def testNPVPortfolioTEST1(self):
portfolio = Portfolio.objects.get(name='TEST1',user='******')
modelPositions = portfolio.modelposition_set.filter(asOf=self.pricingDate)
for modelPosition in modelPositions:
position = CreatePosition(modelPosition)
portfolio.addPosition(position)
marketDataContainer = MarketDataContainer.MarketDataContainer()
for position in portfolio.positions:
# print position
marketDataContainer.add(position.marketData(pricingDate=self.pricingDate, marketId=self.marketId))
position.marketDataContainer = marketDataContainer
# print portfolio.NPV(pricingDate=self.pricingDate, marketId=self.marketId)
self.failIf(round(portfolio.NPV(pricingDate=self.pricingDate, marketId=self.marketId),2) <> 76669.51)
def calc(self):
# print 'in calc'
startDjangoPositions = ModelPosition.objects.filter(portfolio=self.portfolio, asOf=self.start)
for djangoPosition in startDjangoPositions:
position = CreatePosition(djangoPosition)
self.portfolio.addPosition(position)
marketDataContainer = MarketDataContainer()
for position in self.portfolio.positions:
# print position
marketDataContainer.add(position.marketData(pricingDate=self.start, marketId=self.marketId))
for position in self.portfolio.positions:
position.marketDataContainer = marketDataContainer
self.startValue = self.portfolio.NPV(pricingDate=self.start,marketId=self.marketId)
# print 'Start value = %f' % self.startValue
endPortfolio =Portfolio.objects.get(name=self.portfolio.name,user=self.portfolio.user)
endDjangoPositions = ModelPosition.objects.filter(portfolio=endPortfolio, asOf=self.end)
for djangoPosition in endDjangoPositions:
position = CreatePosition(djangoPosition)
endPortfolio.addPosition(position)
marketDataContainer = MarketDataContainer()
for position in endPortfolio.positions:
marketDataContainer.add(position.marketData(pricingDate=self.end, marketId=self.marketId))
for position in endPortfolio.positions:
position.marketDataContainer = marketDataContainer
self.endValue = endPortfolio.NPV(pricingDate=self.end,marketId=self.marketId)
# print 'End portfolio value = %f' % self.endValue
#Adjust all positions but Cash ADD and REMOVE transactions so that I do not count them
#We ignore the interest effect of these transactions
transactions = Transaction.objects.filter(portfolio=endPortfolio,
transactionType = TransactionType('ADD'),
positionType = PositionType('CASH'),
ticker = 'Cash',
transactionDate__range=[self.start,self.end])
#print transactions
for transaction in transactions:
self.transactionValue -= transaction.amount
transactions = Transaction.objects.filter(portfolio=endPortfolio,
transactionType = TransactionType('REMOVE'),
positionType = PositionType('CASH'),
ticker = 'Cash',
transactionDate__range=[self.start,self.end])
#print transactions
for transaction in transactions:
self.transactionValue += transaction.amount
self.endValue += self.transactionValue
#print 'Effective end value = %f' % self.endValue
try:
self.annualPerformance = ((self.endValue - self.startValue) / self.startValue) * \
365.0 / (self.end.ql() - self.start.ql())
except ZeroDivisionError:
self.annualPerformance = 0
self.periodPerformance = self.annualPerformance * (self.end.ql() - self.start.ql()) / 365.0
#print 'Annualized Performance is %f' % self.annualPerformance
self.upToDate = True
def testCalculatePerformanceTEST1Portfolio1Y(self):
#load portfolio as of start and value
#load portfolio as of end and value
#sum up all ADD and REMOVE Transaction
#% return = {end - start + SUM(ADD) - SUM(REMOVE)} / Start
startPortfolio =Portfolio.objects.get(name='TEST1')
start = Date(month=8,day=30,year=2011)
startDjangoPositions = ModelPosition.objects.filter(portfolio=startPortfolio, asOf=start)
for djangoPosition in startDjangoPositions:
position = CreatePosition(djangoPosition)
startPortfolio.addPosition(position)
marketDataContainer = MarketDataContainer()
for position in startPortfolio.positions:
marketDataContainer.add(position.marketData(pricingDate=start, marketId=self.marketId))
for position in startPortfolio.positions:
position.marketDataContainer = marketDataContainer
startValue = startPortfolio.NPV(pricingDate=start,marketId=self.marketId)
print 'Start value = %f' % startValue
endPortfolio =Portfolio.objects.get(name='TEST1')
end = Date(month=9,day=12,year=2011)
endDjangoPositions = ModelPosition.objects.filter(portfolio=endPortfolio, asOf=end)
for djangoPosition in endDjangoPositions:
position = CreatePosition(djangoPosition)
endPortfolio.addPosition(position)
marketDataContainer = MarketDataContainer()
for position in endPortfolio.positions:
marketDataContainer.add(position.marketData(pricingDate=end, marketId=self.marketId))
for position in endPortfolio.positions:
position.marketDataContainer = marketDataContainer
endValue = endPortfolio.NPV(pricingDate=end,marketId=self.marketId)
print 'End value = %f' % endValue
#Should add the looping over transactions that are ADD and REDUCE
print 'Annualized Performance is %f' % (((endValue - startValue) / startValue) * 365.0 / (end.ql() - start.ql()))
def run(self):
#Log
if os.path.isfile(self.logFile):
os.remove(self.logFile)
logFileHandle = open(self.logFile,'w')
logFileHandle.write('Running batch as of %s\n' % self.batchDate)
logFileHandle.write('Max batch is %s\n' % self.maxBatchDate)
