DolphinDB/modules/returnCalculator.dos

module fundit::returnCalculator
use fundit::fundCalculator
use fundit::dataPuller

/*
 *  批量计算私募基金收益
 *
 *
 *  cal_hedge_fund_returns("'HF000004KN','HF00018WXG','HF000103EU'", true)
 *
 */
def cal_hedge_fund_returns(fund_ids, isFromMySQL) {

    // 用于保证老基金也能取到所有历史净值
    very_old_price_date = 1990.01.01

    // 基金基本信息，包括初始净值
    tb_fund_info = get_fund_info(fund_ids)
    
    // 基金净值
    tb_nav = get_hedge_fund_nav_by_price_date(fund_ids, very_old_price_date, isFromMySQL)
    
    // NOTE: mySQL currently uses calendar day, while the codes below takes business day. it might cause a few different numbers calcuated
    tb_monthly_nav = SELECT fund_id, businessMonthEnd(price_date).month().last() AS end_date, price_date.last() AS price_date, cumulative_nav.last() AS cumulative_nav
                     FROM tb_nav
                     GROUP BY fund_id, businessMonthEnd(price_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)
    tb_rets_1m = (SELECT cumulative_nav FROM tb_monthly_nav PIVOT BY end_date, fund_id).ffill!().ratios()-1
    
    // 取被pivot掉的fund_Ids
    v_col_name = tb_rets_1m.columnNames()[1:]
    tb_tmp = tb_rets_1m.unpivot("end_date", v_col_name).rename!("valueType" "value", "fund_id" "ret_1m")
                         
    tb_rets = SELECT fund_id, end_date, ret_1m,
                     (1 + ret_1m).mprod(3) - 1 AS ret_3m, (1 + ret_1m).mprod(6) - 1 AS ret_6m, (1 + ret_1m).mprod(12) - 1 AS ret_1y,
                     (1 + ret_1m).mprod(24) - 1 AS ret_2y, (1 + ret_1m).mprod(36) - 1 AS ret_3y, (1 + ret_1m).mprod(48) - 1 AS ret_4y,
                     (1 + ret_1m).mprod(60) - 1 AS ret_5y, (1 + ret_1m).mprod(120) - 1 AS ret_10y
              FROM tb_tmp
              // WHERE ret_1m IS NOT NULL
              CONTEXT BY fund_id
    
    UPDATE tb_rets SET ret_1m_a = (1 + ret_1m).pow(12) - 1, ret_3m_a = (1 + ret_3m).pow(4) - 1, ret_6m_a = (1 + ret_6m).pow(2) - 1, ret_1y_a= ret_1y,
                       ret_2y_a = (1 + ret_2y).pow(1\2) - 1, ret_3y_a = (1 + ret_3y).pow(1\3) - 1, ret_4y_a = (1 + ret_4y).pow(1\4) - 1, 
                       ret_5y_a = (1 + ret_5y).pow(1\5) - 1, ret_10y_a = (1 + ret_10y).pow(1\10) - 1
    
    // ytd 不会用上面的CONTEXT BY语句实现
    tb_ret_ytd = SELECT a.fund_id, a.end_date, a.price_date, a.cumulative_nav, -1 + a.cumulative_nav \ b.cumulative_nav AS ret_ytd, (a.cumulative_nav \ b.cumulative_nav).pow(12\(a.end_date - b.end_date)) - 1 AS ret_ytd_a
                 FROM tb_monthly_nav a
                 INNER JOIN tb_monthly_nav b ON a.fund_Id = b.fund_id 
                   AND b.end_date = a.price_date.yearEnd().datetimeAdd(-1y).month()
    
    // since inception 不会用上面的CONTEXT BY语句实现
    tb_ret_incep = SELECT a.fund_id, a.end_date, a.price_date,  cumulative_nav, -1 + cumulative_nav \ ini_value AS ret_incep
                   FROM tb_monthly_nav a
                   INNER JOIN tb_fund_info fi ON a.fund_id = fi.fund_id
    
