Nothing
R/realized.R
In dispositionEffect: Analysis of Disposition Effect on Financial Portfolios
Defines functions
realized_empty
realized_compute
realized_duration
realized_value
realized_total
realized_count
Documented in
realized_compute
realized_count
realized_duration
realized_empty
realized_total
realized_value
#' @name realized_compute
#'
#' @title Realized estimation
#'
#' @description Compute realized gains and realized losses as either simple
#' counts, total quantities, expected returns and financial duration.
#'
#' @param portfolio_quantity Numeric vector. The portfolio quantities of assets into the
#' investor's portfolio.
#' @param portfolio_price Numeric vector. The portfolio prices of assets into the
#' investor's portfolio.
#' @param transaction_quantity Numeric value. The quantity of the traded asset.
#' @param transaction_price Numeric value. The market price of the traded asset.
#' @param transaction_type Character string. Either "B" = buy or "S" = sell.
#' @param previous_transaction_datetime POSIXct value. The portfolio date-time related to the
#' last transaction of the traded asset.
#' @param transaction_asset Character string. The name of the traded asset.
#' @param realized_only Logical. If TRUE only realized gains and realized
#' losses are computed. Otherwise also paper gains and paper losses on excess
#' quantity of the traded asset are computed.
#' @inheritParams paper_compute
#'
#' @return
#' The described functions have different return behaviors
#'
#' * \code{realized_compute} returns a data frame
#' containing the values of realized and paper gains and losses computed by
#' means of the chosen method on each portfolio assets.
#'
#' * \code{realized_count} returns a named vector containing the values
#' of realized and paper gains and losses computed using the count method.
#'
#' * \code{realized_total} returns a named vector containing the values
#' of realized and paper gains and losses computed using the total method.
#'
#' * \code{realized_value} returns a named vector containing the values
#' of realized and paper gains and losses computed using the value method.
#'
#' * \code{realized_duration} returns a named vector containing the values
#' of realized and paper gains and losses computed using the duration method.
#'
#' * \code{realized_empty} returns a named vector containing empty values
#' of realized and paper gains and losses computed using the chosen method.
#'
#' In particular:
#'
#' * \code{RG_"method"} contains Realized Gains results
#' * \code{RL_"method"} contains Realized Losses results
#' * \code{PG_"method"} contains Paper Gains results
#' * \code{PL_"method"} contains Paper Losses results
#'
#' @seealso \code{\link{paper_compute}}, \code{\link{gains_losses}}
NULL
#' @describeIn realized_compute Computation, as simple counts, of realized
#' gains and realized losses of the traded asset.
#' @export
realized_count <- function(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
allow_short = TRUE,
realized_only = FALSE
) {
qty_diff <- portfolio_quantity + transaction_quantity # quantity difference (if transaction_type == "S" then portfolio_quantity < 0)
prz_diff <- transaction_price - portfolio_price # price difference
if (realized_only) {
if (allow_short) {
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
} else {# Nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_count" = 1, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
} else {# + nothing
res <- c("RG_count" = 1, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_count" = 0, "RL_count" = 1, "PG_count" = 0, "PL_count" = 0)
} else {# + nothing
res <- c("RG_count" = 0, "RL_count" = 1, "PG_count" = 0, "PL_count" = 0)
}
} else {# Nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "S") { # Short + No Realized
if (prz_diff > 0) { # Paper Loss
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
} else if (prz_diff < 0) { # Paper Gain
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
} else {# Nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "B") { # Short - Realized
if (prz_diff > 0) { # Realized Loss
if (qty_diff < 0) { # + Paper Loss
res <- c("RG_count" = 0, "RL_count" = 1, "PG_count" = 0, "PL_count" = 0)
} else {# + nothing
res <- c("RG_count" = 0, "RL_count" = 1, "PG_count" = 0, "PL_count" = 0)
}
} else if (prz_diff < 0) { # Realized Gain
if (qty_diff < 0) { # + Paper Gain
res <- c("RG_count" = 1, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
} else {# + nothing
