roi_calculator 0.1.2

checksums.yaml

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+SHA1:
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data/.gitignore

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+/.bundle/
+/.yardoc
+/Gemfile.lock
+/_yardoc/
+/coverage/
+/doc/
+/pkg/
+/spec/reports/
+/tmp/
+*.gem

data/.rspec

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+--format documentation
+--color

data/.ruby-version

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+ruby-2.2.5

data/.travis.yml

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+sudo: false
+language: ruby
+rvm:
+  - 2.2.5
+before_install: gem install bundler -v 1.13.7

data/Gemfile

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+source 'https://rubygems.org'
+
+gem "math_util", git: 'https://github.com/abacha/math_util.git'
+gem "work_day", git: 'https://github.com/abacha/work_day.git'
+
+gemspec

data/Gemfile.lock

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+GIT
+  remote: https://github.com/abacha/math_util.git
+  revision: 1e4a8082af06cd5bb83a978eae9de50943844429
+  specs:
+    math_util (0.1.0)
+
+GIT
+  remote: https://github.com/abacha/work_day.git
+  revision: 1dd12e52dd894e4c169d1966bfaf9545452f4572
+  specs:
+    work_day (0.1.3)
+      activesupport (~> 4.1)
+
+PATH
+  remote: .
+  specs:
+    roi_calculator (0.1.2)
+      memoist (~> 0.15)
+
+GEM
+  remote: https://rubygems.org/
+  specs:
+    activesupport (4.2.7.1)
+      i18n (~> 0.7)
+      json (~> 1.7, >= 1.7.7)
+      minitest (~> 5.1)
+      thread_safe (~> 0.3, >= 0.3.4)
+      tzinfo (~> 1.1)
+    diff-lcs (1.3)
+    i18n (0.8.0)
+    json (1.8.6)
+    memoist (0.15.0)
+    minitest (5.10.1)
+    rspec (3.5.0)
+      rspec-core (~> 3.5.0)
+      rspec-expectations (~> 3.5.0)
+      rspec-mocks (~> 3.5.0)
+    rspec-core (3.5.4)
+      rspec-support (~> 3.5.0)
+    rspec-expectations (3.5.0)
+      diff-lcs (>= 1.2.0, < 2.0)
+      rspec-support (~> 3.5.0)
+    rspec-mocks (3.5.0)
+      diff-lcs (>= 1.2.0, < 2.0)
+      rspec-support (~> 3.5.0)
+    rspec-support (3.5.0)
+    thread_safe (0.3.5)
+    tzinfo (1.2.2)
+      thread_safe (~> 0.1)
+
+PLATFORMS
+  ruby
+
+DEPENDENCIES
+  bundler (~> 1.13)
+  math_util!
+  roi_calculator!
+  rspec (~> 3.0)
+  work_day!
+
+BUNDLED WITH
+   1.14.3

data/LICENSE.txt

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+The MIT License (MIT)
+
+Copyright (c) 2017 Adriano Bacha
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in
+all copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN
+THE SOFTWARE.

data/README.md

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+# RoiCalculator
+
+Welcome to your new gem! In this directory, you'll find the files you need to be able to package up your Ruby library into a gem. Put your Ruby code in the file `lib/roi_calculator`. To experiment with that code, run `bin/console` for an interactive prompt.
+
+TODO: Delete this and the text above, and describe your gem
+
+## Installation
+
+Add this line to your application's Gemfile:
+
+```ruby
+gem 'roi_calculator'
+```
+
+And then execute:
+
+    $ bundle
+
+Or install it yourself as:
+
+    $ gem install roi_calculator
+
+## Usage
+
+TODO: Write usage instructions here
+
+## Development
+
+After checking out the repo, run `bin/setup` to install dependencies. Then, run `rake spec` to run the tests. You can also run `bin/console` for an interactive prompt that will allow you to experiment.
+
+To install this gem onto your local machine, run `bundle exec rake install`. To release a new version, update the version number in `version.rb`, and then run `bundle exec rake release`, which will create a git tag for the version, push git commits and tags, and push the `.gem` file to [rubygems.org](https://rubygems.org).
+
+## Contributing
+
+Bug reports and pull requests are welcome on GitHub at https://github.com/[USERNAME]/roi_calculator. This project is intended to be a safe, welcoming space for collaboration, and contributors are expected to adhere to the [Contributor Covenant](http://contributor-covenant.org) code of conduct.
+
+
+## License
+
+The gem is available as open source under the terms of the [MIT License](http://opensource.org/licenses/MIT).
+

