@insiderfinance/totalfinance 0.1.0
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/LICENSE +201 -0
- package/README.md +339 -0
- package/STABILITY.md +23 -0
- package/modules/backtest/dist/artifacts.d.ts +23 -0
- package/modules/backtest/dist/artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/artifacts.js +22 -0
- package/modules/backtest/dist/artifacts.js.map +1 -0
- package/modules/backtest/dist/broker.d.ts +265 -0
- package/modules/backtest/dist/broker.d.ts.map +1 -0
- package/modules/backtest/dist/broker.js +1228 -0
- package/modules/backtest/dist/broker.js.map +1 -0
- package/modules/backtest/dist/costs.d.ts +67 -0
- package/modules/backtest/dist/costs.d.ts.map +1 -0
- package/modules/backtest/dist/costs.js +171 -0
- package/modules/backtest/dist/costs.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts +21 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.js +1399 -0
- package/modules/backtest/dist/cross-sectional/engine.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts +134 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.js +375 -0
- package/modules/backtest/dist/cross-sectional/folds.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts +142 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.js +394 -0
- package/modules/backtest/dist/cross-sectional/grid.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts +18 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.js +15 -0
- package/modules/backtest/dist/cross-sectional/index.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts +331 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.js +12 -0
- package/modules/backtest/dist/cross-sectional/types.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts +22 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.js +489 -0
- package/modules/backtest/dist/cross-sectional/validate.js.map +1 -0
- package/modules/backtest/dist/diagnostics.d.ts +16 -0
- package/modules/backtest/dist/diagnostics.d.ts.map +1 -0
- package/modules/backtest/dist/diagnostics.js +63 -0
- package/modules/backtest/dist/diagnostics.js.map +1 -0
- package/modules/backtest/dist/environment/bench.d.ts +34 -0
- package/modules/backtest/dist/environment/bench.d.ts.map +1 -0
- package/modules/backtest/dist/environment/bench.js +724 -0
- package/modules/backtest/dist/environment/bench.js.map +1 -0
- package/modules/backtest/dist/environment/environment.d.ts +5 -0
- package/modules/backtest/dist/environment/environment.d.ts.map +1 -0
- package/modules/backtest/dist/environment/environment.js +618 -0
- package/modules/backtest/dist/environment/environment.js.map +1 -0
- package/modules/backtest/dist/environment/episode.d.ts +4 -0
- package/modules/backtest/dist/environment/episode.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episode.js +121 -0
- package/modules/backtest/dist/environment/episode.js.map +1 -0
- package/modules/backtest/dist/environment/episodes.d.ts +14 -0
- package/modules/backtest/dist/environment/episodes.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episodes.js +644 -0
- package/modules/backtest/dist/environment/episodes.js.map +1 -0
- package/modules/backtest/dist/environment/features.d.ts +31 -0
- package/modules/backtest/dist/environment/features.d.ts.map +1 -0
- package/modules/backtest/dist/environment/features.js +157 -0
- package/modules/backtest/dist/environment/features.js.map +1 -0
- package/modules/backtest/dist/environment/index.d.ts +14 -0
- package/modules/backtest/dist/environment/index.d.ts.map +1 -0
- package/modules/backtest/dist/environment/index.js +12 -0
- package/modules/backtest/dist/environment/index.js.map +1 -0
- package/modules/backtest/dist/environment/limits.d.ts +63 -0
- package/modules/backtest/dist/environment/limits.d.ts.map +1 -0
- package/modules/backtest/dist/environment/limits.js +253 -0
- package/modules/backtest/dist/environment/limits.js.map +1 -0
- package/modules/backtest/dist/environment/reward.d.ts +5 -0
- package/modules/backtest/dist/environment/reward.d.ts.map +1 -0
- package/modules/backtest/dist/environment/reward.js +80 -0
- package/modules/backtest/dist/environment/reward.js.map +1 -0
- package/modules/backtest/dist/environment/types.d.ts +540 -0
- package/modules/backtest/dist/environment/types.d.ts.map +1 -0
- package/modules/backtest/dist/environment/types.js +2 -0
- package/modules/backtest/dist/environment/types.js.map +1 -0
- package/modules/backtest/dist/environment/validate.d.ts +23 -0
- package/modules/backtest/dist/environment/validate.d.ts.map +1 -0
- package/modules/backtest/dist/environment/validate.js +264 -0
- package/modules/backtest/dist/environment/validate.js.map +1 -0
- package/modules/backtest/dist/event-driven.d.ts +111 -0
- package/modules/backtest/dist/event-driven.d.ts.map +1 -0
- package/modules/backtest/dist/event-driven.js +325 -0
- package/modules/backtest/dist/event-driven.js.map +1 -0
- package/modules/backtest/dist/execution/conformance.d.ts +33 -0
- package/modules/backtest/dist/execution/conformance.d.ts.map +1 -0
- package/modules/backtest/dist/execution/conformance.js +269 -0
- package/modules/backtest/dist/execution/conformance.js.map +1 -0
- package/modules/backtest/dist/execution/fill-models.d.ts +35 -0
- package/modules/backtest/dist/execution/fill-models.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-models.js +375 -0
- package/modules/backtest/dist/execution/fill-models.js.map +1 -0
- package/modules/backtest/dist/execution/fill-order.d.ts +55 -0
- package/modules/backtest/dist/execution/fill-order.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-order.js +156 -0
- package/modules/backtest/dist/execution/fill-order.js.map +1 -0
- package/modules/backtest/dist/execution/index.d.ts +33 -0
- package/modules/backtest/dist/execution/index.d.ts.map +1 -0
- package/modules/backtest/dist/execution/index.js +27 -0
- package/modules/backtest/dist/execution/index.js.map +1 -0
