hledger-1.43.1: Hledger/Cli/Commands/Roi.hs
{-# LANGUAGE OverloadedStrings #-}
{-# LANGUAGE ParallelListComp #-}
{-# LANGUAGE TemplateHaskell #-}
{-# LANGUAGE TupleSections #-}
{-# LANGUAGE RecordWildCards #-}
{-# LANGUAGE ViewPatterns #-}
{-|
The @roi@ command prints internal rate of return and time-weighted rate of return for and investment.
-}
module Hledger.Cli.Commands.Roi (
roimode
, roi
) where
import Control.Monad
import Data.Time.Calendar
import Text.Printf
import Data.Bifunctor (second)
import Data.Function (on)
import Data.List
import Numeric.RootFinding
import Data.Decimal
import qualified Data.Text as T
import qualified Data.Text.Lazy.IO as TL
import Safe (headDef)
import System.Console.CmdArgs.Explicit as CmdArgs
import Text.Tabular.AsciiWide as Tab
import Hledger
import Hledger.Cli.CliOptions
roimode = hledgerCommandMode
$(embedFileRelative "Hledger/Cli/Commands/Roi.txt")
[flagNone ["cashflow"] (setboolopt "cashflow") "show all amounts that were used to compute returns"
,flagReq ["investment"] (\s opts -> Right $ setopt "investment" s opts) "QUERY"
"query to select your investment transactions"
,flagReq ["profit-loss","pnl"] (\s opts -> Right $ setopt "pnl" s opts) "QUERY"
"query to select profit-and-loss or appreciation/valuation transactions"
]
cligeneralflagsgroups1
hiddenflags
([], Just $ argsFlag "[QUERY]")
-- One reporting span,
data OneSpan = OneSpan
Day -- start date, inclusive
Day -- end date, exclusive
MixedAmount -- value of investment at the beginning of day on spanBegin_
MixedAmount -- value of investment at the end of day on spanEnd_
[(Day,MixedAmount)] -- all deposits and withdrawals (but not changes of value) in the DateSpan [spanBegin_,spanEnd_)
[(Day,MixedAmount)] -- all PnL changes of the value of investment in the DateSpan [spanBegin_,spanEnd_)
deriving (Show)
roi :: CliOpts -> Journal -> IO ()
roi CliOpts{rawopts_=rawopts, reportspec_=rspec@ReportSpec{_rsReportOpts=ReportOpts{..}}} j = do
-- We may be converting posting amounts to value, per hledger_options.m4.md "Effect of --value on reports".
let
-- lbl = lbl_ "roi"
today = _rsDay rspec
priceOracle = journalPriceOracle infer_prices_ j
styles = journalCommodityStylesWith HardRounding j
mixedAmountValue periodlast date =
-- These calculations can generate very precise decimals. To avoid showing too many digits:
-- If we have no style for the valuation commodity, generate one that will limit the precision ?
-- But it's not easy to find out the valuation commodity (or commodities) here if it's implicit,
-- as that information is buried in the price graph.
-- Instead, do what we don't like to do: hard code a max precision, overriding commodity styles.