    UPDATE tb_ret_incep SET ret_incep_a = (1 + ret_incep).pow(12\(end_date - end_date.first())) - 1 CONTEXT BY fund_Id
    UPDATE tb_ret_incep SET ret_incep_a_gips = iif( end_date - end_date.first() < 12, ret_incep, ret_incep_a ), ret_incep_a_all = ret_incep_a CONTEXT BY fund_id
    
    // 只选需要更新的记录
    tb_fund_performance = SELECT a.fund_id, a.end_date.datetimeFormat("yyyy-MM") AS end_date, c.price_date, c.cumulative_nav,
                                 a.ret_1m, a.ret_1m_a, a.ret_3m, a.ret_3m_a, a.ret_6m, a.ret_6m_a,
                                 a.ret_1y, a.ret_1y_a, a.ret_2y, a.ret_2y_a, a.ret_3y, a.ret_3y_a,
                                 a.ret_4y, a.ret_4y_a, a.ret_5y, a.ret_5y_a, a.ret_10y, a.ret_10y_a,
                                 b.ret_ytd, b.ret_ytd_a, c.ret_incep, c.ret_incep_a, c.ret_incep_a_all, c.ret_incep_a_gips
                                 // , 123 AS creatorid, now() AS createtime, 123 AS updaterid, now() AS updatetime, 1 AS isvalid
                          FROM tb_rets a 
                          LEFT JOIN tb_ret_ytd b ON a.fund_id = b.fund_id AND a.end_date = b.end_date
                          LEFT JOIN tb_ret_incep c ON a.fund_id = c.fund_id AND a.end_date = c.end_date
                          WHERE c.price_date IS NOT NULL
                          ORDER BY a.fund_id, c.price_date

/*    
    // 把这些数据写回mySQL数据表
    save_table(tb_fund_performance, "mfdb.fund_performance", true)

    // 把这些数据写到本地数据表
    save_table(tb_fund_performance, "mfdb.fund_performance", false)
*/

    return tb_fund_performance
}


/*
 *  批量计算私募基金周收益

 *  TODO: 需要用每周最后一个交易日？
 *
 *  cal_hedge_fund_weekly_returns("'HF000004KN','HF00018WXG','HF000103EU'", true)
 *
 */
def cal_hedge_fund_weekly_returns(fund_ids, isFromMySQL) {

    // 用于保证老基金也能取到所有历史净值
    very_old_price_date = 1990.01.01

    tb_nav = get_hedge_fund_nav_by_price_date(fund_ids, very_old_price_date, isFromMySQL)

    UPDATE tb_nav SET year_week = price_date.year()$STRING + (price_date.weekOfYear()$STRING).lpad(2, "0")
    
    tb_weekly_nav = SELECT fund_id, year_week, price_date.last() AS price_date, cumulative_nav.last() AS cumulative_nav
                    FROM tb_nav
                    GROUP BY fund_id, year_week
                    ORDER BY fund_id, year_week
    
    // 这里选最简单的计算方式：不补任何净值空洞，净值前值日期不做任何限制
    // TODO: 可以考虑将月收益也改为这种方式
    tb_rets_1w = SELECT fund_id, year_week, price_date, cumulative_nav, cumulative_nav.ratios()-1 AS ret_1w 
                 FROM tb_weekly_nav
                 ORDER BY fund_id, year_week
    
    return tb_rets_1w

}

/*
 *  批量计算私募基金区间收益
 *  TODO: mySQL version 向前取4天，向后不做限制。这里的逻辑是向前取4个交易日
 *
 *  get_trailing_return(tb_last_nav, tb_nav, -7d, "ret_1w")
 *
 */
def get_trailing_return(table_last_nav, table_nav, duration, return_column_name) {

    tb =  SELECT a.fund_id, a.price_date.last() AS price_date, a.cumulative_nav.last() \ b.cumulative_nav.last() - 1 AS ret
          FROM table_last_nav a
          INNER JOIN table_nav b ON a.fund_id = b.fund_id 
          WHERE b.price_date <= a.price_date.datetimeAdd(duration)
            AND b.price_date >= a.price_date.datetimeAdd(duration).datetimeAdd(-4d).businessDay()
          GROUP by a.fund_id
          ORDER BY fund_id
    tb.rename!("ret", return_column_name)

    return tb    
}

/*
 *  批量计算私募基金最新收益
 *
 *
 *  cal_hedge_fund_weekly_returns("'HF000004KN','HF00018WXG','HF000103EU'", true)
 *
 */
def cal_hedge_fund_latest_returns(fund_ids, isFromMySQL) {