- package/modules/backtest/dist/execution/intrabar.d.ts +46 -0
- package/modules/backtest/dist/execution/intrabar.d.ts.map +1 -0
- package/modules/backtest/dist/execution/intrabar.js +130 -0
- package/modules/backtest/dist/execution/intrabar.js.map +1 -0
- package/modules/backtest/dist/execution/normalized.d.ts +56 -0
- package/modules/backtest/dist/execution/normalized.d.ts.map +1 -0
- package/modules/backtest/dist/execution/normalized.js +154 -0
- package/modules/backtest/dist/execution/normalized.js.map +1 -0
- package/modules/backtest/dist/execution/policy.d.ts +84 -0
- package/modules/backtest/dist/execution/policy.d.ts.map +1 -0
- package/modules/backtest/dist/execution/policy.js +341 -0
- package/modules/backtest/dist/execution/policy.js.map +1 -0
- package/modules/backtest/dist/execution/types.d.ts +217 -0
- package/modules/backtest/dist/execution/types.d.ts.map +1 -0
- package/modules/backtest/dist/execution/types.js +8 -0
- package/modules/backtest/dist/execution/types.js.map +1 -0
- package/modules/backtest/dist/execution/validate.d.ts +35 -0
- package/modules/backtest/dist/execution/validate.d.ts.map +1 -0
- package/modules/backtest/dist/execution/validate.js +666 -0
- package/modules/backtest/dist/execution/validate.js.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts +12 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.js +1129 -0
- package/modules/backtest/dist/generated/validation-specs.js.map +1 -0
- package/modules/backtest/dist/index.d.ts +33 -0
- package/modules/backtest/dist/index.d.ts.map +1 -0
- package/modules/backtest/dist/index.js +28 -0
- package/modules/backtest/dist/index.js.map +1 -0
- package/modules/backtest/dist/options/chain.d.ts +68 -0
- package/modules/backtest/dist/options/chain.d.ts.map +1 -0
- package/modules/backtest/dist/options/chain.js +303 -0
- package/modules/backtest/dist/options/chain.js.map +1 -0
- package/modules/backtest/dist/options/engine.d.ts +28 -0
- package/modules/backtest/dist/options/engine.d.ts.map +1 -0
- package/modules/backtest/dist/options/engine.js +1859 -0
- package/modules/backtest/dist/options/engine.js.map +1 -0
- package/modules/backtest/dist/options/index.d.ts +23 -0
- package/modules/backtest/dist/options/index.d.ts.map +1 -0
- package/modules/backtest/dist/options/index.js +21 -0
- package/modules/backtest/dist/options/index.js.map +1 -0
- package/modules/backtest/dist/options/tearsheet.d.ts +77 -0
- package/modules/backtest/dist/options/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/options/tearsheet.js +205 -0
- package/modules/backtest/dist/options/tearsheet.js.map +1 -0
- package/modules/backtest/dist/options/types.d.ts +571 -0
- package/modules/backtest/dist/options/types.d.ts.map +1 -0
- package/modules/backtest/dist/options/types.js +19 -0
- package/modules/backtest/dist/options/types.js.map +1 -0
- package/modules/backtest/dist/paper/index.d.ts +13 -0
- package/modules/backtest/dist/paper/index.d.ts.map +1 -0
- package/modules/backtest/dist/paper/index.js +12 -0
- package/modules/backtest/dist/paper/index.js.map +1 -0
- package/modules/backtest/dist/paper/paper.d.ts +8 -0
- package/modules/backtest/dist/paper/paper.d.ts.map +1 -0
- package/modules/backtest/dist/paper/paper.js +950 -0
- package/modules/backtest/dist/paper/paper.js.map +1 -0
- package/modules/backtest/dist/paper/types.d.ts +190 -0
- package/modules/backtest/dist/paper/types.d.ts.map +1 -0
- package/modules/backtest/dist/paper/types.js +3 -0
- package/modules/backtest/dist/paper/types.js.map +1 -0
- package/modules/backtest/dist/paper/validate.d.ts +9 -0
- package/modules/backtest/dist/paper/validate.d.ts.map +1 -0
- package/modules/backtest/dist/paper/validate.js +112 -0
- package/modules/backtest/dist/paper/validate.js.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts +37 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.js +555 -0
- package/modules/backtest/dist/portfolio/adapters.js.map +1 -0
- package/modules/backtest/dist/portfolio/engine.d.ts +35 -0
- package/modules/backtest/dist/portfolio/engine.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/engine.js +1300 -0
- package/modules/backtest/dist/portfolio/engine.js.map +1 -0
- package/modules/backtest/dist/portfolio/index.d.ts +12 -0
- package/modules/backtest/dist/portfolio/index.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/index.js +11 -0
- package/modules/backtest/dist/portfolio/index.js.map +1 -0
- package/modules/backtest/dist/portfolio/types.d.ts +418 -0
- package/modules/backtest/dist/portfolio/types.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/types.js +8 -0
- package/modules/backtest/dist/portfolio/types.js.map +1 -0
- package/modules/backtest/dist/portfolio/validate.d.ts +26 -0
- package/modules/backtest/dist/portfolio/validate.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/validate.js +556 -0
- package/modules/backtest/dist/portfolio/validate.js.map +1 -0
- package/modules/backtest/dist/run-artifacts.d.ts +425 -0
- package/modules/backtest/dist/run-artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/run-artifacts.js +1843 -0
- package/modules/backtest/dist/run-artifacts.js.map +1 -0
- package/modules/backtest/dist/signals.d.ts +110 -0
- package/modules/backtest/dist/signals.d.ts.map +1 -0
- package/modules/backtest/dist/signals.js +207 -0
- package/modules/backtest/dist/signals.js.map +1 -0
- package/modules/backtest/dist/tearsheet.d.ts +126 -0
- package/modules/backtest/dist/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/tearsheet.js +266 -0
- package/modules/backtest/dist/tearsheet.js.map +1 -0
- package/modules/backtest/dist/types.d.ts +175 -0
- package/modules/backtest/dist/types.d.ts.map +1 -0
- package/modules/backtest/dist/types.js +29 -0
- package/modules/backtest/dist/types.js.map +1 -0
- package/modules/backtest/dist/validate.d.ts +13 -0
- package/modules/backtest/dist/validate.d.ts.map +1 -0