# if QuantLib.TARGET().isBusinessDay(self.batchDate.ql()) == False:
# logFileHandle.write('Not a good business date based on QuantLib TARGET calendar. Exiting ...')
# print('Not a good business date based on QuantLib TARGET calendar. Exiting ...')
#Update locations with date
logFileHandle.write('\nUpdating all locations except TEST1 with new date\n')
locations = Location.objects.filter(~Q(name='TEST1'))
for location in locations:
logFileHandle.write('Updating location %s\n' % location.name)
location.pricingDate = self.batchDate.toPythonDate()
location.save()
#Load Equity prices
logFileHandle.write('\nLoading equity prices\n')
equities = Equity.objects.all()
equityLoader = EquityPriceLoader()
for equity in equities:
#skip TEST1 and TEST2 as they are only used for testing
if equity.ticker in ['TEST1', 'TEST2']:
continue
if StockPrice.objects.filter(equity=equity, pricingDate=self.batchDate, marketId=self.marketId).exists() == True:
logFileHandle.write('%s price exists\n' % equity.ticker)
continue
else:
logFileHandle.write('Loading prices for equity %s\n' % equity.ticker)
try:
equityLoader.loadCurrentPriceFromYahoo(secId=equity.ticker,
today=self.batchDate,
marketId=self.marketId)
except MarketDataMissing:
logFileHandle.write('No market data loaded for %s as of %s\n' % (equity.ticker, self.batchDate))
logFileHandle.write('As default loading price from last batch date\n')
lastPrice = StockPrice.objects.get(equity=equity, pricingDate=self.maxBatchDate, marketId=self.marketId)
lastPrice.pricingDate = self.batchDate
lastPrice.pk = None
lastPrice.save()
#Load Interest Rates
logFileHandle.write('\nLoading Interest Rates\n')
if self.maxBatchDate != self.batchDate:
logFileHandle.write('For now just copy rates from max batch date to current batch date\n')
curve = InterestRateCurve.objects.get(ccy=Currency('USD'), index=Index('LIBOR'),
term=TimePeriod('M'), numTerms=3,
pricingDate=self.maxBatchDate,
marketId='EOD')
curve.loadRates()
newCurve = InterestRateCurve(ccy=Currency('USD'), index=Index('LIBOR'),
term=TimePeriod('M'), numTerms=3,
pricingDate=self.batchDate,
marketId='EOD')
for rate in curve.getRates():
newRate = InterestRate(type=rate.type, term=rate.term, numTerms=rate.numTerms, mid=rate.mid, curve=newCurve)
logFileHandle.write('Rate: %s/%d/%0.2f\n' % (rate.term, rate.numTerms, rate.mid*100))
newCurve.addRate(newRate)
newCurve.save()
#Copy OAS forward and keep constant
logFileHandle.write('\nCopying OAS from max batch date to batch date\n')
if self.maxBatchDate != self.batchDate:
bondOAS = BondOAS.objects.get(tCBond=TCBond.objects.get(name='PortAuth_4.00_JAN42'),
marketId='EOD', pricingDate=self.maxBatchDate)
bondOAS.pk = None
bondOAS.pricingDate = self.batchDate
bondOAS.save()
#Process Positions
logFileHandle.write('\nProcessing positions\n')
#load all positions with the max date
#if the batchDate greater than maxbatchdate then copy position to batchdate (roll position forward)
if self.maxBatchDate < self.batchDate:
positions = ModelPosition.objects.filter(asOf=self.maxBatchDate)
for position in positions:
logFileHandle.write('Copying position %s from max batch date to batch date\n' % position)
position.pk = None
position.asOf = self.batchDate
position.save()
#Update Positions based on Transactions
logFileHandle.write('\nUpdating of positions based on transaction\n')
transactions = Transaction.objects.filter(reflectedInPosition=False)
if len(transactions) == 0:
logFileHandle.write('No transactions to process\n')
else:
for transaction in transactions:
logFileHandle.write('Processing transaction %s\n' % str(transaction))
positions = transaction.relatedPositions()
for position in positions:
logFileHandle.write('Processing position %s\n' % str(transaction))
transaction.updatePositionAmount(position=position)
position.save()
transaction.reflectedInPosition = 'True'
transaction.save()
#Performance
logFileHandle.write('\nRunning Performance Report\n')
if os.path.isfile(self.perfFile):
os.remove(self.perfFile)
perfFileHandle = open(self.perfFile,'w')
portfolios = Portfolio.objects.filter(user='******')
startValue = 0
endValue = 0
