Examples with PerformanceIndex name.abuchen.portfolio.snapshot.PerformanceIndex used on opensource projects

Example 11 with PerformanceIndex

use of name.abuchen.portfolio.snapshot.PerformanceIndex in project portfolio by buchen.

the class SecurityPerformanceTaxRefundTestCase method assertPerformanceOfClient.

private PerformanceIndex assertPerformanceOfClient(Client client, ReportingPeriod period, double ttwror) {
    // the performance of the client must include taxes though -> worse
    List<Exception> warnings = new ArrayList<Exception>();
    CurrencyConverter converter = new TestCurrencyConverter();
    PerformanceIndex clientIndex = PerformanceIndex.forClient(client, converter, period, warnings);
    assertThat(warnings, empty());
    assertThat(clientIndex.getFinalAccumulatedPercentage(), lessThan(ttwror));
    // the performance of portfolio + account must be identical to the
    // performance of the client
    PerformanceIndex portfolioPlusPerformance = PerformanceIndex.forPortfolioPlusAccount(client, converter, client.getPortfolios().get(0), period, warnings);
    assertThat(warnings, empty());
    assertThat(portfolioPlusPerformance.getFinalAccumulatedPercentage(), is(clientIndex.getFinalAccumulatedPercentage()));
    return clientIndex;
}

Example 12 with PerformanceIndex

use of name.abuchen.portfolio.snapshot.PerformanceIndex in project portfolio by buchen.

the class SecurityPerformanceTaxRefundTestCase method testSecurityPerformanceTaxRefund.

/**
 * Feature: when calculating the performance of a security, do not include
 * taxes and tax refunds. Include taxes and tax refunds only when
 * calculating a performance of a porfolio and/or client.
 */
@Test
public void testSecurityPerformanceTaxRefund() throws IOException {
    Client client = ClientFactory.load(SecurityTestCase.class.getResourceAsStream("security_performance_tax_refund.xml"));
    Security security = client.getSecurities().get(0);
    Portfolio portfolio = client.getPortfolios().get(0);
    PortfolioTransaction delivery = portfolio.getTransactions().get(0);
    ReportingPeriod period = new ReportingPeriod.FromXtoY(LocalDate.parse("2013-12-06"), LocalDate.parse("2014-12-06"));
    TestCurrencyConverter converter = new TestCurrencyConverter();
    SecurityPerformanceSnapshot snapshot = SecurityPerformanceSnapshot.create(client, converter, period);
    SecurityPerformanceRecord record = snapshot.getRecords().get(0);
    assertThat(record.getSecurity().getName(), is("Basf SE"));
    // no changes in holdings, ttwror must (without taxes and tax refunds):
    double startValue = delivery.getAmount() - delivery.getUnitSum(Unit.Type.TAX).getAmount();
    double endValue = delivery.getShares() * security.getSecurityPrice(LocalDate.parse("2014-12-06")).getValue() / Values.Share.divider() / Values.Quote.dividerToMoney();
    double ttwror = (endValue / startValue) - 1;
    assertThat(record.getTrueTimeWeightedRateOfReturn(), closeTo(ttwror, 0.0001));
    // accrued taxes must be 5 (paid 10 on delivery + 5 tax refund):
    assertThat(record.getTaxes(), is(Money.of(CurrencyUnit.EUR, 5_00L)));
    // accrued fees must be 10 (paid 10 on delivery)
    assertThat(record.getFees(), is(Money.of(CurrencyUnit.EUR, 10_00L)));
    // make sure that tax refund is included in transactions
    assertThat(record.getTransactions(), hasItem(isA(AccountTransaction.class)));
    // ttwror of classification must be identical to ttwror of security
    assertThatTTWROROfClassificationWithSecurityIsIdentical(client, period, ttwror);
    // check client performance + performance of portfolio + account
    PerformanceIndex clientIndex = assertPerformanceOfClient(client, period, ttwror);
    // the performance of the portfolio (w/o account) includes taxes
    // in this sample file, the valuation of the security drops by 971
    // euros. However, the client has total valuation of 8406 while the
    // portfolio has valuation of only 8401 as it does not include the tax
    // refund. Therefore the performances of the porfolio is worse than that
    // of the client.
    assertThatTTWROROfPortfolioIsLessThan(client, clientIndex, ttwror);
    // the irr must not include taxes as well (compared with Excel):
    assertThat(record.getIrr(), closeTo(-0.030745789, 0.0001));
    // ensure the performance of the account is zero
    List<Exception> warnings = new ArrayList<Exception>();
    PerformanceIndex accountIndex = PerformanceIndex.forAccount(client, converter, client.getAccounts().get(0), period, warnings);
    assertThat(warnings, empty());
    assertThat(accountIndex.getFinalAccumulatedPercentage(), is(0d));
}

Example 13 with PerformanceIndex

use of name.abuchen.portfolio.snapshot.PerformanceIndex in project portfolio by buchen.

the class SecurityTaxAndFeeAccountTransactionsTestCase method testAdidas.