mixedAmountSetPrecisionMax defaultMaxPrecision
. maybe id (mixedAmountApplyValuation priceOracle styles periodlast today date) value_
. maybe id (mixedAmountToCost styles) conversionop_
let
ropts = _rsReportOpts rspec
wd = whichDate ropts
showCashFlow = boolopt "cashflow" rawopts
prettyTables = pretty_
makeQuery flag = do
q <- either usageError (return . fst) . parseQuery today . T.pack $ stringopt flag rawopts
return . simplifyQuery $ And [queryFromFlags ropts{period_=PeriodAll}, q]
investmentsQuery <- makeQuery "investment"
pnlQuery <- makeQuery "pnl"
let
filteredj = filterJournalTransactions investmentsQuery j
trans = dbg3 "investments" $ jtxns filteredj
when (null trans) $
error' "No relevant transactions found. Check your investments query"
let (fullPeriod, spans) = reportSpan filteredj rspec
let processSpan (DateSpan Nothing _) = error' "Undefined start of the period - will be unable to compute the rates of return"
processSpan (DateSpan _ Nothing) = error' "Undefined end of the period - will be unable to compute the rates of return"
processSpan spn@(DateSpan (Just begin) (Just end)) = do
-- Spans are [begin,end), and end is 1 day after the actual end date we are interested in
let
b = fromEFDay begin
e = fromEFDay end
cashFlowApplyCostValue = map (\(d,amt) -> (d,mixedAmountValue e d amt))
valueBefore = dbg3 "valueBefore" $
mixedAmountValue e b $
total trans (And [ investmentsQuery
, Date (DateSpan Nothing (Just begin))])
valueAfter = dbg3 "valueAfter" $
mixedAmountValue e e $
total trans (And [investmentsQuery
, Date (DateSpan Nothing (Just end))])
cashFlow = dbg3 "cashFlow" $
cashFlowApplyCostValue $
calculateCashFlow wd trans (And [ Not investmentsQuery
, Not pnlQuery
, Date spn ] )
pnl =
cashFlowApplyCostValue $
calculateCashFlow wd trans (And [ Not investmentsQuery
, pnlQuery
, Date spn ] )
thisSpan = dbg3 "processing span" $
OneSpan b e valueBefore valueAfter cashFlow pnl
irr <- internalRateOfReturn styles showCashFlow prettyTables thisSpan
(periodTwr, annualizedTwr) <- timeWeightedReturn styles showCashFlow prettyTables investmentsQuery trans mixedAmountValue thisSpan
let cashFlowAmt = maNegate . maSum $ map snd cashFlow
let smallIsZero x = if abs x < 0.01 then 0.0 else x
return [ showDate b
, showDate (addDays (-1) e)
, T.pack $ showMixedAmountOneLineWithoutCost False $ styleAmounts styles $ valueBefore
, T.pack $ showMixedAmountOneLineWithoutCost False $ styleAmounts styles $ cashFlowAmt
-- , T.pack $ showMixedAmount $
-- -- dbg0With (lbl "cashflow after styling".showMixedAmountOneLine) $
-- mapMixedAmount (amountSetFullPrecisionUpTo (Just defaultMaxPrecision)) $
-- styleAmounts (styles
-- -- & dbg0With (lbl "styles".show))
-- cashFlowAmt
-- -- & dbg0With (lbl "cashflow before styling".showMixedAmountOneLine)
, T.pack $ showMixedAmountOneLineWithoutCost False $ styleAmounts styles $ valueAfter
, T.pack $ showMixedAmountOneLineWithoutCost False $ styleAmounts styles $ (valueAfter `maMinus` (valueBefore `maPlus` cashFlowAmt))
, T.pack $ printf "%0.2f%%" $ smallIsZero irr
, T.pack $ printf "%0.2f%%" $ smallIsZero periodTwr
, T.pack $ printf "%0.2f%%" $ smallIsZero annualizedTwr ]
periodRows <- forM spans processSpan
totalRow <- case periodRows of
[singleRow] -> return singleRow
_ -> processSpan fullPeriod
let rowTitles = Tab.Group Tab.NoLine (map (Header . T.pack . show) (take (length periodRows) [1..]))
let isSingleSpan = length spans == 1
let table = Table
(if isSingleSpan
then rowTitles
else Tab.Group Tab.SingleLine [ rowTitles, Tab.Group Tab.NoLine [ Header "Total" ]]
)
(Tab.Group Tab.DoubleLine
[ Tab.Group Tab.SingleLine [Header "Begin", Header "End"]
, Tab.Group Tab.SingleLine [Header "Value (begin)", Header "Cashflow", Header "Value (end)", Header "PnL"]
, Tab.Group Tab.SingleLine [Header "IRR"]
, Tab.Group Tab.SingleLine [Header "TWR/period", Header "TWR/year"]])
(if isSingleSpan then periodRows else periodRows ++ [totalRow])
TL.putStrLn $ Tab.render prettyTables id id id table
