上传文件至 'modules'

modules/navCalculator.dos

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+module fundit::navCalculator
+
+use fundit::dataPuller
+
+/*
+ *  转交易表为交易日的持仓截面表
+ *  NOTE: 假定所有基金证券都是T+1买入，也就是第一天没有收益
+ * 
+ * 
+ */
+def convert_transaction_to_snapshot(portfolio_ids) {
+
+    // 取数据库中的持仓交易表
+	tb_transaction = get_portfolio_holding_history(portfolio_ids);
+	
+    // 所有交易日期
+	tb_date = SELECT DISTINCT portfolio_id, holding_date FROM tb_transaction;
+
+	// 所有基金证券id
+	tb_id = SELECT DISTINCT portfolio_id, fund_id FROM tb_transaction;
+
+	tmp = SELECT tb_date.portfolio_id, tb_date.holding_date, tb_id.fund_id FROM fj(tb_date, tb_id, 'portfolio_id');
+
+    // 取各交易日期时的持仓截面， Window Join 的上限设成-1d 是因为买入基金当日无收益，所以计算份额时要排除掉
+	tb = wj(tmp, tb_transaction.sortBy!('holding_date'), duration('-50y'):duration('-1d'), <[t.fund_share.sum() AS shares]>, ['portfolio_id', 'fund_id', 'holding_date']);
+
+	tb.addColumn('nav', DOUBLE);
+    // 买入的基金份额记为0, 保留原始买入净值
+	UPDATE tb
+	SET shares = 0, nav = tb_transaction.nav
+	FROM ej(tb, tb_transaction, ['portfolio_id', 'holding_date', 'fund_id'],, isNull(tb.shares));
+
+	// 删除没用的数据；防一手脏数据
+	DELETE FROM tb WHERE shares IS NULL OR shares.round(0) < 0;
+
+	// 补上个虚拟的未来截面，以免buy-n-hold的证券信息损失；用0当NAV也是没办法，DolphinDB不能SELECT出个全NULL的列
+	INSERT INTO tb
+	SELECT portfolio_id, today()+1, fund_id, fund_share.sum(), 0
+	FROM tb_transaction
+	GROUP BY portfolio_id, fund_id
+	HAVING fund_share.sum().round(0) > 0;
+
+    return tb;
+
+}
+
+/*
+ *  计算FOF类组合收益
+ * 
+ *  
+ *  Create:  20240908 用于代替 sp_cal_portfolio_nav            Joey
+ *                    TODO: 当用户手工输入同一基金同一时间的净值不同时，暂时用平均值代替（这会导致那个时间点附近的收益计算错误！）
+ * 
+ *  @param portfolio_ids <STRING>: 逗号分隔的组合ID
+ *  @param start_date <DATE>: 持仓证券净值更新的起始日期
+ *  @param cal_method <INT>: 净值使用方法：1-依赖累计净值，但份额数不是真实的、2：依赖单位净值，份额数是真实的
+ *  
+ *  
+ */
+ def cal_portfolio_return(portfolio_ids, start_date, cal_method) {
+
+    // 取持仓截面
+    tb_snapshot = convert_transaction_to_snapshot(portfolio_ids).rename!('fund_id', 'sec_id');;
+
+
+    // 取涉及到的所有基金证券最早持仓日期
+    s_json = (SELECT sec_id, holding_date.min() AS price_date FROM tb_snapshot GROUP BY sec_id).toStdJson();
+
+ 	// 取涉及到的所有基金证券有用净值
+ 	// TODO: need consider inception date nav
+ 	tb_nav = get_holding_nav(s_json);
+
+ 	// Buggy DolphinDB, INSERT INTO Table1 (Columns) SELECT Columns FROM Table2 会报列数不匹配的奇葩错误
+    tb_dup = SELECT sec_id, holding_date, nav.mean().round(6) AS nav
+  	         FROM tb_snapshot
+             WHERE NOT EXISTS ( SELECT 1 FROM tb_nav WHERE sec_id = tb_snapshot.sec_id AND price_date = tb_snapshot.holding_date )
+             GROUP BY sec_id, holding_date;
+
+    // 为了把不数据库里不存在的nav记录填空，不得不先做个pivot；然后才能正确计算ratios (ret_1m)
+    if ( cal_method == 1) {
+
+        // 补一下用户手工输入的交净值
+        // this is the way to get around the problem mentioned above
+	    INSERT INTO tb_nav (sec_id, price_date, cumulative_nav) VALUES (tb_dup.sec_id, tb_dup.holding_date, tb_dup.nav);
+
+        // 统一叫NAV，省得麻烦
+		tmp_nav = (SELECT cumulative_nav AS nav FROM tb_nav PIVOT BY price_date, sec_id).ffill!(); 
