
   private portfolioSnapshotService: PortfolioSnapshotService;
@@ -308,7 +311,7 @@ export abstract class PortfolioCalculator {
       currencies[getAssetProfileIdentifier({ dataSource, symbol })] = currency;
     }
 
-    const exchangeRatesByCurrency =
+    this.exchangeRatesByCurrency =
       await this.exchangeRateDataService.getExchangeRatesByCurrency({
         currencies: Array.from(new Set(Object.values(currencies))),
         endDate: this.endDate,
@@ -316,6 +319,8 @@ export abstract class PortfolioCalculator {
         targetCurrency: this.currency
       });
 
+    const exchangeRatesByCurrency = this.exchangeRatesByCurrency;
+
     const {
       dataProviderInfos,
       errors: currentRateErrors,
@@ -905,6 +910,14 @@ export abstract class PortfolioCalculator {
     return this.dataProviderInfos;
   }
 
+  protected getBaseCurrency() {
+    return this.currency;
+  }
+
+  protected getExchangeRatesByCurrency() {
+    return this.exchangeRatesByCurrency;
+  }
+
   protected getDividendInBaseCurrencyOfHoldings(
     holdings: PortfolioSnapshotHolding[]
   ) {