DolphinDB/modules/navCalculator.dos

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, end_date) {

    // 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 ej(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, end_date, 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
 *  NOTE: 与MySQL逻辑一致，用户界面输入的交易净值会被暂时忽略，因为我们无法确保同一基金同一时间被输入的净值是相同的；
 *        忽略手工净值会导致收益不精确或无法计算的问题，但可能错误的净值将导致错误的结果，两害取其轻。
 *  
 *  
 *  Create:  20240908 用于代替 sp_cal_portfolio_nav            Joey
 * 
 *  @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, today()).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);

    // 补一下最新界面
    tb_latest_snapshot = 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;

    // Buggy DolphinDB, INSERT INTO Table1 (Columns) SELECT Columns FROM Table2 会报列数不匹配的奇葩错误
    // this is the way to get around it
    INSERT INTO tb_nav (sec_id, price_date, cumulative_nav) VALUES (tb_latest_snapshot.sec_id, tb_latest_snapshot.holding_date, tb_latest_snapshot.nav);

    // 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_holding_date_range = SELECT portfolio_id, sec_id, holding_date.min() AS oldest_date, holding_date.max() AS latest_date
                            FROM tb_snapshot GROUP BY portfolio_id, sec_id;
    // 所有净值日期
    tb_date = SELECT DISTINCT dr.portfolio_id, n.price_date
              FROM tb_holding_date_range dr
              INNER JOIN tb_nav n ON dr.sec_id = n.sec_id
              WHERE n.price_date >= dr.oldest_date 
                AND n.price_date <= dr.latest_date;

    // 所有基金证券id
    tb_id = SELECT DISTINCT portfolio_id, sec_id FROM tb_snapshot;

    tb_holdings = SELECT id.portfolio_id, dt.price_date, id.sec_id, n.cumulative_nav, n.nav
                  FROM tb_id id
                  INNER JOIN tb_date dt ON id.portfolio_id = dt.portfolio_id
                  INNER JOIN tb_holding_date_range dr ON dr.portfolio_id = id.portfolio_id AND dr.sec_id = id.sec_id 
                  LEFT JOIN tb_nav n ON n.sec_id = id.sec_id AND n.price_date = dt.price_date
                  WHERE dt.price_date >= dr.oldest_date AND dt.price_date <= dr.latest_date
                  ORDER BY id.portfolio_id, dt.price_date, id.sec_id;
    // 清一下内存
    tb_nav = null;

    // 为收益计算填充净值
    UPDATE tb_holdings SET cumulative_nav = cumulative_nav.ffill(), nav = nav.ffill()
    CONTEXT BY portfolio_id, sec_id;

    tb_holdings.addColumn(['ret', 'shares', 'market_value', 'total_mkt_value', 'weight'], [DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE]);

    // 计算各持仓证券收益
    UPDATE tb_holdings SET ret = (cumulative_nav.ratios()-1).round(6)
    CONTEXT BY portfolio_id, sec_id;

    // 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
    if(cal_method == 1) {
        UPDATE tb_holdings SET market_value = (cumulative_nav * shares).round(6);
    } else {
        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();

    return tb_portfolio_ret;
 }