+
+    } else {
+
+ 	    // 补一下用户手工输入的交净值
+     	INSERT INTO tb_nav (sec_id, price_date, nav) VALUES (tb_dup.sec_id, tb_dup.holding_date, tb_dup.nav);
+
+    	tmp_nav = (SELECT nav FROM tb_nav PIVOT BY price_date, sec_id).ffill!();
+    }
+    // 计算每期收益
+	tmp_rets = tmp_nav.ratios()-1;
+
+    // 取被pivot掉的fund_Ids
+    v_col_name = tmp_rets.columnNames()[1:]
+
+    // 横表变回竖表
+    tb_navs = tmp_nav.unpivot("price_date", v_col_name).rename!("valueType" "value", "sec_id" "nav");
+    tb_rets = tmp_rets.unpivot("price_date", v_col_name).rename!("valueType" "value", "sec_id" "ret");
+
+    // 清一下内存
+    tmp_rets = null;
+    tmp_nav = null;
+    tb_nav = null;
+    
+    // 清掉没用的空数据
+    DELETE FROM tb_navs WHERE nav IS NULL;
+    DELETE FROM tb_rets WHERE ret IS NULL;
+
+    // 在各证券持仓时段中，填充所有无净值的但其它证券有净值的合理日期
+    // 比如 2024-01-10 ~ 2024-01-20区间，组合持有基金A和基金B，基金A有每日净值
+    // 而基金B只有01-12和01-19两期周五净值，那么基金B需要填充除这两天以外的所有日期
+    tb_id_oldest_date = SELECT portfolio_id, sec_id, holding_date.min() AS oldest_date FROM tb_snapshot GROUP BY portfolio_id, sec_id;
+    
+    tb_holdings = SELECT id.portfolio_id, r.price_date, id.sec_id, r.ret
+                       FROM tb_id_oldest_date id
+                       INNER JOIN tb_rets r ON id.sec_id = r.sec_id
+                       WHERE r.price_date >= id.oldest_date
+                       ORDER BY id.portfolio_id, r.price_date, id.sec_id;
+
+    tb_holdings.addColumn(['nav', 'shares', 'market_value', 'total_mkt_value', 'weight'], [DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE]);
+
+    // 更新各持仓日期的基金净值
+    UPDATE tb_holdings pr
+      SET nav = tb_navs.nav
+    FROM ej(tb_holdings, tb_navs, ['sec_id', 'price_date']);
+
+    // 把交易日截面的份额数用于组合收益表
+    UPDATE tb_holdings
+      SET shares = ss.shares
+    FROM ej(tb_holdings AS pr, tb_snapshot AS ss, ['portfolio_id', 'price_date', 'sec_id'], ['portfolio_id', 'holding_date', 'sec_id']);
+
+    // 填充份额数为空的无交易日期，这段时间所有证券基金处于 buy-n-hold
+    UPDATE tb_holdings
+      SET shares = shares.bfill()
+    CONTEXT BY portfolio_id, sec_id;
+
+    // 计算各日期的持仓资产及总资产
+    UPDATE tb_holdings
+      SET market_value = (nav * shares).round(6);
+
+    UPDATE tb_holdings
+      SET total_mkt_value = market_value.sum()
+    CONTEXT BY portfolio_id, price_date;
+
+    // 计算各持仓的权重
+    UPDATE tb_holdings
+      SET weight = (market_value \ total_mkt_value).round(6)
+    WHERE total_mkt_value <> 0;
+
+    // 组合收益计算: RET = ∑( weight_i * ret_i )
+    tb_portfolio_ret = SELECT portfolio_id, price_date, (weight * ret).sum().round(6) AS ret
+                       FROM tb_holdings
+                       GROUP BY portfolio_id, price_date;
+
+    // 初始化净值
+    tb_portfolio_ret.addColumn('nav', DOUBLE);
+    UPDATE tb_portfolio_ret SET nav = 1 WHERE ret IS NULL;
+
+    // 通过收益反算净值: nav_i = nav_0 * ∏(1 + ret_i)
+    UPDATE tb_portfolio_ret SET nav = (1+ret).cumprod() WHERE nav IS NULL CONTEXT BY portfolio_id;
+
+    // 删掉没有用的数据
+    DELETE FROM tb_portfolio_ret WHERE price_date > today();
+
+    // 尤其是私募基金，有很多冗余
+
+    return tb_portfolio_ret;
+ }