public PortfolioWork Adjust(PortfolioWork portfolio)
{
var port = portfolio.Portfolio;
var ret = portfolio.ReturnData;
var pl = 0M.AsMoney();
foreach (var invest in port.ComputedInvestments())
{
var investmentPercentage = invest.Value;
if (investmentPercentage > 1)
{
investmentPercentage *= .01M;
}
var weightedReturn = (decimal)ret.NameToPercentageReturn[invest.Key] * investmentPercentage;
var amt = port.InvestmentAmount.GetClone();
//Perhaps the best way to handle this is to note if you have 0 or less invested, then the performance ultimately should be 0.
if (port.InvestmentAmount <= 0)
{
amt = 0M.AsMoney();
}
var investmentReturn = weightedReturn * amt;
pl += investmentReturn;
portfolio.Returns.Returns.Add(invest.Key, investmentReturn);
}
portfolio.Returns.MonthProfitOrLoss = pl;
port.InvestmentAmount += pl;
return(portfolio);
}
public void Init(PortfolioWork portfolio)
{
if (!portfolio.ReturnData.NameToCape.ContainsKey(from))
{
throw new Exception($"Unable to find '{from}' in DisplayNameOfCapeMeasureToHeader. Given current configuration would allow from to be: '{string.Join("','", portfolio.ReturnData.NameToCape.Keys)}'.");
}
}
public PortfolioWork Adjust(PortfolioWork portfolio)
{
var maxCapeToDoNothing = maxCapeBeforeAdjustment;
var percentageAdjustment = percentageAdjusted;
var amountOfAdditionalCapePerAdjustment = additionalAdjustmentPerCapeExcess;
var cape = portfolio.ReturnData.NameToCape[from];
if (cape == null || !cape.HasValue)
{
return(portfolio);
}
if (cape <= maxCapeToDoNothing)
{
return(portfolio);
}
var equity = portfolio.Portfolio.ComputedInvestments()[from];
if (equity <= 0)
{
return(portfolio); //no equity to remove...
}
var capeOverage = cape - maxCapeToDoNothing;
var actualAdjustment = (decimal)(capeOverage / amountOfAdditionalCapePerAdjustment) * percentageAdjustment;
if (equity < actualAdjustment)
{
actualAdjustment = equity;
}
portfolio.Portfolio.TemporaryInvestmentAdjustments.Upsert(from, -1 * actualAdjustment);
portfolio.Portfolio.TemporaryInvestmentAdjustments.Upsert(to, actualAdjustment);
return(portfolio);
}
public Outcome CalculateMonthReturn(PortfolioWork portfolio)
{
var outcome = new Outcome
{
PreviousPortfolio = portfolio.CopyOfPortfolio(),
NewPortfolio = adjuster.UpdatePortfolio(portfolio).CopyOfPortfolio(),
PeriodNumber = portfolio.MonthProcessed,
ReturnDataDate = new DateTime((int)portfolio.ReturnData.Year, (int)portfolio.ReturnData.Month, 1),
Returns = portfolio.Returns,
TotalIncomeAndExpenses = portfolio.TotalIncomeAndExpenses,
};
return(outcome);
}
public PortfolioWork Adjust(PortfolioWork portfolio)
{
foreach (var item in Offsets)
{
if (item.StartMonth > portfolio.MonthProcessed)
{
continue;
}
if (item.EndMonth != null && item.EndMonth < portfolio.MonthProcessed)
{
continue;
}
portfolio.TotalIncomeAndExpenses += item.OffsetAmount;
portfolio.Portfolio.InvestmentAmount += item.OffsetAmount;
}
return(portfolio);
}
public PortfolioWork Adjust(PortfolioWork portfolio)
{
return(portfolio);
}
public void Init(PortfolioWork portfolio)
{
}
public PortfolioWork Adjust(PortfolioWork portfolio)
{
if (callCount++ > 20)
{
return(portfolio);
}
var reprocess = false;
if (max != null)
{
foreach (var item in max)
{
var currentVal = portfolio.Portfolio.Investments[item.Key];
var maxVal = item.Value;
if (currentVal > maxVal)
{
var overage = currentVal - maxVal;
reprocess = true;
portfolio.Portfolio.Investments[item.Key] = maxVal;
var portList = portfolio.Portfolio.Investments.GetClone().Where(a => a.Key != item.Key).ToList();
//Warning: This could end up with rounding errors in the 10th decimal place--probably doesn't matter.
foreach (var otherInvestments in portList)
{
portfolio.Portfolio.Investments[otherInvestments.Key] = otherInvestments.Value + (decimal)(overage / portList.Count());
}
}
}
}
//TODO: This can be defeated by Temporary changes like CAPE adjustments.
if (min != null)
{
foreach (var item in min)
{
var currentVal = portfolio.Portfolio.Investments[item.Key];
var minVal = item.Value;
if (currentVal < minVal)
{
var underage = minVal - currentVal;
reprocess = true;
portfolio.Portfolio.Investments[item.Key] = minVal;
var portList = portfolio.Portfolio.Investments.GetClone().Where(a => a.Key != item.Key).ToList();
var additionalOffset = 0M;
do
{
var newOffset = additionalOffset;
additionalOffset = 0M;
//Warning: This could end up with rounding errors in the 10th decimal place--probably doesn't matter.
foreach (var otherInvestments in portList)
{
var valueAdjustment = otherInvestments.Value - (decimal)((underage + newOffset) / portList.Count());
if (min.ContainsKey(otherInvestments.Key))
{
if (min[otherInvestments.Key] > valueAdjustment)
{
additionalOffset += min[otherInvestments.Key] - valueAdjustment;
valueAdjustment = min[otherInvestments.Key];
}
}
portfolio.Portfolio.Investments[otherInvestments.Key] = valueAdjustment;
}
if (additionalOffset != 0)
{
portList = portList.Where(a => portfolio.Portfolio.Investments[a.Key] != min.GetValueOrDefault(a.Key)).ToList();
}
underage = 0;
} while (additionalOffset != 0);
}
}
}
if (reprocess)
{
return(Adjust(portfolio));
}
return(portfolio);
}
public void Init(PortfolioWork portfolio)
{
callCount = 0;
}
