@Test
public void testWhenQuotesAreOnlyAvailableFromTheMiddleOfTheReportInterval() {
DateMidnight startDate = new DateMidnight(2012, 12, 31);
DateMidnight middleDate = new DateMidnight(2013, 2, 18);
DateMidnight endDate = new DateMidnight(2013, 4, 1);
// create model
Client client = new Client();
new AccountBuilder() //
.deposit_(startDate, 100 * Values.Amount.factor()) //
.interest(startDate.plusDays(10), 10 * Values.Amount.factor()) //
.addTo(client);
Security security =
new SecurityBuilder() //
.generatePrices(50 * Values.Amount.factor(), middleDate, endDate) //
.addTo(client);
// calculate performance indices
List<Exception> warnings = new ArrayList<Exception>();
ReportingPeriod reportInterval =
new ReportingPeriod.FromXtoY(startDate.toDate(), endDate.toDate());
ClientIndex clientIndex = PerformanceIndex.forClient(client, reportInterval, warnings);
PerformanceIndex securityIndex = PerformanceIndex.forSecurity(clientIndex, security, warnings);
// asserts
assertTrue(warnings.isEmpty());
Date[] clientDates = clientIndex.getDates();
Date[] securityDates = securityIndex.getDates();
assertThat(securityDates[0], is(middleDate.toDate()));
assertThat(securityDates[securityDates.length - 1], is(endDate.toDate()));
assertThat(
new DateMidnight(clientDates[clientDates.length - 1]),
is(new DateMidnight(securityDates[securityDates.length - 1])));
double[] clientAccumulated = clientIndex.getAccumulatedPercentage();
double[] securityAccumulated = securityIndex.getAccumulatedPercentage();
int index = Days.daysBetween(startDate, middleDate).getDays();
assertThat(new DateMidnight(clientDates[index]), is(middleDate));
assertThat(securityAccumulated[0], IsCloseTo.closeTo(clientAccumulated[index], 0.000001d));
long middlePrice = security.getSecurityPrice(middleDate.toDate()).getValue();
long lastPrice = security.getSecurityPrice(endDate.toDate()).getValue();
// 10% is interest of the deposit
double performance = (double) (lastPrice - middlePrice) / (double) middlePrice + 0.1d;
assertThat(
securityAccumulated[securityAccumulated.length - 1],
IsCloseTo.closeTo(performance, 0.000001d));
}
@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 testThatSecurityIndexIsCalculated() {
DateMidnight startDate = new DateMidnight(2012, 12, 31);
DateMidnight endDate = new DateMidnight(2013, 4, 1);
long startPrice = 100 * Values.Amount.factor();
// create model
Client client = new Client();
new AccountBuilder() //
.deposit_(startDate, startPrice) //
.addTo(client);
Security security =
new SecurityBuilder() //
.generatePrices(startPrice, startDate, endDate) //
.addTo(client);
// calculate performance indices
List<Exception> warnings = new ArrayList<Exception>();
ReportingPeriod reportInterval =
new ReportingPeriod.FromXtoY(startDate.toDate(), endDate.toDate());
ClientIndex clientIndex = PerformanceIndex.forClient(client, reportInterval, warnings);
PerformanceIndex securityIndex = PerformanceIndex.forSecurity(clientIndex, security, warnings);
// asserts
assertTrue(warnings.isEmpty());
Date[] dates = securityIndex.getDates();
assertThat(dates[0], is(startDate.toDate()));
assertThat(dates[dates.length - 1], is(endDate.toDate()));
long lastPrice = security.getSecurityPrice(endDate.toDate()).getValue();
double performance = (double) (lastPrice - startPrice) / (double) startPrice;
double[] accumulated = securityIndex.getAccumulatedPercentage();
assertThat(accumulated[0], is(0d));
assertThat(accumulated[accumulated.length - 1], IsCloseTo.closeTo(performance, 0.000001d));
}
@Test
public void testWhenQuotesAreOnlyAvailableUntilTheMiddleOfTheReportInterval() {
DateMidnight startDate = new DateMidnight(2012, 12, 31);
DateMidnight middleDate = new DateMidnight(2013, 2, 18);
DateMidnight endDate = new DateMidnight(2013, 3, 31);
// create model
Client client = new Client();
Account account = new Account();
client.addAccount(account);
addT(
account,
startDate.toCalendar(Locale.getDefault()),
Type.DEPOSIT,
100 * Values.Amount.factor());
addT(
account,
startDate.plusDays(10).toCalendar(Locale.getDefault()),
Type.INTEREST,
10 * Values.Amount.factor());
Security security = new Security();
client.addSecurity(security);
int startPrice = 50 * Values.Amount.factor();
generatePrices(security, startPrice, startDate, middleDate);
// calculate performance indices
List<Exception> warnings = new ArrayList<Exception>();
ReportingPeriod reportInterval =
new ReportingPeriod.FromXtoY(startDate.toDate(), endDate.toDate());
ClientIndex clientIndex = PerformanceIndex.forClient(client, reportInterval, warnings);
PerformanceIndex securityIndex = PerformanceIndex.forSecurity(clientIndex, security, warnings);
// asserts
assertTrue(warnings.isEmpty());
Date[] clientDates = clientIndex.getDates();
Date[] securityDates = securityIndex.getDates();
assertThat(securityDates[0], is(startDate.toDate()));
assertThat(securityDates[securityDates.length - 1], is(middleDate.toDate()));
assertThat(new DateMidnight(clientDates[0]), is(new DateMidnight(securityDates[0])));
double[] securityAccumulated = securityIndex.getAccumulatedPercentage();
int index = Days.daysBetween(startDate, middleDate).getDays();
assertThat(new DateMidnight(clientDates[index]), is(middleDate));
assertThat(securityAccumulated[0], IsCloseTo.closeTo(0d, 0.000001d));
long middlePrice = security.getSecurityPrice(middleDate.toDate()).getValue();
double performance = (double) (middlePrice - startPrice) / (double) startPrice;
assertThat(
securityAccumulated[securityAccumulated.length - 1],
IsCloseTo.closeTo(performance, 0.000001d));
}