    // 用于保证老基金也能取到所有历史净值
    very_old_price_date = 1990.01.01

    tb_nav = get_hedge_fund_nav_by_price_date(fund_ids, very_old_price_date, isFromMySQL)
    
    tb_last_nav = SELECT fund_id, price_date.last() AS price_date, cumulative_nav.last() AS cumulative_nav
                  FROM tb_nav
                  GROUP BY fund_id
                  ORDER BY fund_id
    
    // 近1期收益，对应mySQL fund_latest_nav_performance 中的 net_value_change
    // 因为是倒序，所以算出来的 ratios() = n0 / n1, 要把它改换成 n1 / n0 - 1 的收益
    tb_last_return = SELECT TOP 2 fund_id, price_date.first() AS price_date, price_date AS pre_preice_date,
                                  cumulative_nav.first() AS cumulative_nav, 1\cumulative_nav.ratios() - 1 AS net_value_change
                     FROM ( SELECT * FROM tb_nav ORDER BY price_date DESC )
                     CONTEXT BY fund_id
                     ORDER BY fund_id
    tb_last_return = SELECT * FROM tb_last_return WHERE net_value_change IS NOT NULL


    // 近1交易日收益
    tb_1d = SELECT a.fund_id, a.price_date, a.cumulative_nav \ b.cumulative_nav - 1 AS ret_1d
            FROM tb_last_nav a
            INNER JOIN tb_nav b ON a.fund_id = b.fund_id AND b.price_date = a.price_date.datetimeAdd(-1d).businessDay()
            ORDER BY fund_id

    // 近1周、1/3/6月、1/2/3/4/5/10年收益
    tb_1w = get_trailing_return(tb_last_nav, tb_nav, -7d, "ret_1w")
    tb_1m = get_trailing_return(tb_last_nav, tb_nav, -1M, "ret_1m")
    tb_3m = get_trailing_return(tb_last_nav, tb_nav, -3M, "ret_3m")
    tb_6m = get_trailing_return(tb_last_nav, tb_nav, -6M, "ret_6m")
    tb_1y = get_trailing_return(tb_last_nav, tb_nav, -1y, "ret_1y")
    tb_2y = get_trailing_return(tb_last_nav, tb_nav, -2y, "ret_2y")
    tb_3y = get_trailing_return(tb_last_nav, tb_nav, -3y, "ret_3y")
    tb_4y = get_trailing_return(tb_last_nav, tb_nav, -4y, "ret_4y")
    tb_5y = get_trailing_return(tb_last_nav, tb_nav, -5y, "ret_5y")
    tb_10y = get_trailing_return(tb_last_nav, tb_nav, -10y, "ret_10y")

    // ytd return
    tb_ytd =  SELECT a.fund_id, a.price_date.last() AS price_date, a.cumulative_nav.last() \ b.cumulative_nav.last() - 1 AS ret_ytd
              FROM tb_last_nav a
              INNER JOIN tb_nav b ON a.fund_id = b.fund_id 
              WHERE b.price_date < a.price_date.yearBegin()
                AND b.price_date >= a.price_date.yearBegin().datetimeAdd(-4d)
              GROUP by a.fund_id

    // since inception return
    tb_fund_info = get_fund_info(fund_ids)
    tb_incep = SELECT a.fund_id, a.price_date, -1 + cumulative_nav \ ini_value AS ret_incep, fi.inception_date
               FROM tb_last_nav a
               INNER JOIN tb_fund_info fi ON a.fund_id = fi.fund_id
    
    // annulized since reception return
    UPDATE tb_incep SET ret_incep_a = (1 + ret_incep).pow(365.25\(price_date-inception_date)) - 1
    UPDATE tb_incep SET ret_incep_a_all = ret_incep_a,
                        ret_incep_a_gips = iif((price_date-inception_date)<365, ret_incep, ret_incep_a)