res <- c("RG_count" = 1, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else {# Nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else {# if portfolio_quantity == 0, then nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else {# allow_short = FALSE
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
} else {# Nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_count" = 1, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
} else {# + nothing
res <- c("RG_count" = 1, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_count" = 0, "RL_count" = 1, "PG_count" = 0, "PL_count" = 0)
} else {# + nothing
res <- c("RG_count" = 0, "RL_count" = 1, "PG_count" = 0, "PL_count" = 0)
}
} else {# Nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else {# if portfolio_quantity <= 0, then nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
}
} else {# not realized_only
if (allow_short) {
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 1, "PL_count" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 1)
} else {# Nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_count" = 1, "RL_count" = 0, "PG_count" = 1, "PL_count" = 0)
} else {# + nothing
res <- c("RG_count" = 1, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_count" = 0, "RL_count" = 1, "PG_count" = 0, "PL_count" = 1)
} else {# + nothing
res <- c("RG_count" = 0, "RL_count" = 1, "PG_count" = 0, "PL_count" = 0)
}
} else {# Nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "S") { # Short + No Realized
if (prz_diff > 0) { # Paper Loss
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 1)
} else if (prz_diff < 0) { # Paper Gain
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 1, "PL_count" = 0)
} else {# Nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "B") { # Short - Realized
if (prz_diff > 0) { # Realized Loss
if (qty_diff < 0) { # + Paper Loss
res <- c("RG_count" = 0, "RL_count" = 1, "PG_count" = 0, "PL_count" = 1)
} else {# + nothing
res <- c("RG_count" = 0, "RL_count" = 1, "PG_count" = 0, "PL_count" = 0)
}
} else if (prz_diff < 0) { # Realized Gain
if (qty_diff < 0) { # + Paper Gain
res <- c("RG_count" = 1, "RL_count" = 0, "PG_count" = 1, "PL_count" = 0)
} else {# + nothing
res <- c("RG_count" = 1, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else {# Nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else {# if portfolio_quantity == 0, then nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else {# allow_short = FALSE
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 1, "PL_count" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 1)
} else {# Nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_count" = 1, "RL_count" = 0, "PG_count" = 1, "PL_count" = 0)
} else {# + nothing
res <- c("RG_count" = 1, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_count" = 0, "RL_count" = 1, "PG_count" = 0, "PL_count" = 1)
} else {# + nothing
res <- c("RG_count" = 0, "RL_count" = 1, "PG_count" = 0, "PL_count" = 0)
}
} else {# Nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else {# if portfolio_quantity <= 0, then nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
}
}
return(res)
}
#' @describeIn realized_compute Computation, as total quantity, of realized
#' gains and realized losses of the traded asset.
#' @export
realized_total <- function(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
allow_short = TRUE,
realized_only = FALSE
) {
qty_diff <- portfolio_quantity + transaction_quantity # quantity difference (if transaction_type == "S" then portfolio_quantity < 0)
prz_diff <- transaction_price - portfolio_price # price difference
if (realized_only) {
if (allow_short) {
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
} else {# Nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_total" = abs(transaction_quantity), "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
} else {# + nothing
res <- c("RG_total" = abs(transaction_quantity) + qty_diff, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_total" = 0, "RL_total" = abs(transaction_quantity), "PG_total" = 0, "PL_total" = 0)
} else {# + nothing
res <- c("RG_total" = 0, "RL_total" = abs(transaction_quantity) + qty_diff, "PG_total" = 0, "PL_total" = 0)
}
} else {# Nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "S") { # Short + No Realized
if (prz_diff > 0) { # Paper Loss
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
} else if (prz_diff < 0) { # Paper Gain
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