- package/modules/backtest/dist/validate.js +37 -0
- package/modules/backtest/dist/validate.js.map +1 -0
- package/modules/backtest/dist/vectorized.d.ts +53 -0
- package/modules/backtest/dist/vectorized.d.ts.map +1 -0
- package/modules/backtest/dist/vectorized.js +383 -0
- package/modules/backtest/dist/vectorized.js.map +1 -0
- package/modules/backtest/dist/walk-forward.d.ts +57 -0
- package/modules/backtest/dist/walk-forward.d.ts.map +1 -0
- package/modules/backtest/dist/walk-forward.js +125 -0
- package/modules/backtest/dist/walk-forward.js.map +1 -0
- package/modules/backtest/etc/backtest.api.md +139 -0
- package/modules/backtest/src/artifacts.ts +54 -0
- package/modules/backtest/src/broker.ts +1529 -0
- package/modules/backtest/src/costs.ts +225 -0
- package/modules/backtest/src/cross-sectional/engine.ts +1608 -0
- package/modules/backtest/src/cross-sectional/folds.ts +718 -0
- package/modules/backtest/src/cross-sectional/grid.ts +646 -0
- package/modules/backtest/src/cross-sectional/index.ts +76 -0
- package/modules/backtest/src/cross-sectional/types.ts +363 -0
- package/modules/backtest/src/cross-sectional/validate.ts +906 -0
- package/modules/backtest/src/diagnostics.ts +66 -0
- package/modules/backtest/src/environment/bench.ts +1022 -0
- package/modules/backtest/src/environment/environment.ts +766 -0
- package/modules/backtest/src/environment/episode.ts +146 -0
- package/modules/backtest/src/environment/episodes.ts +786 -0
- package/modules/backtest/src/environment/features.ts +184 -0
- package/modules/backtest/src/environment/index.ts +79 -0
- package/modules/backtest/src/environment/limits.ts +383 -0
- package/modules/backtest/src/environment/reward.ts +98 -0
- package/modules/backtest/src/environment/types.ts +595 -0
- package/modules/backtest/src/environment/validate.ts +415 -0
- package/modules/backtest/src/event-driven.ts +528 -0
- package/modules/backtest/src/execution/conformance.ts +346 -0
- package/modules/backtest/src/execution/fill-models.ts +410 -0
- package/modules/backtest/src/execution/fill-order.ts +261 -0
- package/modules/backtest/src/execution/index.ts +91 -0
- package/modules/backtest/src/execution/intrabar.ts +185 -0
- package/modules/backtest/src/execution/normalized.ts +216 -0
- package/modules/backtest/src/execution/policy.ts +447 -0
- package/modules/backtest/src/execution/types.ts +239 -0
- package/modules/backtest/src/execution/validate.ts +889 -0
- package/modules/backtest/src/generated/validation-specs.ts +1132 -0
- package/modules/backtest/src/index.ts +157 -0
- package/modules/backtest/src/options/chain.ts +410 -0
- package/modules/backtest/src/options/engine.ts +2240 -0
- package/modules/backtest/src/options/index.ts +68 -0
- package/modules/backtest/src/options/tearsheet.ts +327 -0
- package/modules/backtest/src/options/types.ts +573 -0
- package/modules/backtest/src/paper/index.ts +27 -0
- package/modules/backtest/src/paper/paper.ts +1288 -0
- package/modules/backtest/src/paper/types.ts +221 -0
- package/modules/backtest/src/paper/validate.ts +168 -0
- package/modules/backtest/src/portfolio/adapters.ts +651 -0
- package/modules/backtest/src/portfolio/engine.ts +1518 -0
- package/modules/backtest/src/portfolio/index.ts +64 -0
- package/modules/backtest/src/portfolio/types.ts +456 -0
- package/modules/backtest/src/portfolio/validate.ts +861 -0
- package/modules/backtest/src/run-artifacts.ts +2873 -0
- package/modules/backtest/src/signals.ts +267 -0
- package/modules/backtest/src/tearsheet.ts +425 -0
- package/modules/backtest/src/types.ts +200 -0
- package/modules/backtest/src/validate.ts +43 -0
- package/modules/backtest/src/vectorized.ts +541 -0
- package/modules/backtest/src/walk-forward.ts +215 -0
- package/modules/calendars/dist/cboe.d.ts +15 -0
- package/modules/calendars/dist/cboe.d.ts.map +1 -0
- package/modules/calendars/dist/cboe.js +16 -0
- package/modules/calendars/dist/cboe.js.map +1 -0
- package/modules/calendars/dist/crypto.d.ts +15 -0
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- package/modules/calendars/dist/crypto.js +16 -0
- package/modules/calendars/dist/crypto.js.map +1 -0
- package/modules/calendars/dist/expirations.d.ts +35 -0
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- package/modules/calendars/dist/nyse.d.ts +11 -0
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- package/modules/calendars/src/us-market.ts +86 -0
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- package/modules/cli/src/exit-codes.ts +21 -0
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- package/modules/commodities/src/internal.ts +6 -0
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- package/modules/core/dist/artifacts/analysis-artifact.d.ts +140 -0
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|
+
*/
|
|
24
|
+
import { CONVENTIONS_VERSION, ErrorCode, InputError, ensureKnownKeys, requireArgumentObject, requireRepresentableResult, stableSum, } from '../../core/dist/index.js';
|
|
25
|
+
import { convertWithQuotes, deepFreeze, ownValue, positionGroupingLabel, requireIdentityString, setOwnValue, } from './internal.js';
|
|
26
|
+
import { foldToMarks, requireValuationMarks } from './marks.js';
|
|
27
|
+
import { requirePortfolioLedger } from './state.js';
|
|
28
|
+
// ---------------------------------------------------------------------------------------------------
|
|
29
|
+
// Constants
|
|
30
|
+
// ---------------------------------------------------------------------------------------------------
|
|
31
|
+
const INPUT_KEYS = ['ledger', 'from', 'to', 'instrumentClassification'];
|
|
32
|
+
const CLASSIFICATION_KEYS = ['underlying', 'assetClass', 'strategy', 'tags'];
|
|
33
|
+
export const GROUPING_DIMENSIONS = [
|
|
34
|
+
'position',
|
|
35
|
+
'instrument',
|
|
36
|
+
'account',
|
|
37
|
+
'currency',
|
|
38
|
+
'underlying',
|
|
39
|
+
'assetClass',
|
|
40
|
+
'strategy',
