@Test
public void testThatPerformanceOfAnInvestmentIntoAnIndexIsIdenticalToIndex() {
LocalDate startDate = LocalDate.of(2012, 1, 1);
LocalDate endDate = LocalDate.of(2012, 4, 29); // a weekend
long startPrice = Values.Quote.factorize(100);
Client client = new Client();
Security security =
new SecurityBuilder() //
.generatePrices(startPrice, startDate, endDate) //
.addTo(client);
PortfolioBuilder portfolio = new PortfolioBuilder(new Account());
// add some buy transactions
LocalDate date = startDate;
while (date.isBefore(endDate)) {
long p = security.getSecurityPrice(date).getValue();
portfolio.inbound_delivery(security, date, Values.Share.factorize(100), p);
date = date.plusDays(20);
}
portfolio.addTo(client);
ReportingPeriod.FromXtoY period = new ReportingPeriod.FromXtoY(startDate, endDate);
List<Exception> warnings = new ArrayList<Exception>();
CurrencyConverter converter = new TestCurrencyConverter();
ClientIndex index = PerformanceIndex.forClient(client, converter, period, warnings);
assertTrue(warnings.isEmpty());
double[] accumulated = index.getAccumulatedPercentage();
long lastPrice = security.getSecurityPrice(endDate).getValue();
assertThat(
(double) (lastPrice - startPrice) / (double) startPrice,
IsCloseTo.closeTo(accumulated[accumulated.length - 1], PRECISION));
PerformanceIndex benchmark = PerformanceIndex.forSecurity(index, security);
assertThat(
benchmark.getFinalAccumulatedPercentage(), is(index.getFinalAccumulatedPercentage()));
}
@Test
public void testThatPerformanceOfInvestmentAndIndexIsIdendicalWhenInForeignCurrency() {
LocalDate startDate = LocalDate.of(2015, 1, 1);
LocalDate endDate = LocalDate.of(2015, 8, 1);
long startPrice = Values.Quote.factorize(100);
Client client = new Client();
Security security =
new SecurityBuilder("USD") //
.generatePrices(startPrice, startDate, endDate) //
.addTo(client);
new PortfolioBuilder() //
.inbound_delivery(security, "2014-01-01", Values.Share.factorize(100), 100) //
.addTo(client);
ReportingPeriod.FromXtoY period = new ReportingPeriod.FromXtoY(startDate, endDate);
List<Exception> warnings = new ArrayList<Exception>();
CurrencyConverter converter = new TestCurrencyConverter().with(CurrencyUnit.EUR);
ClientIndex index = PerformanceIndex.forClient(client, converter, period, warnings);
assertTrue(warnings.isEmpty());
PerformanceIndex benchmark = PerformanceIndex.forSecurity(index, security);
assertTrue(warnings.isEmpty());
assertThat(
benchmark.getFinalAccumulatedPercentage(), is(index.getFinalAccumulatedPercentage()));
PerformanceIndex investment =
PerformanceIndex.forInvestment(client, converter, security, period, warnings);
assertTrue(warnings.isEmpty());
assertThat(
investment.getFinalAccumulatedPercentage(), is(index.getFinalAccumulatedPercentage()));
}