} else {# Nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "B") { # Short - Realized
if (prz_diff > 0) { # Realized Loss
if (qty_diff < 0) { # + Paper Loss
res <- c("RG_total" = 0, "RL_total" = transaction_quantity, "PG_total" = 0, "PL_total" = 0)
} else {# + nothing
res <- c("RG_total" = 0, "RL_total" = transaction_quantity - qty_diff, "PG_total" = 0, "PL_total" = 0)
}
} else if (prz_diff < 0) { # Realized Gain
if (qty_diff < 0) { # + Paper Gain
res <- c("RG_total" = transaction_quantity, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
} else {# + nothing
res <- c("RG_total" = transaction_quantity - qty_diff, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else {# Nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else {# if portfolio_quantity == 0, then nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else {# allow_short = FALSE
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
} else {# Nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_total" = abs(transaction_quantity), "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
} else {# + nothing
res <- c("RG_total" = abs(transaction_quantity) + qty_diff, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_total" = 0, "RL_total" = abs(transaction_quantity), "PG_total" = 0, "PL_total" = 0)
} else {# + nothing
res <- c("RG_total" = 0, "RL_total" = abs(transaction_quantity) + qty_diff, "PG_total" = 0, "PL_total" = 0)
}
} else {# Nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else {# if portfolio_quantity <= 0, then nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
}
} else {# not realized_olny
if (allow_short) {
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = portfolio_quantity, "PL_total" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = portfolio_quantity)
} else {# Nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_total" = abs(transaction_quantity), "RL_total" = 0, "PG_total" = qty_diff, "PL_total" = 0)
} else {# + nothing
res <- c("RG_total" = abs(transaction_quantity) + qty_diff, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_total" = 0, "RL_total" = abs(transaction_quantity), "PG_total" = 0, "PL_total" = qty_diff)
} else {# + nothing
res <- c("RG_total" = 0, "RL_total" = abs(transaction_quantity) + qty_diff, "PG_total" = 0, "PL_total" = 0)
}
} else {# Nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "S") { # Short + No Realized
if (prz_diff > 0) { # Paper Loss
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = abs(portfolio_quantity))
} else if (prz_diff < 0) { # Paper Gain
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = abs(portfolio_quantity), "PL_total" = 0)
} else {# Nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "B") { # Short - Realized
if (prz_diff > 0) { # Realized Loss
if (qty_diff < 0) { # + Paper Loss
res <- c("RG_total" = 0, "RL_total" = transaction_quantity, "PG_total" = 0, "PL_total" = abs(qty_diff))
} else {# + nothing
res <- c("RG_total" = 0, "RL_total" = transaction_quantity - qty_diff, "PG_total" = 0, "PL_total" = 0)
}
} else if (prz_diff < 0) { # Realized Gain
if (qty_diff < 0) { # + Paper Gain
res <- c("RG_total" = transaction_quantity, "RL_total" = 0, "PG_total" = abs(qty_diff), "PL_total" = 0)
} else {# + nothing
res <- c("RG_total" = transaction_quantity - qty_diff, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else {# Nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else {# if portfolio_quantity == 0, then nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else {# allow_short = FALSE
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = portfolio_quantity, "PL_total" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = portfolio_quantity)
} else {# Nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_total" = abs(transaction_quantity), "RL_total" = 0, "PG_total" = qty_diff, "PL_total" = 0)
} else {# + nothing
res <- c("RG_total" = abs(transaction_quantity) + qty_diff, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_total" = 0, "RL_total" = abs(transaction_quantity), "PG_total" = 0, "PL_total" = qty_diff)
} else {# + nothing
res <- c("RG_total" = 0, "RL_total" = abs(transaction_quantity) + qty_diff, "PG_total" = 0, "PL_total" = 0)
}
} else {# Nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else {# if portfolio_quantity <= 0, then nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
}
}
return(res)
}
#' @describeIn realized_compute Computation, as expected return, of
#' realized gains and realized losses of the traded asset.