|
|
41
|
+
'tag',
|
|
42
|
+
];
|
|
43
|
+
const UNCLASSIFIED = 'unclassified';
|
|
44
|
+
const RESIDUAL_TOLERANCE = 1e-9;
|
|
45
|
+
const IDENTITY = 'ending NAV − beginning NAV − external flows = realized P&L + unrealized P&L + income − ' +
|
|
46
|
+
'transaction costs − financing + foreign-exchange P&L + residual. Beginning and ending NAV are ' +
|
|
47
|
+
'portfolioSnapshot at the two marks (each mark folds every event strictly before 00:00 UTC of ' +
|
|
48
|
+
'its date); external flows are cash.deposit minus cash.withdrawal over the window; realized, ' +
|
|
49
|
+
'income, costs, and financing are the differences of the fold accumulators; unrealized P&L is ' +
|
|
50
|
+
'the difference of open-lot mark-to-market; the residual is what the components leave ' +
|
|
51
|
+
'unexplained and is float rounding by construction.';
|
|
52
|
+
const CONVERSION_CONVENTION = 'Every local-currency component over the window converts to base at the CLOSING mark’s quote. ' +
|
|
53
|
+
'Foreign-exchange P&L = Σ over non-base currencies of opening local value × (closing quote − ' +
|
|
54
|
+
'opening quote) [translation] + Σ over cash.conversion events of (amount received × closing ' +
|
|
55
|
+
'quote of the received currency − amount given × closing quote of the given currency). Note ' +
|
|
56
|
+
'that portfolioPerformanceInputs converts external flows at the FLOW-DATE mark for FC4; this ' +
|
|
57
|
+
'report converts them at the closing mark so the identity holds exactly.';
|
|
58
|
+
const EXAMPLE_CALL = "portfolioPnl({ ledger, from: { valuationDate: '2026-01-02', market: januaryMarket }, to: { valuationDate: '2026-02-01', market: februaryMarket }, instrumentClassification: { AAPL: { underlying: 'AAPL', assetClass: 'equity', strategy: 'core', tags: ['tech'] } } })";
|
|
59
|
+
// ---------------------------------------------------------------------------------------------------
|
|
60
|
+
// Validation
|
|
61
|
+
// ---------------------------------------------------------------------------------------------------
|
|
62
|
+
/** Validate a caller's classification map (shared with the timeline). */
|
|
63
|
+
export function requireInstrumentClassification(functionName, value) {
|
|
64
|
+
if (value === undefined)
|
|
65
|
+
return {};
|
|
66
|
+
requireArgumentObject(functionName, 'instrumentClassification', value);
|
|
67
|
+
const map = value;
|
|
68
|
+
const out = {};
|
|
69
|
+
for (const instrumentId of Object.keys(map).sort()) {
|
|
70
|
+
const path = `instrumentClassification['${instrumentId}']`;
|
|
71
|
+
requireIdentityString(functionName, `instrumentClassification key`, instrumentId);
|
|
72
|
+
const entry = ownValue(map, instrumentId);
|
|
73
|
+
requireArgumentObject(functionName, path, entry);
|
|
74
|
+
ensureKnownKeys(functionName, path, entry, CLASSIFICATION_KEYS);
|
|
75
|
+
const record = entry;
|
|
76
|
+
const cleaned = {};
|
|
77
|
+
for (const field of ['underlying', 'assetClass', 'strategy']) {
|
|
78
|
+
if (record[field] !== undefined) {
|
|
79
|
+
requireIdentityString(functionName, `${path}.${field}`, record[field]);
|
|
80
|
+
cleaned[field] = record[field];
|
|
81
|
+
}
|
|
82
|
+
}
|
|
83
|
+
if (record['tags'] !== undefined) {
|
|
84
|
+
if (!Array.isArray(record['tags'])) {
|
|
85
|
+
throw new InputError(`${functionName}: ${path}.tags must be an array of non-empty strings. Received ${record['tags'] === null ? 'null' : typeof record['tags']}.`, {
|
|
86
|
+
code: ErrorCode.InputWrongType,
|
|
87
|
+
context: { function: functionName, field: `${path}.tags` },
|
|
88
|
+
});
|
|
89
|
+
}
|
|
90
|
+
record['tags'].forEach((tag, index) => requireIdentityString(functionName, `${path}.tags[${index}]`, tag));
|
|
91
|
+
cleaned.tags = [...new Set(record['tags'])].sort();
|
|
92
|
+
}
|
|
93
|
+
setOwnValue(out, instrumentId, cleaned);
|
|
94
|
+
}
|
|
95
|
+
return out;
|
|
96
|
+
}
|
|
97
|
+
const totalOf = (c) => stableSum([
|
|
98
|
+
c.realizedPnl,
|
|
99
|
+
c.unrealizedPnl,
|
|
100
|
+
c.income,
|
|
101
|
+
-c.transactionCosts,
|
|
102
|
+
-c.financing,
|
|
103
|
+
c.foreignExchangePnl,
|
|
104
|
+
]);
|
|
105
|
+
function quoteToBase(functionName, mark, currency, baseCurrency, subject) {
|
|
106
|
+
if (currency === baseCurrency)
|
|
107
|
+
return 1;
|
|
108
|
+
return convertWithQuotes({
|
|
109
|
+
functionName,
|
|
110
|
+
amount: 1,
|
|
111
|
+
fromCurrency: currency,
|
|
112
|
+
toCurrency: baseCurrency,
|
|
113
|
+
quotes: mark.currencyConversions ?? [],
|
|
114
|
+
subject,
|
|
115
|
+
}).convertedAmount;
|
|
116
|
+
}
|
|
117
|
+
function deltaOf(from, to) {
|
|
118
|
+
const out = {};
|
|
119
|
+
for (const currency of new Set([...Object.keys(from ?? {}), ...Object.keys(to ?? {})])) {
|
|
120
|
+
const delta = (to === undefined ? 0 : (ownValue(to, currency) ?? 0)) -
|
|
121
|
+
(from === undefined ? 0 : (ownValue(from, currency) ?? 0));
|
|
122
|
+
if (delta !== 0)
|
|
123
|
+
setOwnValue(out, currency, delta);
|
|
124
|
+
}
|
|
125
|
+
return out;
|
|
126
|
+
}
|
|
127
|
+
export function computePnlWindow(functionName, ledger, from, to, classification) {
|
|
128
|
+
const baseCurrency = ledger.state.baseCurrency;
|
|
129
|
+
const warnings = [];
|
|
130
|
+
const currencies = new Map();
|
|
131
|
+
const ledgerOf = (currency) => {
|
|
132
|
+
const existing = currencies.get(currency);
|
|
133
|
+
if (existing)
|
|
134
|
+
return existing;
|
|
135
|
+
const created = {
|
|
136
|
+
openingLocalValue: 0,
|
|
137
|
+
closingLocalValue: 0,
|
|
138
|
+
realizedPnl: 0,
|
|
139
|
+
unrealizedPnl: 0,
|
|
140
|
+
income: 0,
|
|
141
|
+
transactionCosts: 0,
|
|
142
|
+
financing: 0,
|
|
143
|
+
externalFlows: 0,
|
|
144
|
+
conversionNet: 0,
|
|
145
|
+
};
|
|
146
|
+
currencies.set(currency, created);
|
|
147
|
+
return created;
|
|
148
|
+
};
|
|
149
|
+
// Opening / closing local values (cash at face + positions at mark) per currency.
