public decimal CalculateDailyMTD(DailyPnL current, DailyPnL prior)
{
var convertedPriorDaily = prior.MTDPercentageReturn.Value + 1;
var convertedCurrentDaily = current.DailyPercentageReturn.HasValue ? current.DailyPercentageReturn.Value + 1 : 1;
return(Math.Round((convertedPriorDaily * convertedCurrentDaily) - 1, 16));
}
public decimal CalculateDailyYTD(DailyPnL current, DailyPnL prior)
{
var convertedPriorYTD = prior.YTDPercentageReturn.Value + 1;
var convertedCurrentMTD = current.MTDPercentageReturn.HasValue ? current.MTDPercentageReturn.Value + 1 : 1;
//return (convertedPriorYTD * convertedCurrentMTD) - 1;
return(Math.Round((convertedPriorYTD * convertedCurrentMTD) - 1, 16));
}
public bool Run(PostingEngineEnvironment env)
{
env.CallBack?.Invoke($"{Module} Started");
env.CallBack?.Invoke("Getting Daily Pnl Data");
var performanceRecords = DailyPnL.GetList(env.ConnectionString);
env.CallBack?.Invoke($"{Module} Running the calculation");
var dailyPerformanceResult = new DailyPnlCalculator().CalculateDailyPerformance(performanceRecords);
var dailyPerformance = dailyPerformanceResult.GetType().GetProperty("payload")
?.GetValue(dailyPerformanceResult, null);
bool insertDailyPnl = UpdateDailyPnl((List <DailyPnL>)dailyPerformance, env.ConnectionString);
env.CallBack?.Invoke($"{Module} Finished");
return(true);
}
/// <summary>
/// I already have a populated database, and as a result I should be able to have the system
/// recalculate when I finish the EOD / SOD process
/// </summary>
/// <param name="performanceRecords"></param>
/// <returns></returns>
public object CalculateDailyPerformance(List <DailyPnL> performanceRecords)
{
var sorted = performanceRecords.OrderBy(x => x.BusinessDate).ThenBy(x => x.RowId).ToList();
var groupedByPortfolio = sorted.GroupBy(x => x.PortFolio).Select(x => new
{
Portfolio = x.Key,
YearlyData = x.ToList().GroupBy(y => y.BusinessDate.Year).Select(z => new
{
Year = z.Key,
MonthlyData = z.ToList().GroupBy(w => w.BusinessDate.Month)
})
}).ToList();
//var groupedByYear = sorted.GroupBy(x => x.PerformanceDate.Year).ToList();
DailyPnL priorData = null;
int monthIndex = 0;
int totalMonthlyRecords = 0;
DailyPnL priorDataYearlyPnl = priorData;
DailyPnL priorDataQuarterlyPnl = priorData;
DailyPnL priorDataInceptionPnl = priorData;
DailyPnL priorDataForQuarter = priorData;
DailyPnL priorDataForYear = priorData;
DailyPnL priorDataForInception = priorData;
Dictionary <int, int> quarterCount = new Dictionary <int, int>();
InitializeQuarterDictionary(quarterCount);
foreach (var portfolio in groupedByPortfolio)
{
foreach (var year in portfolio.YearlyData)
{
foreach (var month in year.MonthlyData)
{
totalMonthlyRecords = month.Count() - 1;
monthIndex = 0;
foreach (var item in month)
{
if (!item.ExistingRecord)
{
if (priorData != null)
{
item.MTDPercentageReturn = CalculateDailyMTD(item, priorData);
item.MTDPnL = CalculateDailyPnl(item.Day, priorData.MTDPnL);
}
else
{
item.MTDPercentageReturn = item.DailyPercentageReturn;
item.MTDPnL = item.Day;
}
if (priorDataForYear != null)
{
item.YTDPercentageReturn = CalculateDailyYTD(item, priorDataForYear);
}
else
{
item.YTDPercentageReturn = item.MTDPercentageReturn;
}
if (priorDataForInception != null)
{
item.ITDPercentageReturn = CalculateDailyITD(item, priorDataForInception);
}
else
{
item.ITDPercentageReturn = item.MTDPercentageReturn;
}
if (priorDataForQuarter != null)
{
if (CheckForBeginningOfQuarter(item.BusinessDate))
{
item.QTDPercentageReturn = item.MTDPercentageReturn;
}
else
{
if (IfDatesLieInTheSameQuarter(priorDataForQuarter.BusinessDate, item.BusinessDate))
{
item.QTDPercentageReturn = CalculateDailyQTD(item, priorDataForQuarter);
}
else
{
item.QTDPercentageReturn = item.MTDPercentageReturn;
}
}
}
else
{
item.QTDPercentageReturn = item.MTDPercentageReturn;
}
//Calculations for QTD,YTD,ITD values.
if (priorDataQuarterlyPnl != null)
{
if (CheckForBeginningOfQuarter(item.BusinessDate))
{
item.QTDPnL = item.MTDPnL;
}
else
{
item.QTDPnL = CalculateDailyPnl(item.Day, priorDataQuarterlyPnl.QTDPnL);
}
}
else
{
item.QTDPnL = item.MTDPnL;
}
if (priorDataYearlyPnl != null)
{
item.YTDPnL = CalculateDailyPnl(item.Day, priorDataYearlyPnl.YTDPnL);
}
else
{
item.YTDPnL = item.MTDPnL;
}
if (priorDataInceptionPnl != null)
{
item.ITDPnL = CalculateDailyPnl(item.Day, priorDataInceptionPnl.ITDPnL);
}
else
{
item.ITDPnL = item.MTDPnL;
}
}
priorData = item;
priorDataQuarterlyPnl = item;
priorDataYearlyPnl = item;
priorDataInceptionPnl = item;
//We have reached the end of the month. At this point, the calculated value of MTD represents MTD returns for that month.
//We will use this value of MTD as reference for QTD,YTD,ITD percentage/returns calculation.
if (monthIndex == totalMonthlyRecords)
{
priorDataForYear = item;
priorDataForQuarter = item;
priorDataForInception = item;
}
monthIndex++;
}
priorData = null;
}
priorDataForYear = null;
priorDataYearlyPnl = null;
priorDataQuarterlyPnl = null;
priorDataForQuarter = null;
}
priorDataForInception = null;
priorDataForQuarter = null;
priorDataInceptionPnl = null;
priorDataQuarterlyPnl = null;
}
return(Utils.Wrap(true, sorted, HttpStatusCode.OK, "Performance calculated successfully"));
}
public void pnl(int reqId, double dailyPnL, double unrealizedPnL, double realizedPnL)
{
DailyPnL.RaiseEvent(this, new DailyPnLEventArgs(reqId, dailyPnL, unrealizedPnL, realizedPnL));
}