@Test
public void testAdidas() {
    SecurityPerformanceSnapshot snapshot = SecurityPerformanceSnapshot.create(client, converter, interval);
    SecurityPerformanceRecord record = snapshot.getRecords().stream().filter(r -> r.getSecurity().equals(adidas)).findAny().orElseThrow(IllegalArgumentException::new);
    assertThat(record.getTransactions().size(), is(6));
    // fees and taxes from the buy transaction + separate transactions
    assertThat(record.getFees(), is(Money.of(CurrencyUnit.EUR, Values.Amount.factorize(10d + 10d - 5d))));
    assertThat(record.getTaxes(), is(Money.of(CurrencyUnit.EUR, Values.Amount.factorize(10d + 25d - 5d))));
    // delta is end value - starting value including all fees and taxes
    assertThat(record.getDelta(), is(Money.of(CurrencyUnit.EUR, Values.Amount.factorize(1456.5 - 1533 - 10 + 5 - 25 + 5))));
    // IRR as calculated in Excel
    // @formatter:off
    // date          w/ tax       w/o tax
    // 02.01.17     -1533         -1523
    // 09.01.17       -10           -10
    // 10.01.17         5             5
    // 11.01.17       -25             0
    // 12.01.17         5             0
    // 31.01.17      1456,5        1456,5
    // XIRR    -0,573350433  -0,453151944
    // @formatter:on
    assertThat(record.getIrr(), closeTo(-0.453151944d, 1.0e-8));
    // check filtering - ClientSecurityFilter
    Client filteredClient = new ClientSecurityFilter(adidas).filter(client);
    checkFilteredClientAdidas(filteredClient, 1.0);
    // check filtering - ClientClassificationFilter
    Taxonomy case1 = client.getTaxonomies().stream().filter(t -> "case_full_classification_adidas".equals(t.getName())).findAny().orElseThrow(IllegalArgumentException::new);
    Classification classification = case1.getAllClassifications().stream().filter(c -> "category_security".equals(c.getName())).findAny().orElseThrow(IllegalArgumentException::new);
    filteredClient = new ClientClassificationFilter(classification).filter(client);
    checkFilteredClientAdidas(filteredClient, 1.0);
    // TTWROR must be identical to one calculated via ClientSecurityFilter
    // (implicitly used by the SecurityPeformanceSnapshot)
    PerformanceIndex index = PerformanceIndex.forClassification(client, converter, classification, interval, new ArrayList<>());
    assertThat(index.getFinalAccumulatedPercentage(), is(record.getTrueTimeWeightedRateOfReturn()));
    // a partial assignment of the security should be identical to the full
    // assignment - only the weight differs
    Taxonomy case2 = client.getTaxonomies().stream().filter(t -> "case_partial_classification_adidas".equals(t.getName())).findAny().orElseThrow(IllegalArgumentException::new);
    classification = case2.getAllClassifications().stream().filter(c -> "category_security".equals(c.getName())).findAny().orElseThrow(IllegalArgumentException::new);
    filteredClient = new ClientClassificationFilter(classification).filter(client);
    checkFilteredClientAdidas(filteredClient, 0.5);
}

Example 14 with PerformanceIndex

use of name.abuchen.portfolio.snapshot.PerformanceIndex in project portfolio by buchen.

the class VolatilityTestCase method testVolatilityIfSecurityIsSoldAndLaterBoughtDuringReportingPeriod.

@Test
public void testVolatilityIfSecurityIsSoldAndLaterBoughtDuringReportingPeriod() throws IOException {
    ReportingPeriod report = new ReportingPeriod.FromXtoY(LocalDate.parse("2014-01-31"), LocalDate.parse("2015-02-20"));
    List<Exception> warnings = new ArrayList<>();
    Security basf = client.getSecurities().stream().filter(s -> "Basf SE".equals(s.getName())).findAny().get();
    PerformanceIndex index = PerformanceIndex.forInvestment(client, converter, basf, report, warnings);
    assertThat(warnings, empty());
    // excel
    assertThat(index.getVolatility().getStandardDeviation(), closeTo(0.202942041440, 0.1e-10));
    assertThat(index.getDates()[index.getDates().length - 1], is(LocalDate.parse("2015-02-20")));
}

Example 15 with PerformanceIndex

use of name.abuchen.portfolio.snapshot.PerformanceIndex in project portfolio by buchen.

the class VolatilityTestCase method testVolatilityIfBenchmarkHasNoQuotes.

@Test
public void testVolatilityIfBenchmarkHasNoQuotes() throws IOException {
    ReportingPeriod report = new ReportingPeriod.FromXtoY(LocalDate.parse("2014-01-31"), LocalDate.parse("2015-01-31"));
    List<Exception> warnings = new ArrayList<>();
    PerformanceIndex index = PerformanceIndex.forClient(client, converter, report, warnings);
    Security sap = client.getSecurities().stream().filter(s -> "Sap AG".equals(s.getName())).findAny().get();
    PerformanceIndex sapIndex = PerformanceIndex.forSecurity(index, sap);
    assertThat(warnings, empty());
    // quotes only until December 31st
    assertThat(sapIndex.getDates()[sapIndex.getDates().length - 1], is(LocalDate.parse("2014-12-31")));
    // excel
    assertThat(sapIndex.getVolatility().getStandardDeviation(), closeTo(0.193062749491, 0.1e-10));
}