|
|
150
|
+
for (const row of from.valued.cash)
|
|
151
|
+
ledgerOf(row.currency).openingLocalValue += row.totalAmount;
|
|
152
|
+
for (const row of from.valued.positions)
|
|
153
|
+
ledgerOf(row.currency).openingLocalValue += row.marketValue;
|
|
154
|
+
for (const row of to.valued.cash)
|
|
155
|
+
ledgerOf(row.currency).closingLocalValue += row.totalAmount;
|
|
156
|
+
for (const row of to.valued.positions)
|
|
157
|
+
ledgerOf(row.currency).closingLocalValue += row.marketValue;
|
|
158
|
+
// Accumulator deltas per currency, and per-instrument attribution.
|
|
159
|
+
const attribution = [];
|
|
160
|
+
const attributionByAccount = new Map();
|
|
161
|
+
const attributionOf = (accountId, instrumentId) => {
|
|
162
|
+
let byInstrument = attributionByAccount.get(accountId);
|
|
163
|
+
if (byInstrument === undefined) {
|
|
164
|
+
byInstrument = new Map();
|
|
165
|
+
attributionByAccount.set(accountId, byInstrument);
|
|
166
|
+
}
|
|
167
|
+
const existing = byInstrument.get(instrumentId);
|
|
168
|
+
if (existing)
|
|
169
|
+
return existing;
|
|
170
|
+
const created = {
|
|
171
|
+
accountId,
|
|
172
|
+
instrumentId,
|
|
173
|
+
realizedPnl: {},
|
|
174
|
+
income: {},
|
|
175
|
+
transactionCosts: {},
|
|
176
|
+
unrealizedPnl: {},
|
|
177
|
+
};
|
|
178
|
+
byInstrument.set(instrumentId, created);
|
|
179
|
+
attribution.push(created);
|
|
180
|
+
return created;
|
|
181
|
+
};
|
|
182
|
+
const accountIds = new Set([
|
|
183
|
+
...Object.keys(from.state.accounts),
|
|
184
|
+
...Object.keys(to.state.accounts),
|
|
185
|
+
]);
|
|
186
|
+
for (const accountId of [...accountIds].sort()) {
|
|
187
|
+
const before = ownValue(from.state.accounts, accountId);
|
|
188
|
+
const after = ownValue(to.state.accounts, accountId);
|
|
189
|
+
for (const [currency, delta] of Object.entries(deltaOf(before?.realizedPnl, after?.realizedPnl)))
|
|
190
|
+
ledgerOf(currency).realizedPnl += delta;
|
|
191
|
+
for (const [currency, delta] of Object.entries(deltaOf(before?.incomeReceived, after?.incomeReceived)))
|
|
192
|
+
ledgerOf(currency).income += delta;
|
|
193
|
+
for (const [currency, delta] of Object.entries(deltaOf(before?.transactionCosts, after?.transactionCosts)))
|
|
194
|
+
ledgerOf(currency).transactionCosts += delta;
|
|
195
|
+
for (const [currency, delta] of Object.entries(deltaOf(before?.financingCosts, after?.financingCosts)))
|
|
196
|
+
ledgerOf(currency).financing += delta;
|
|
197
|
+
for (const field of [
|
|
198
|
+
'realizedPnlByInstrument',
|
|
199
|
+
'incomeByInstrument',
|
|
200
|
+
'transactionCostsByInstrument',
|
|
201
|
+
]) {
|
|
202
|
+
const instruments = new Set([
|
|
203
|
+
...Object.keys(before?.[field] ?? {}),
|
|
204
|
+
...Object.keys(after?.[field] ?? {}),
|
|
205
|
+
]);
|
|
206
|
+
for (const instrumentId of instruments) {
|
|
207
|
+
const beforeAmounts = before === undefined ? undefined : ownValue(before[field], instrumentId);
|
|
208
|
+
const afterAmounts = after === undefined ? undefined : ownValue(after[field], instrumentId);
|
|
209
|
+
const delta = deltaOf(beforeAmounts, afterAmounts);
|
|
210
|
+
if (Object.keys(delta).length === 0)
|
|
211
|
+
continue;
|
|
212
|
+
const target = attributionOf(accountId, instrumentId);
|
|
213
|
+
const bucket = field === 'realizedPnlByInstrument'
|
|
214
|
+
? target.realizedPnl
|
|
215
|
+
: field === 'incomeByInstrument'
|
|
216
|
+
? target.income
|
|
217
|
+
: target.transactionCosts;
|
|
218
|
+
for (const [currency, amount] of Object.entries(delta)) {
|
|
219
|
+
setOwnValue(bucket, currency, (ownValue(bucket, currency) ?? 0) + amount);
|
|
220
|
+
}
|
|
221
|
+
}
|
|
222
|
+
}
|
|
223
|
+
}
|
|
224
|
+
const positionsByIdentity = (rows) => {
|
|
225
|
+
const byAccount = new Map();
|
|
226
|
+
for (const row of rows) {
|
|
227
|
+
let byInstrument = byAccount.get(row.accountId);
|
|
228
|
+
if (byInstrument === undefined) {
|
|
229
|
+
byInstrument = new Map();
|
|
230
|
+
byAccount.set(row.accountId, byInstrument);
|
|
231
|
+
}
|
|
232
|
+
byInstrument.set(row.instrumentId, row);
|
|
233
|
+
}
|
|
234
|
+
return byAccount;
|
|
235
|
+
};
|
|
236
|
+
const unrealizedBefore = positionsByIdentity(from.valued.positions);
|
|
237
|
+
const unrealizedAfter = positionsByIdentity(to.valued.positions);
|
|
238
|
+
for (const accountId of new Set([...unrealizedBefore.keys(), ...unrealizedAfter.keys()])) {
|
|
239
|
+
const beforeByInstrument = unrealizedBefore.get(accountId);
|
|
240
|
+
const afterByInstrument = unrealizedAfter.get(accountId);
|
|
241
|
+
for (const instrumentId of new Set([
|
|
242
|
+
...(beforeByInstrument?.keys() ?? []),
|
|
243
|
+
...(afterByInstrument?.keys() ?? []),
|
|
244
|
+
])) {
|
|
245
|
+
const before = beforeByInstrument?.get(instrumentId);
|
|
246
|
+
const after = afterByInstrument?.get(instrumentId);
|
|
247
|
+
const currency = (after ?? before).currency;
|
|
248
|
+
if (before !== undefined && after !== undefined && before.currency !== after.currency) {
|
|
249
|
+
throw new InputError(`${functionName}: ${accountId} / ${instrumentId} changed trading currency between the marks (${before.currency} → ${after.currency}) — a position's currency is fixed for its life in this slice.`, { code: ErrorCode.InputOutOfRange, context: { function: functionName } });
|
|
250
|
+
}
|
|
251
|
+
const delta = (after?.unrealizedPnl ?? 0) - (before?.unrealizedPnl ?? 0);
|
|
252
|
+
if (delta === 0)
|
|
253
|
+
continue;
|
|
254
|
+
ledgerOf(currency).unrealizedPnl += delta;
|
|
255
|
+
const target = attributionOf(accountId, instrumentId);
|
|
256
|
+
setOwnValue(target.unrealizedPnl, currency, (ownValue(target.unrealizedPnl, currency) ?? 0) + delta);
|
|
257
|
+
}
|
|
258
|
+
}
|
|
259
|
+
// Window events: external flows and conversions.