data/lib/roi/financial_result.rb

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+require "work_day"
+require "active_support"
+require "active_support/core_ext/date"
+
+module ROI
+  class FinancialResult
+    attr_reader :start_date, :end_date, :rentabilities
+
+    def initialize(rentabilities, start_date, end_date)
+      @rentabilities = rentabilities
+      @start_date = start_date
+      @end_date = end_date
+    end
+
+    def current_month
+      scope_start = WorkDay.next_after(end_date.beginning_of_month, 0)
+      format_financial(scope_start, end_date)
+    end
+
+    def months(amount)
+      scope_start = (end_date - amount.months + 1.month).beginning_of_month
+      check_gaps_and_format(scope_start, end_date)
+    end
+
+    def current_year
+      scope_start = WorkDay.next_after(end_date.beginning_of_year, 0)
+      format_financial(scope_start, end_date)
+    end
+
+    def years_ago(amount)
+      scope_end = (end_date - amount.year).end_of_year
+      scope_start = scope_end.beginning_of_year
+      format_financial(scope_start, scope_end)
+    end
+
+    def portfolio
+      format_financial(start_date, end_date)
+    end
+
+    private
+    def scoped_rentabilities(scope_start, scope_end)
+      rentabilities.values.select.each do |line|
+        line.date.between?(scope_start, scope_end)
+      end
+    end
+
+    def format_financial(scope_start, scope_end)
+      return unless scope_start && scope_end
+      total = scoped_rentabilities(scope_start, scope_end).sum do |line|
+        line.try(:daily_result) || 0
+      end.round(2)
+      total != 0 ? total : nil
+    end
+
+    def check_gaps_and_format(scope_start, scope_end)
+      if scope_start >= start_date
+        scoped_rentabilities(scope_start, scope_end).each do |line|
+          return if line.try(:have_position) == false
+        end
+        format_financial(scope_start, scope_end)
+      end
+    end
+  end
+end

data/lib/roi/rentability.rb

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+require "memoist"
+require "roi/financial_result"
+require "roi/rentability_periods"
+require "math_util"
+require "active_support"
+require "active_support/core_ext"
+
+module ROI
+  class Rentability
+    extend Memoist
+    include RentabilityPeriods
+    attr_accessor :rentabilities
+    attr_reader :id, :start_date, :end_date, :skip_on_gap
+
+    def initialize(options)
+      @id           = options[:id]
+      @start_date   = options[:start_date]
+      @end_date     = options[:end_date] || Date.today - 1
+      @skip_on_gap  = false
+      post_initialize(options)
+    end
+
+    def post_initialize(options)
+    end
+
+    def calculate
+      parse_rentabilities
+      if @rentabilities.count > 0
+        dates = @rentabilities.keys
+        @start_date, @end_date = [dates[0], dates[-1]]
+      end
+      self
+    end
+
+    def financial
+      FinancialResult.new(rentabilities, start_date, end_date)
+    end
+
+    def dates_with_position
+      rentabilities.select { |_, rentability| rentability.have_position }.keys
+    end
+
+    def rentabilities_array(start_date = nil, end_date = nil)
+      start_date ||= @start_date
+      end_date ||= @end_date
+
+      filtered = @rentabilities.values.select do |val|
+        val.date.between?(start_date, end_date)
+      end
+      filtered.map(&:rentability).compact
+    end
+
+    def volatility(months_ago = nil)
+      _start = months_ago ?
+        (end_date - months_ago.months + 1.month).beginning_of_month : nil
+      (volatility_in_window(nil, _start).first || [])[1]
+    end
+
+    def volatility_in_window(days = nil, start_date = nil)
+      filtered = rentabilities_array(start_date)
+      days ||= filtered.size
+
+      0.upto(filtered.size - days).map do |low|
+        series = filtered.slice(low, days + 1)
+        vol = MathUtil.volatility(series)
+        date = dates_with_position.fetch(low + days) { dates_with_position.last }
+        [date.to_time.to_i, vol] if date
+      end
+    end
+
+    def to_a
+      dates_with_position.map do |date|
+        if @rentabilities[date]
+          [date.to_time.to_i, @rentabilities[date].share]
+        end
+      end.compact
+    end
+
+    protected
+    def before_parse_rentabilities
+    end
+
+    def work_days
+      start_date && end_date ? WorkDay.between(start_date, end_date) : []
+    end
+    memoize :work_days
+
+    private
+    def parse_rentabilities
+      @rentabilities = {}
+      before_parse_rentabilities
+      work_days.each_cons(2) do |last_date, date|
+        parse(date, last_date, @rentabilities)
+      end
+    end
+
+    def parse(this_date, last_date, rentabilities)
+      this_value = rentabilities_source(this_date)
+      last_value = rentabilities_source(last_date)
+      return rentabilities unless this_value && last_value
+
+      last_share = rentabilities[last_date].try(:share) || 1
+      rentability = (this_value / last_value - 1).round(8)
+      new_share = (last_share * (1 + rentability)).round(8)
+      line = RentabilityLine.new(this_date, rentability, nil, new_share, true)
+      after_parse(this_date, last_date, rentabilities, line)
+    end
+  end
+end

data/lib/roi/rentability_line.rb

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+module ROI
+  class RentabilityLine < Struct.new(
+    :date, :rentability, :daily_result, :share, :have_position, :total_balance)
+
+    def self.build(date: nil, share: 1, have_position: false)
+      self.new(date, nil, nil, share, have_position, nil)
+    end
+
+    def self.create(date, assets, last_balance, last_share)
+      line = build(date: date, share: last_share || 1)
+      line.total_balance = assets.map(&:value).inject(:+)
+      if last_balance.to_f > 0
+        line.daily_result = assets.map(&:daily_result).inject(:+)
+        line.rentability = line.daily_result / last_balance
+        line.share = (last_share * (1 + line.rentability)).round(8)
+        line.have_position = true
+      end
+      line
+    end
+  end
+end