#' @export
realized_value <- function(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
allow_short = TRUE,
realized_only = FALSE
) {
qty_diff <- portfolio_quantity + transaction_quantity # quantity difference (if transaction_type == "S" then transaction_quantity < 0)
prz_diff <- transaction_price - portfolio_price # price difference
Er <- prz_diff / portfolio_price # transaction_asset expected return
if (realized_only) {
if (allow_short) {
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
} else {# Nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_value" = Er, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
} else {# + nothing
res <- c("RG_value" = Er, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_value" = 0, "RL_value" = Er, "PG_value" = 0, "PL_value" = 0)
} else {# + nothing
res <- c("RG_value" = 0, "RL_value" = Er, "PG_value" = 0, "PL_value" = 0)
}
} else {# Nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "S") { # Short + No Realized
if (prz_diff > 0) { # Paper Loss
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
} else if (prz_diff < 0) { # Paper Gain
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
} else {# Nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "B") { # Short - Realized
if (prz_diff > 0) { # Realized Loss
if (qty_diff < 0) { # + Paper Loss
res <- c("RG_value" = 0, "RL_value" = -Er, "PG_value" = 0, "PL_value" = 0)
} else {# + nothing
res <- c("RG_value" = 0, "RL_value" = -Er, "PG_value" = 0, "PL_value" = 0)
}
} else if (prz_diff < 0) { # Realized Gain
if (qty_diff < 0) { # + Paper Gain
res <- c("RG_value" = -Er, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
} else {# + nothing
res <- c("RG_value" = -Er, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else {# Nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else {# if portfolio_quantity == 0, then nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else {# allow_short = FALSE
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
} else {# Nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_value" = Er, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
} else {# + nothing
res <- c("RG_value" = Er, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_value" = 0, "RL_value" = Er, "PG_value" = 0, "PL_value" = 0)
} else {# + nothing
res <- c("RG_value" = 0, "RL_value" = Er, "PG_value" = 0, "PL_value" = 0)
}
} else {# Nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else {# if portfolio_quantity <= 0, then nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
}
} else {# not realized_only
if (allow_short) {
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = Er, "PL_value" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = Er)
} else {# Nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_value" = Er, "RL_value" = 0, "PG_value" = Er, "PL_value" = 0)
} else {# + nothing
res <- c("RG_value" = Er, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_value" = 0, "RL_value" = Er, "PG_value" = 0, "PL_value" = Er)
} else {# + nothing
res <- c("RG_value" = 0, "RL_value" = Er, "PG_value" = 0, "PL_value" = 0)
}
} else {# Nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "S") { # Short + No Realized
if (prz_diff > 0) { # Paper Loss
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = -Er)
} else if (prz_diff < 0) { # Paper Gain
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = -Er, "PL_value" = 0)
} else {# Nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "B") { # Short - Realized
if (prz_diff > 0) { # Realized Loss
if (qty_diff < 0) { # + Paper Loss
res <- c("RG_value" = 0, "RL_value" = -Er, "PG_value" = 0, "PL_value" = -Er)
} else {# + nothing
res <- c("RG_value" = 0, "RL_value" = -Er, "PG_value" = 0, "PL_value" = 0)
}
} else if (prz_diff < 0) { # Realized Gain
if (qty_diff < 0) { # + Paper Gain
res <- c("RG_value" = -Er, "RL_value" = 0, "PG_value" = -Er, "PL_value" = 0)
} else {# + nothing
res <- c("RG_value" = -Er, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else {# Nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else {# if portfolio_quantity == 0, then nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else {# allow_short = FALSE
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = Er, "PL_value" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = Er)
} else {# Nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_value" = Er, "RL_value" = 0, "PG_value" = Er, "PL_value" = 0)
} else {# + nothing
res <- c("RG_value" = Er, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_value" = 0, "RL_value" = Er, "PG_value" = 0, "PL_value" = Er)
} else {# + nothing
res <- c("RG_value" = 0, "RL_value" = Er, "PG_value" = 0, "PL_value" = 0)
}
} else {# Nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else {# if portfolio_quantity <= 0, then nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
}
}
return(res)
}
#' @describeIn realized_compute Computation, as financial duration, of
#' realized gains and realized losses of the traded asset.