|
|
260
|
+
const conversions = [];
|
|
261
|
+
for (const envelope of to.eventsSincePrior) {
|
|
262
|
+
switch (envelope.event.eventType) {
|
|
263
|
+
case 'cash.deposit':
|
|
264
|
+
case 'cash.withdrawal': {
|
|
265
|
+
const event = envelope.event;
|
|
266
|
+
ledgerOf(event.currency).externalFlows +=
|
|
267
|
+
envelope.event.eventType === 'cash.deposit' ? event.amount : -event.amount;
|
|
268
|
+
break;
|
|
269
|
+
}
|
|
270
|
+
case 'cash.conversion': {
|
|
271
|
+
const event = envelope.event;
|
|
272
|
+
ledgerOf(event.fromCurrency).conversionNet -= event.fromAmount;
|
|
273
|
+
ledgerOf(event.toCurrency).conversionNet += event.toAmount;
|
|
274
|
+
conversions.push({ event, eventId: envelope.eventId });
|
|
275
|
+
break;
|
|
276
|
+
}
|
|
277
|
+
default:
|
|
278
|
+
break;
|
|
279
|
+
}
|
|
280
|
+
}
|
|
281
|
+
// Quotes: closing for every currency with any activity or closing value; opening only where an
|
|
282
|
+
// opening value exists (a currency that appears mid-window has no opening translation).
|
|
283
|
+
const quoteEnd = new Map();
|
|
284
|
+
const quoteStart = new Map();
|
|
285
|
+
for (const [currency, row] of currencies) {
|
|
286
|
+
const active = row.closingLocalValue !== 0 ||
|
|
287
|
+
row.realizedPnl !== 0 ||
|
|
288
|
+
row.unrealizedPnl !== 0 ||
|
|
289
|
+
row.income !== 0 ||
|
|
290
|
+
row.transactionCosts !== 0 ||
|
|
291
|
+
row.financing !== 0 ||
|
|
292
|
+
row.externalFlows !== 0 ||
|
|
293
|
+
row.conversionNet !== 0 ||
|
|
294
|
+
row.openingLocalValue !== 0;
|
|
295
|
+
quoteEnd.set(currency, active
|
|
296
|
+
? quoteToBase(functionName, to.mark, currency, baseCurrency, `the ${to.mark.valuationDate} mark (${currency} activity over the window)`)
|
|
297
|
+
: 1);
|
|
298
|
+
quoteStart.set(currency, row.openingLocalValue !== 0
|
|
299
|
+
? quoteToBase(functionName, from.mark, currency, baseCurrency, `the ${from.mark.valuationDate} mark (${currency} opening value)`)
|
|
300
|
+
: quoteEnd.get(currency));
|
|
301
|
+
}
|
|
302
|
+
const toBaseAtEnd = (amount, currency) => amount * quoteEnd.get(currency);
|
|
303
|
+
// Components in base at closing quotes; FX = translation + conversions at closing quotes.
|
|
304
|
+
const byCurrency = [];
|
|
305
|
+
const parts = {
|
|
306
|
+
realizedPnl: [],
|
|
307
|
+
unrealizedPnl: [],
|
|
308
|
+
income: [],
|
|
309
|
+
transactionCosts: [],
|
|
310
|
+
financing: [],
|
|
311
|
+
externalFlows: [],
|
|
312
|
+
foreignExchangePnl: [],
|
|
313
|
+
};
|
|
314
|
+
for (const currency of [...currencies.keys()].sort()) {
|
|
315
|
+
const row = currencies.get(currency);
|
|
316
|
+
const qEnd = quoteEnd.get(currency);
|
|
317
|
+
const qStart = quoteStart.get(currency);
|
|
318
|
+
const translation = currency === baseCurrency ? 0 : row.openingLocalValue * (qEnd - qStart);
|
|
319
|
+
parts.realizedPnl.push(row.realizedPnl * qEnd);
|
|
320
|
+
parts.unrealizedPnl.push(row.unrealizedPnl * qEnd);
|
|
321
|
+
parts.income.push(row.income * qEnd);
|
|
322
|
+
parts.transactionCosts.push(row.transactionCosts * qEnd);
|
|
323
|
+
parts.financing.push(row.financing * qEnd);
|
|
324
|
+
parts.externalFlows.push(row.externalFlows * qEnd);
|
|
325
|
+
parts.foreignExchangePnl.push(translation);
|
|
326
|
+
byCurrency.push({
|
|
327
|
+
currency,
|
|
328
|
+
quoteAtStart: qStart,
|
|
329
|
+
quoteAtEnd: qEnd,
|
|
330
|
+
openingLocalValue: row.openingLocalValue,
|
|
331
|
+
closingLocalValue: row.closingLocalValue,
|
|
332
|
+
realizedPnl: row.realizedPnl,
|
|
333
|
+
unrealizedPnl: row.unrealizedPnl,
|
|
334
|
+
income: row.income,
|
|
335
|
+
transactionCosts: row.transactionCosts,
|
|
336
|
+
financing: row.financing,
|
|
337
|
+
externalFlows: row.externalFlows,
|
|
338
|
+
conversionNet: row.conversionNet,
|
|
339
|
+
translationEffectBaseCurrency: translation,
|
|
340
|
+
});
|
|
341
|
+
}
|
|
342
|
+
for (const { event } of conversions) {
|
|
343
|
+
parts.foreignExchangePnl.push(toBaseAtEnd(event.toAmount, event.toCurrency) -
|
|
344
|
+
toBaseAtEnd(event.fromAmount, event.fromCurrency));
|
|
345
|
+
}
|
|
346
|
+
const componentsWithoutTotal = {
|
|
347
|
+
realizedPnl: stableSum(parts.realizedPnl),
|
|
348
|
+
unrealizedPnl: stableSum(parts.unrealizedPnl),
|
|
349
|
+
income: stableSum(parts.income),
|
|
350
|
+
transactionCosts: stableSum(parts.transactionCosts),
|
|
351
|
+
financing: stableSum(parts.financing),
|
|
352
|
+
foreignExchangePnl: stableSum(parts.foreignExchangePnl),
|
|
353
|
+
};
|
|
354
|
+
const components = {
|
|
355
|
+
...componentsWithoutTotal,
|
|
356
|
+
totalPnl: totalOf(componentsWithoutTotal),
|
|
357
|
+
};
|
|
358
|
+
const externalFlows = stableSum(parts.externalFlows);
|
|
359
|
+
const netAssetValueChange = to.valued.netAssetValue - from.valued.netAssetValue;
|
|
360
|
+
const investmentReturn = netAssetValueChange - externalFlows;
|
|
361
|
+
const residual = investmentReturn - components.totalPnl;
|
|
362
|
+
const scale = Math.max(1, Math.abs(from.valued.netAssetValue), Math.abs(to.valued.netAssetValue));
|
|
363
|
+
if (Math.abs(residual) > RESIDUAL_TOLERANCE * scale) {
|
|
364
|
+
warnings.push(`${functionName}: the P&L identity leaves ${residual} unexplained between ${from.mark.valuationDate} and ${to.mark.valuationDate} (tolerance ${RESIDUAL_TOLERANCE * scale}) — the residual is reported, never absorbed; an event family this slice does not decompose (or a mark that values a position in a currency with no opening quote) is the usual cause.`);
|
|
365
|
+
}
|
|
366
|
+
// Groupings.