-- Entry for TWR computation, capturing all cashflows that are potentially accompanied by pnl change on the same day (if not, it is zero)
data TwrPeriod = TwrPeriod { twrStartDate :: Day, twrEndDate :: Day, twrStartValue :: Decimal, twrValueBeforeCashflow :: Decimal, twrPnl :: Decimal, twrCashflow :: Decimal, twrValueAfterCashflow :: Decimal } deriving (Eq, Show)
timeWeightedReturn _styles showCashFlow prettyTables investmentsQuery trans mixedAmountValue (OneSpan begin end valueBeforeAmt valueAfterAmt cashflows pnls) = do
let datedCashflows =
-- Aggregate all entries for a single day, assuming that intraday interest is negligible
dbg3 "datedCashflows"
$ sort
$ map (\datecashes -> let (dates, cash) = unzip datecashes in (headDef (error' "Roi.hs: datecashes was null, please report a bug") dates, maSum cash))
$ groupBy ((==) `on` fst)
$ sortOn fst
$ map (second maNegate)
$ cashflows
valueBefore = dbg3 ("value at the start of the interval, "++show begin) $ unMix valueBeforeAmt
valueAfter = dbg3 ("value at the end of the interval, "++show end) $ unMix valueAfterAmt
investmentPostings = concatMap (filter (matchesPosting investmentsQuery) . realPostings) trans
totalInvestmentPostingsTill date = sumPostings $ filter (matchesPosting (Date (DateSpan Nothing (Just $ Exact date)))) investmentPostings
-- filter span is (-infinity, date+1), which gives us effectively (-infinity, date]
valueAfterDate date = unMix $ mixedAmountValue end date $ totalInvestmentPostingsTill (addDays 1 date)
pnlOn date = unMix $ maNegate $ sum $ map snd $ filter ((==date).fst) pnls
-- We are dividing the period [begin, end) into subperiods on each cashflow, and then compute
-- the rate of return for each subperiod. For this we need to know the value of the investment
-- at the beginning and end of each subperiod, adjusted for cashflow.
--
-- Subperiods are going to be [valueBefore ... (c_0,v_0)][... (c_1, v_1)][... (c_2,v_2)] ... [... (c_n,v_n)][... valueAfter]
-- , where v_i is the value of investment computed immediately after cashflow c_i
--
-- Calculate interest for each subperiod, adjusting the value at the start of the period by the cashflow
-- For subperiods [valueBefore ... (c_0,v_0)][... (c_1, v_1)][... (c_2,v_2)] ... [... (c_n,v_n)][... valueAfter], the computation is going to be
-- 1 + twr = (v_0 - c_0)/valueBefore + (v_1 - c_1) / v_0 + ... + valueAfter/v_n
-- See https://en.wikipedia.org/wiki/Time-weighted_return#Time-weighted_return_compensating_for_external_flows
let calculateSubPeriods (startDate,startValue) [] =
let subPeriodReturn =
if startValue == 0 || valueAfter == 0
then 0
else valueAfter/startValue - 1
in
[(subPeriodReturn, TwrPeriod startDate end startValue valueAfter 0 0 valueAfter)]
calculateSubPeriods (startDate,startValue) ((date,cashflow):rest) =
let (valueBeforeCashflow, valueAfterCashflow, pnl) =
let valueAfterPrevDay = valueAfterDate (addDays (-1) date)
pnlOnDay = pnlOn date
in
-- If value was zero at the start of the period, then any PnL on cashflow date would accrue after it, not before.
-- If there was some value already, we can assume that PnL contributes to this period's rate
if startValue == 0
then (valueAfterPrevDay, valueAfterDate date - pnlOnDay, 0)
else (valueAfterPrevDay + pnl, valueAfterDate date, pnlOnDay)
subPeriodReturn =
if valueBeforeCashflow == 0 || startValue == 0
then 0
else (valueBeforeCashflow / startValue) - 1
in
(subPeriodReturn, (TwrPeriod startDate date startValue valueBeforeCashflow pnl (unMix cashflow) valueAfterCashflow)) : calculateSubPeriods (date,valueAfterCashflow) rest
let subPeriods = dbg3 "subPeriods" $ calculateSubPeriods (begin,valueBefore) datedCashflows
-- Compute overall time-weighted rate of return
let twr =
dbg3 "twr" $
if subPeriods == []
then if valueBefore == 0 then 0 else (valueAfter - valueBefore)/valueBefore
else foldl (\acc periodRate -> (1+acc)*(1+periodRate)-1) 0 (map fst subPeriods)
(startYear, _, _) = toGregorian begin