for portfolio in portfolios:
performanceCalculator = PerformanceCalculator(start=self.productionStartDate,
end=self.batchDate,
portfolio=portfolio,
marketId=self.marketId)
perfFileHandle.write(performanceCalculator.report()+'\n')
startValue += performanceCalculator.startValue
endValue += performanceCalculator.endValue
endValue += performanceCalculator.transactionValue
if startValue == 0 or (self.batchDate.ql() - self.productionStartDate.ql()) == 0:
overallPerformance = 0
else:
overallPerformance = ((endValue - startValue) / startValue) * 365.0 / (self.batchDate.ql() - self.productionStartDate.ql())
perfFileHandle.write('Overall Period Performance = %.2f%%\n' % (overallPerformance*100.0/365.0*(self.batchDate.ql() - self.productionStartDate.ql())))
perfFileHandle.write('Overall Annual Performance = %.2f%%' % (overallPerformance*100.0))
perfFileHandle.close()
#MTM and Positions
logFileHandle.write('\nRunning MTM and Positions Report\n')
totalValue = 0
if os.path.isfile(self.mtmFile):
os.remove(self.mtmFile)
mtmFileHandle = open(self.mtmFile,'w')
portfolios =Portfolio.objects.filter(user='******')
mtmFileHandle.write('MTM Report as of %s\n' % self.batchDate)
for portfolio in portfolios:
mtmFileHandle.write('Portfolio=%s\n' % portfolio.name)
modelPositions = ModelPosition.objects.filter(portfolio=portfolio, asOf=self.batchDate)
for modelPosition in modelPositions:
position = CreatePosition(modelPosition=modelPosition)
portfolio.addPosition(position)
marketDataContainer = MarketDataContainer()
for position in portfolio.positions:
marketDataContainer.add(position.marketData(pricingDate=self.batchDate, marketId=self.marketId))
for position in portfolio.positions:
position.marketDataContainer = marketDataContainer
for position in portfolio.positions:
positionValue = position.NPV(pricingDate=self.batchDate,marketId=self.marketId)
mtmFileHandle.write('ModelPosition=%s with %.0f shares, asset type %s and value $%s\n' % (position.secId,
position.amount,
position.getAssetType(),
fToDC(positionValue)))
portfolioValue = portfolio.NPV(pricingDate=self.batchDate,marketId=self.marketId)
mtmFileHandle.write('Portfolio value=$%s\n\n' % fToDC(portfolioValue))
totalValue += portfolioValue
mtmFileHandle.write('Total value=%s\n\n' % fToDC(totalValue))
#Asset Allocation
#allocations is associative array with value
allocations = {}
totalValue = 0
for item in AssetType.choices:
allocations[item[0]] = 0
logFileHandle.write('\nRunning Allocation Report\n\n')
if os.path.isfile(self.allocationFile):
os.remove(self.allocationFile)
allocationFileHandle = open(self.allocationFile,'w')
portfolios =Portfolio.objects.filter(user='******')
allocationFileHandle.write('Allocation Report as of %s\n\n' % self.batchDate)
for portfolio in portfolios:
if portfolio.name == 'TradeAug2013':
continue
modelPositions = ModelPosition.objects.filter(portfolio=portfolio, asOf=self.batchDate)
for modelPosition in modelPositions:
position = CreatePosition(modelPosition)
portfolio.addPosition(position)
marketDataContainer = MarketDataContainer()
for position in portfolio.positions:
marketDataContainer.add(position.marketData(pricingDate=self.batchDate, marketId=self.marketId))
for position in portfolio.positions:
position.marketDataContainer = marketDataContainer
for position in portfolio.positions:
npv = position.NPV(pricingDate=self.batchDate, marketId=self.marketId)
allocations[str(position.getAssetType())] += npv
totalValue += npv
orderedAllocations = OrderedDict(sorted(allocations.items(),key=lambda t: t[1],reverse=True))
for key in orderedAllocations.keys():
try:
allocationPercent = Allocation.objects.get(assetType=AssetType(key)).percent
except:
allocationPercent = 0.0
try:
actualAllocation = 100*orderedAllocations[key]/totalValue
except:
actualAllocation = 0.0
allocationFileHandle.write('%s=%.0f%%\t\t\t\t\t\twith target %.0f%%\t and value $%s\n' % (key,
actualAllocation,
100*allocationPercent,
fToD(orderedAllocations[key])))
logFileHandle.write('Batch completed\n')
logFileHandle.close()
#Every time I run the batch and it succeeds we need to save the batch info
self.batch.save()