|
|
367
|
+
const groupings = buildGroupings(components, attribution, classification, quoteEnd);
|
|
368
|
+
return {
|
|
369
|
+
netAssetValueChange,
|
|
370
|
+
externalFlows,
|
|
371
|
+
investmentReturn,
|
|
372
|
+
components,
|
|
373
|
+
residual,
|
|
374
|
+
byCurrency,
|
|
375
|
+
groupings,
|
|
376
|
+
warnings,
|
|
377
|
+
eventCount: to.eventsSincePrior.length,
|
|
378
|
+
};
|
|
379
|
+
}
|
|
380
|
+
function attributedComponents(target, quoteEnd) {
|
|
381
|
+
const sumAtEnd = (bucket) => stableSum(Object.entries(bucket).map(([currency, amount]) => amount * (quoteEnd.get(currency) ?? 1)));
|
|
382
|
+
return {
|
|
383
|
+
realizedPnl: sumAtEnd(target.realizedPnl),
|
|
384
|
+
unrealizedPnl: sumAtEnd(target.unrealizedPnl),
|
|
385
|
+
income: sumAtEnd(target.income),
|
|
386
|
+
transactionCosts: sumAtEnd(target.transactionCosts),
|
|
387
|
+
financing: 0,
|
|
388
|
+
foreignExchangePnl: 0,
|
|
389
|
+
};
|
|
390
|
+
}
|
|
391
|
+
function buildGroupings(components, attribution, classification, quoteEnd) {
|
|
392
|
+
const attributed = attribution.map((target) => ({
|
|
393
|
+
target,
|
|
394
|
+
components: attributedComponents(target, quoteEnd),
|
|
395
|
+
currency: Object.keys(target.unrealizedPnl)[0] ??
|
|
396
|
+
Object.keys(target.realizedPnl)[0] ??
|
|
397
|
+
Object.keys(target.income)[0] ??
|
|
398
|
+
Object.keys(target.transactionCosts)[0] ??
|
|
399
|
+
UNCLASSIFIED,
|
|
400
|
+
}));
|
|
401
|
+
const attributedTotals = {
|
|
402
|
+
realizedPnl: stableSum(attributed.map((a) => a.components.realizedPnl)),
|
|
403
|
+
unrealizedPnl: stableSum(attributed.map((a) => a.components.unrealizedPnl)),
|
|
404
|
+
income: stableSum(attributed.map((a) => a.components.income)),
|
|
405
|
+
transactionCosts: stableSum(attributed.map((a) => a.components.transactionCosts)),
|
|
406
|
+
};
|
|
407
|
+
const unattributedBase = {
|
|
408
|
+
realizedPnl: components.realizedPnl - attributedTotals.realizedPnl,
|
|
409
|
+
unrealizedPnl: components.unrealizedPnl - attributedTotals.unrealizedPnl,
|
|
410
|
+
income: components.income - attributedTotals.income,
|
|
411
|
+
transactionCosts: components.transactionCosts - attributedTotals.transactionCosts,
|
|
412
|
+
financing: components.financing,
|
|
413
|
+
foreignExchangePnl: components.foreignExchangePnl,
|
|
414
|
+
};
|
|
415
|
+
const unattributed = {
|
|
416
|
+
...unattributedBase,
|
|
417
|
+
totalPnl: totalOf(unattributedBase),
|
|
418
|
+
};
|
|
419
|
+
const labelsFor = (dimension, entry) => {
|
|
420
|
+
const meta = ownValue(classification, entry.target.instrumentId) ?? {};
|
|
421
|
+
switch (dimension) {
|
|
422
|
+
case 'position':
|
|
423
|
+
return [positionGroupingLabel(entry.target.accountId, entry.target.instrumentId)];
|
|
424
|
+
case 'instrument':
|
|
425
|
+
return [entry.target.instrumentId];
|
|
426
|
+
case 'account':
|
|
427
|
+
return [entry.target.accountId];
|
|
428
|
+
case 'currency':
|
|
429
|
+
return [entry.currency];
|
|
430
|
+
case 'underlying':
|
|
431
|
+
return [meta.underlying ?? UNCLASSIFIED];
|
|
432
|
+
case 'assetClass':
|
|
433
|
+
return [meta.assetClass ?? UNCLASSIFIED];
|
|
434
|
+
case 'strategy':
|
|
435
|
+
return [meta.strategy ?? UNCLASSIFIED];
|
|
436
|
+
case 'tag':
|
|
437
|
+
return meta.tags && meta.tags.length > 0 ? meta.tags : [UNCLASSIFIED];
|
|
438
|
+
default:
|
|
439
|
+
return [UNCLASSIFIED];
|
|
440
|
+
}
|
|
441
|
+
};
|
|
442
|
+
return GROUPING_DIMENSIONS.map((dimension) => {
|
|
443
|
+
const rows = new Map();
|
|
444
|
+
for (const entry of attributed) {
|
|
445
|
+
for (const label of labelsFor(dimension, entry)) {
|
|
446
|
+
const row = rows.get(label) ?? {
|
|
447
|
+
realizedPnl: 0,
|
|
448
|
+
unrealizedPnl: 0,
|
|
449
|
+
income: 0,
|
|
450
|
+
transactionCosts: 0,
|
|
451
|
+
financing: 0,
|
|
452
|
+
foreignExchangePnl: 0,
|
|
453
|
+
};
|
|
454
|
+
row.realizedPnl += entry.components.realizedPnl;
|
|
455
|
+
row.unrealizedPnl += entry.components.unrealizedPnl;
|
|
456
|
+
row.income += entry.components.income;
|
|
457
|
+
row.transactionCosts += entry.components.transactionCosts;
|
|
458
|
+
rows.set(label, row);
|
|
459
|
+
}
|
|
460
|
+
}
|
|
461
|
+
const rowsOut = [...rows.keys()].sort().map((label) => {
|
|
462
|
+
const row = rows.get(label);
|
|
463
|
+
return { label, ...row, totalPnl: totalOf(row) };
|
|
464
|
+
});
|
|
465
|
+