years = fromIntegral (diffDays end begin) / (if isLeapYear startYear then 366 else 365) :: Double
periodTWR = roundTo 2 $ 100 * twr
annualizedTWR = 100*((1+(realToFrac twr))**(1/years)-1) :: Double
when showCashFlow $ do
printf "\nTWR cash flow entries and subperiod rates for period %s - %s\n" (showDate begin) (showDate (addDays (-1) end))
let showDecimalT = T.pack . showDecimal
TL.putStr $ Tab.render prettyTables T.pack id id
(Table
(Tab.Group Tab.NoLine [ Header (show n) | n <-[1..length subPeriods]])
(Tab.Group DoubleLine [ Tab.Group Tab.SingleLine [Tab.Header "Subperiod start", Tab.Header "Cashflow date"]
, Tab.Group Tab.SingleLine [Tab.Header "Value at start", Tab.Header "Value before cashflow (inc PnL)", Tab.Header "PnL on day", Tab.Header "Cashflow", Tab.Header "Value after cashflow"]
, Tab.Group Tab.SingleLine [Tab.Header "Subperiod rate, %"]])
[ [ showDate (twrStartDate sp), showDate (twrEndDate sp)
, showDecimalT (twrStartValue sp), showDecimalT (twrValueBeforeCashflow sp), showDecimalT (twrPnl sp), showDecimalT (twrCashflow sp), showDecimalT (twrValueAfterCashflow sp)
, showDecimalT (roundTo 2 (100*rate)) ]
| (rate, sp) <- subPeriods
])
printf "Total period TWR: %s%%.\nPeriod: %.2f years.\nAnnualized TWR: %.2f%%\n\n"
(showDecimal periodTWR) years annualizedTWR
return ((realToFrac periodTWR) :: Double, annualizedTWR)
internalRateOfReturn styles showCashFlow prettyTables (OneSpan begin end valueBefore valueAfter cashFlow _pnl) = do
let prefix = (begin, maNegate valueBefore)
postfix = (end, valueAfter)
totalCF = filter (maIsNonZero . snd) $ prefix : (sortOn fst cashFlow) ++ [postfix]
when showCashFlow $ do
printf "\nIRR cash flow for %s - %s\n" (showDate begin) (showDate (addDays (-1) end))
let (dates, amts) = unzip totalCF
TL.putStrLn $ Tab.render prettyTables id id id
(Table
(Tab.Group Tab.NoLine (map (Header . showDate) dates))
(Tab.Group Tab.SingleLine [Header "Amount"])
(map ((:[]) . T.pack . showMixedAmountOneLineWithoutCost False . styleAmounts styles) amts))
-- 0% is always a solution, so require at least something here
case totalCF of
[] -> return 0
_ -> case ridders (RiddersParam 100 (AbsTol 0.00001))
(0.000000000001,10000)
(interestSum end totalCF) of
Root rate -> return ((rate-1)*100)
NotBracketed -> error' $ "Error (NotBracketed): No solution for Internal Rate of Return (IRR).\n"
++ " Possible causes: IRR is huge (>1000000%), balance of investment becomes negative at some point in time."
SearchFailed -> error' $ "Error (SearchFailed): Failed to find solution for Internal Rate of Return (IRR).\n"
++ " Either search does not converge to a solution, or converges too slowly."
type CashFlow = [(Day, MixedAmount)]
interestSum :: Day -> CashFlow -> Double -> Double
interestSum referenceDay cf rate = sum $ map go cf
where go (t,m) = realToFrac (unMix m) * rate ** (fromIntegral (referenceDay `diffDays` t) / 365)
calculateCashFlow :: WhichDate -> [Transaction] -> Query -> CashFlow
calculateCashFlow wd trans query =
[ (postingDateOrDate2 wd p, pamount p) | p <- concatMap (filter (matchesPosting query) . realPostings) trans, maIsNonZero (pamount p) ]
total :: [Transaction] -> Query -> MixedAmount
total trans query = sumPostings (concatMap (filter (matchesPosting query) . realPostings) trans)
unMix :: MixedAmount -> Quantity
unMix a =
case (unifyMixedAmount a) of
Just a' -> aquantity a'
Nothing -> error' $ "Amounts could not be converted to a single commodity: " ++ show (map showAmount $ amounts a) ++
"\nConsider using --value to force all costs to be in a single commodity." ++
"\nFor example, \"--value=end,<commodity> --infer-market-prices\", where commodity is the one that was used for investment valuations."
-- Show Decimal rounded to two decimal places, unless it has less places already. This ensures that "2" won't be shown as "2.00"
showDecimal :: Decimal -> String
showDecimal d = if d == rounded then show d else show rounded
where
rounded = roundTo 2 d