    // 最大回撤
    tb_drawdown_1m = SELECT a.fund_id, max( 1 - b.cumulative_nav \ b.cumulative_nav.cummax() ) AS drawdown_1m
                     FROM tb_last_return a
                     INNER JOIN tb_nav b ON a.fund_id = b.fund_id
                     WHERE b.price_date >= a.price_date.datetimeAdd(-1M)
                     GROUP BY a.fund_id

    tb_drawdown_3m = SELECT a.fund_id, max( 1 - b.cumulative_nav \ b.cumulative_nav.cummax() ) AS drawdown_3m
                     FROM tb_last_return a
                     INNER JOIN tb_nav b ON a.fund_id = b.fund_id
                     WHERE b.price_date >= a.price_date.datetimeAdd(-3M)
                     GROUP BY a.fund_id

    tb_drawdown_incep = SELECT fund_id, max( 1 - cumulative_nav \ cumulative_nav.cummax() ) AS drawdown_incep
                        FROM tb_nav GROUP BY fund_id

    tb_rets = SELECT a.fund_id, a.price_date.datetimeFormat("yyyy-MM") AS end_date, a.price_date, a.pre_preice_date, a.cumulative_nav,
                     a.net_value_change, d1.ret_1d, w1.ret_1w, m1.ret_1m, m3.ret_3m, m6.ret_6m,
                     y1.ret_1y, y2.ret_2y, y3.ret_3y, y4.ret_4y, y5.ret_5y, y10.ret_10y,
                     ytd.ret_ytd, incep.ret_incep, incep.ret_incep_a, incep.ret_incep_a_all, incep.ret_incep_a_gips,
                     dd_m1.drawdown_1m AS maxdrawdown_1m, dd_m3.drawdown_3m AS maxdrawdown_3m,
                     dd_incep.drawdown_incep AS maxdrawdown_incep,
                     iif(dd_incep.drawdown_incep == 0, null,incep.ret_incep_a \ dd_incep.drawdown_incep) AS calmarratio_incep
              FROM tb_last_return a
              LEFT JOIN tb_1d d1 ON a.fund_id = d1.fund_id
              LEFT JOIN tb_1w w1 ON a.fund_id = w1.fund_id
              LEFT JOIN tb_1m m1 ON a.fund_id = m1.fund_id
              LEFT JOIN tb_3m m3 ON a.fund_id = m3.fund_id
              LEFT JOIN tb_6m m6 ON a.fund_id = m6.fund_id
              LEFT JOIN tb_1y y1 ON a.fund_id = y1.fund_id
              LEFT JOIN tb_2y y2 ON a.fund_id = y2.fund_id
              LEFT JOIN tb_3y y3 ON a.fund_id = y3.fund_id
              LEFT JOIN tb_4y y4 ON a.fund_id = y4.fund_id
              LEFT JOIN tb_5y y5 ON a.fund_id = y5.fund_id
              LEFT JOIN tb_10y y10 ON a.fund_id = y10.fund_id
              LEFT JOIN tb_ytd ytd ON a.fund_id = ytd.fund_id
              LEFT JOIN tb_incep incep ON a.fund_id = incep.fund_id
              LEFT JOIN tb_drawdown_1m dd_m1 ON a.fund_id = dd_m1.fund_id
              LEFT JOIN tb_drawdown_3m dd_m3 ON a.fund_id = dd_m3.fund_id
              LEFT JOIN tb_drawdown_incep dd_incep ON a.fund_id = dd_incep.fund_id
              ORDER BY a.fund_id

    // 忽略掉非GIPS标准的所有年化收益字段（包括ytd_a）
    UPDATE tb_rets SET ret_1y_a = ret_1y, ret_2y_a = (1 + ret_2y).pow(1\2) - 1, ret_3y_a = (1 + ret_3y).pow(1\3) - 1,
                       ret_4y_a = (1 + ret_4y).pow(1\4) - 1, ret_5y_a = (1 + ret_5y).pow(1\5) - 1, ret_10y_a = (1 + ret_10y).pow(1\10) - 1


    return tb_rets

}