public void CanCalculateLinkedReturnsWithCumReturnsMonthToEnd()
{
var janSP500returns = sp500
.Where(r => r.EffectiveDate.Month == 1)
.Select(r => r.TotalReturn)
.ToList();
var cumReturns = FinCalcs.ReturnsToMonthEnd(janSP500returns);
var longCalc = FinCalcs.LinkedReturns(
periodReturns: janSP500returns,
startPeriod: 0,
endPeriod: janSP500returns.Count() - 1);
var quickCalc = FinCalcs.LinkedReturns(
returnToMonthEnd: cumReturns,
startingPeriodReturn: janSP500returns.ElementAt(0),
startPeriod: 0,
endPeriod: janSP500returns.Count() - 1
);
Assert.AreEqual(
Math.Round(longCalc, 6),
Math.Round(quickCalc, 6));
}
public void CanCalculateLinkedReturnsFromList()
{
var janreturnRU1000 =
FinCalcs.LinkedReturns(
ru1000
.Where(r => r.EffectiveDate.Month == 1)
.Select(r => r.TotalReturn)
.ToList());
Assert.AreEqual(-0.000101m, Math.Round(janreturnRU1000, 6));
}
public void CanCalculateReturnToMonthEnd()
{
var cumReturns = FinCalcs.ReturnsToMonthEnd(
sp500
.Where(r => r.EffectiveDate.Month == 1)
.Select(r => r.TotalReturn)
.ToList()
);
Assert.AreEqual(0.990074m, Math.Round(cumReturns.First(), 6));
Assert.AreEqual(1m, Math.Round(cumReturns.Last()));
}
public void CanCalculatePartialMonthReturns()
{
var janreturnSP500 =
FinCalcs.LinkedReturns(
sp500
.Where(
r => r.EffectiveDate.Month == 1 &&
r.EffectiveDate.Day >= 15
)
.Select(r => r.TotalReturn)
.ToList());
Assert.AreEqual(-0.017554m, Math.Round(janreturnSP500, 6));
}
public void CanCalculateAfterTaxReturn()
{
decimal pretaxReturn = 0.05m;
decimal returnAT = FinCalcs.AfterTaxReturn(
pretaxReturn: pretaxReturn,
timeWeightedMarketValue: 1042m,
realizedGainST: 10m,
realizedGainLT: 50m,
dividends: 10m,
taxRateST: .35m,
taxRateLT: .15m,
divTaxRate: .15m
);
Assert.AreEqual(0.038004m, Math.Round(returnAT, 6));
}
public void CanGetTimeWeightedMarketValue()
{
decimal startingMarketValue = 1000m;
var flows = new List <Flow> {
new Flow {
Type = Flow.FlowType.Cash,
Amount = 100m, EffectiveDate = new DateTime(2020, 1, 9)
},
new Flow {
Type = Flow.FlowType.Cash,
Amount = -100m, EffectiveDate = new DateTime(2020, 1, 22)
},
};
var wgtMktVal = FinCalcs.TimeWeightedMarketValue(startingMarketValue, flows);
Assert.AreEqual(1042.00m, Math.Round(wgtMktVal));
}