const explained = stableSum([...rowsOut.map((row) => row.totalPnl), unattributed.totalPnl]);
|
|
466
|
+
const reconciliationResidual = components.totalPnl - explained;
|
|
467
|
+
const overlapping = dimension === 'tag';
|
|
468
|
+
const reconciles = !overlapping &&
|
|
469
|
+
Math.abs(reconciliationResidual) <=
|
|
470
|
+
RESIDUAL_TOLERANCE * Math.max(1, Math.abs(components.totalPnl));
|
|
471
|
+
return {
|
|
472
|
+
dimension,
|
|
473
|
+
rows: rowsOut,
|
|
474
|
+
unattributed: { ...unattributed },
|
|
475
|
+
reconciliationResidual,
|
|
476
|
+
reconciles,
|
|
477
|
+
...(reconciles
|
|
478
|
+
? {}
|
|
479
|
+
: {
|
|
480
|
+
reason: overlapping
|
|
481
|
+
? 'tags overlap — an instrument may carry several, so tag rows double-count by design and do not partition the total'
|
|
482
|
+
: `the ${dimension} rows plus the unattributed row leave ${reconciliationResidual} of the total unexplained`,
|
|
483
|
+
}),
|
|
484
|
+
};
|
|
485
|
+
});
|
|
486
|
+
}
|
|
487
|
+
// ---------------------------------------------------------------------------------------------------
|
|
488
|
+
// The head
|
|
489
|
+
// ---------------------------------------------------------------------------------------------------
|
|
490
|
+
/**
|
|
491
|
+
* Reconciled P&L between two valuation marks — see the module comment for the identity and the
|
|
492
|
+
* conversion convention. Never mutates the ledger; every number is base currency unless the row
|
|
493
|
+
* says otherwise.
|
|
494
|
+
*/
|
|
495
|
+
export function portfolioPnl(input) {
|
|
496
|
+
const functionName = 'portfolioPnl';
|
|
497
|
+
requireArgumentObject(functionName, 'input', input);
|
|
498
|
+
ensureKnownKeys(functionName, 'input', input, INPUT_KEYS);
|
|
499
|
+
requirePortfolioLedger(functionName, 'ledger', input.ledger);
|
|
500
|
+
for (const field of ['from', 'to']) {
|
|
501
|
+
if (input[field] === undefined) {
|
|
502
|
+
throw new InputError(`${functionName}: ${field} is required — a P&L is measured BETWEEN two dated valuation marks.\n e.g. ${EXAMPLE_CALL}`, { code: ErrorCode.InputMissingField, context: { function: functionName, field } });
|
|
503
|
+
}
|
|
504
|
+
}
|
|
505
|
+
requireValuationMarks(functionName, [input.from, input.to], 2, EXAMPLE_CALL);
|
|
506
|
+
const classification = requireInstrumentClassification(functionName, input.instrumentClassification);
|
|
507
|
+
const [from, to] = foldToMarks(input.ledger, [input.from, input.to]);
|
|
508
|
+
const window = computePnlWindow(functionName, input.ledger, from, to, classification);
|
|
509
|
+
const warnings = [
|
|
510
|
+
...from.valued.diagnostics.warnings.map((w) => `${from.mark.valuationDate}: ${w}`),
|
|
511
|
+
...to.valued.diagnostics.warnings.map((w) => `${to.mark.valuationDate}: ${w}`),
|
|
512
|
+
...window.warnings,
|
|
513
|
+
];
|
|
514
|
+
const scale = Math.max(1, Math.abs(from.valued.netAssetValue), Math.abs(to.valued.netAssetValue));
|
|
515
|
+
return deepFreeze(requireRepresentableResult(functionName, {
|
|
516
|
+
baseCurrency: input.ledger.state.baseCurrency,
|
|
517
|
+
from: {
|
|
518
|
+
valuationDate: from.mark.valuationDate,
|
|
519
|
+
asOf: from.instant,
|
|
520
|
+
netAssetValue: from.valued.netAssetValue,
|
|
521
|
+
},
|
|
522
|
+
to: {
|
|
523
|
+
valuationDate: to.mark.valuationDate,
|
|
524
|
+
asOf: to.instant,
|
|
525
|
+
netAssetValue: to.valued.netAssetValue,
|
|
526
|
+
},
|
|
527
|
+
netAssetValueChange: window.netAssetValueChange,
|
|
528
|
+
externalFlows: window.externalFlows,
|
|
529
|
+
investmentReturn: window.investmentReturn,
|
|
530
|
+
components: window.components,
|
|
531
|
+
residual: window.residual,
|
|
532
|
+
byCurrency: window.byCurrency,
|
|
533
|
+
groupings: window.groupings,
|
|
534
|
+
assumptions: {
|
|
535
|
+
conventionsVersion: CONVENTIONS_VERSION,
|
|
536
|
+
lotRelief: input.ledger.state.lotRelief,
|
|
537
|
+
identity: IDENTITY,
|
|
538
|
+
conversionConvention: CONVERSION_CONVENTION,
|
|
539
|
+
residualTolerance: RESIDUAL_TOLERANCE * scale,
|
|
540
|
+
},
|
|
541
|
+
diagnostics: {
|
|
542
|
+
warnings,
|
|
543
|
+
eventCount: window.eventCount,
|
|
544
|
+
residualWithinTolerance: Math.abs(window.residual) <= RESIDUAL_TOLERANCE * scale,
|
|
545
|
+
},
|
|
546
|
+
}));
|
|
547
|
+
}
|
|
548
|
+
//# sourceMappingURL=pnl.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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