data/lib/roi/rentability_periods.rb

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+require "work_day"
+
+module ROI
+  module RentabilityPeriods
+    def days(days_amount = 1)
+      scoped_start = WorkDay.last_until(end_date - days_amount)
+      format(scoped_start, end_date)
+    end
+
+    def current_month
+      scoped_start = WorkDay.last_until((end_date - 1.month).end_of_month)
+      check_gaps_and_format(adjust_start_date(scoped_start), end_date)
+    end
+
+    def months(amount, date = end_date)
+      scoped_start = WorkDay.last_until((date - amount.month).end_of_month)
+      scoped_end = adjust_end_date(date)
+      check_gaps_and_format(scoped_start, scoped_end)
+    end
+
+    def current_year
+      scoped_start = WorkDay.last_until((end_date - 1.year).end_of_year)
+      format(adjust_start_date(scoped_start), end_date)
+    end
+
+    def years_ago(amount)
+      scoped_end = WorkDay.last_until((end_date - amount.year).end_of_year)
+      scoped_start = WorkDay.last_until((scoped_end - 1.year).end_of_year)
+      format(adjust_start_date(scoped_start), scoped_end)
+    end
+
+    def portfolio
+      format(start_date, end_date)
+    end
+
+    private
+    def adjust_start_date(date)
+      [start_date, date].compact.max
+    end
+
+    def adjust_end_date(date)
+      WorkDay.last_until(date.strftime("%Y-%m") == end_date.strftime("%Y-%m") ?
+        end_date : date.end_of_month)
+    end
+
+    def format(start_date, end_date)
+      scoped_start, scoped_end = rentabilities.values_at(start_date, end_date)
+      if scoped_start && scoped_end
+        ((scoped_end.share / scoped_start.share - 1) * 100).round(8)
+      end
+    end
+
+    def check_gaps_and_format(scoped_start, scoped_end)
+      _start, _end = rentabilities.values_at(scoped_start, scoped_end)
+      return unless _start && _end
+      if skip_on_gap
+        rentabilities.each_value do |line|
+          return if line.date.between?(_start.date, _end.date) &&
+            !line.have_position
+        end
+      end
+      format(scoped_start, scoped_end)
+    end
+  end
+end

data/lib/roi/version.rb

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+module ROI
+  VERSION = "0.1.2"
+end

data/lib/roi.rb

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+require "roi/rentability"
+require "roi/rentability_line"
+require "roi/rentability_periods"
+require "roi/financial_result"
+
+module ROI
+end

data/roi_calculator.gemspec

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+# coding: utf-8
+lib = File.expand_path('../lib', __FILE__)
+$LOAD_PATH.unshift(lib) unless $LOAD_PATH.include?(lib)
+require 'roi/version'
+
+Gem::Specification.new do |spec|
+  spec.name          = "roi_calculator"
+  spec.version       = ROI::VERSION
+  spec.authors       = ["Adriano Bacha"]
+  spec.email         = ["abacha@gmail.com"]
+
+  spec.summary       = %q{Rentability and financial calculations}
+  spec.license       = "MIT"
+
+  spec.files         = `git ls-files -z`.split("\x0").reject do |f|
+    f.match(%r{^(test|spec|features)/})
+  end
+  spec.require_paths = ["lib"]
+
+  spec.add_development_dependency "bundler", "~> 1.13"
+  spec.add_development_dependency "rspec", "~> 3.0"
+  spec.add_runtime_dependency "memoist", "~> 0.15"
+end

metadata

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+--- !ruby/object:Gem::Specification
+name: roi_calculator
+version: !ruby/object:Gem::Version
+  version: 0.1.2
+platform: ruby
+authors:
+- Adriano Bacha
+autorequire: 
+bindir: bin
+cert_chain: []
+date: 2017-03-16 00:00:00.000000000 Z
+dependencies:
+- !ruby/object:Gem::Dependency
+  name: bundler
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '1.13'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '1.13'
+- !ruby/object:Gem::Dependency
+  name: rspec
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '3.0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '3.0'
+- !ruby/object:Gem::Dependency
+  name: memoist
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '0.15'
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '0.15'
+description: 
+email:
+- abacha@gmail.com
+executables: []
+extensions: []
+extra_rdoc_files: []
+files:
+- ".gitignore"
+- ".rspec"
+- ".ruby-version"
+- ".travis.yml"
+- Gemfile
+- Gemfile.lock
+- LICENSE.txt
+- README.md
+- lib/roi.rb
+- lib/roi/financial_result.rb
+- lib/roi/rentability.rb
+- lib/roi/rentability_line.rb
+- lib/roi/rentability_periods.rb
+- lib/roi/version.rb
+- roi_calculator.gemspec
+homepage: 
+licenses:
+- MIT
+metadata: {}
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+required_rubygems_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubyforge_project: 
+rubygems_version: 2.6.10
+signing_key: 
+specification_version: 4
+summary: Rentability and financial calculations
+test_files: []