#' @export
realized_duration <- function(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
previous_transaction_datetime,
previous_datetime,
transaction_datetime,
allow_short = TRUE,
realized_only = FALSE
) {
qty_diff <- portfolio_quantity + transaction_quantity # quantity difference (if transaction_type == "S" then transaction_quantity < 0)
prz_diff <- transaction_price - portfolio_price # price difference
dtt_diff <- difftime_financial(previous_datetime, transaction_datetime)
dtt_diff0 <- difftime_financial(previous_transaction_datetime, transaction_datetime)
if (realized_only) {
if (allow_short) {
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
} else {# Nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
} else {# + nothing
res <- c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0)
} else {# + nothing
res <- c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0)
}
} else {# Nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "S") { # Short + No Realized
if (prz_diff > 0) { # Paper Loss
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
} else if (prz_diff < 0) { # Paper Gain
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
} else {# Nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "B") { # Short - Realized
if (prz_diff > 0) { # Realized Loss
if (qty_diff < 0) { # + Paper Loss
res <- c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0)
} else {# + nothing
res <- c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (prz_diff < 0) { # Realized Gain
if (qty_diff < 0) { # + Paper Gain
res <- c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
} else {# + nothing
res <- c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else {# Nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else {# if portfolio_quantity == 0, then nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else {# allow_short = FALSE
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
} else {# Nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
} else {# + nothing
res <- c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0)
} else {# + nothing
res <- c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0)
}
} else {# Nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else {# if portfolio_quantity <= 0, then nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
}
} else {# not realized_only
if (allow_short) {
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = dtt_diff, "PL_duration" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = dtt_diff)
} else {# Nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = dtt_diff, "PL_duration" = 0)
} else {# + nothing
res <- c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = dtt_diff)
} else {# + nothing
res <- c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0)
}
} else {# Nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "S") { # Short + No Realized
if (prz_diff > 0) { # Paper Loss
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = dtt_diff)
} else if (prz_diff < 0) { # Paper Gain
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = dtt_diff, "PL_duration" = 0)
} else {# Nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "B") { # Short - Realized
if (prz_diff > 0) { # Realized Loss
if (qty_diff < 0) { # + Paper Loss
res <- c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = dtt_diff)
} else {# + nothing
res <- c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (prz_diff < 0) { # Realized Gain
if (qty_diff < 0) { # + Paper Gain
res <- c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = dtt_diff, "PL_duration" = 0)
} else {# + nothing
res <- c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else {# Nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else {# if portfolio_quantity == 0, then nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else {# allow_short = FALSE
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = dtt_diff, "PL_duration" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = dtt_diff)
} else {# Nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = dtt_diff, "PL_duration" = 0)
} else {# + nothing
res <- c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = dtt_diff)
} else {# + nothing
res <- c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0)
}
} else {# Nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else {# if portfolio_quantity <= 0, then nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
}
}
return(res)
}
#' @describeIn realized_compute Wrapper that calls other realized_. functions to
#' compute realized gains and realized losses of the traded asset based on the
#' chosen method.
#' @export
realized_compute <- function(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
previous_transaction_datetime,
previous_datetime,
transaction_datetime,
transaction_asset,
allow_short = TRUE,
realized_only = FALSE,
method = "all"
) {
if (method == "count") {
rgl_count <- realized_count(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
allow_short,
realized_only
)
res_df <- as.data.frame(c("asset" = transaction_asset, as.list(rgl_count)))
} else if (method == "total") {
rgl_total <- realized_total(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
allow_short,
realized_only
)
res_df <- as.data.frame(c("asset" = transaction_asset, as.list(rgl_total)))
} else if (method == "value") {
rgl_value <- realized_value(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
allow_short,
realized_only
)
res_df <- as.data.frame(c("asset" = transaction_asset, as.list(rgl_value)))
} else if (method == "duration") {
rgl_duration <- realized_duration(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
previous_transaction_datetime,
previous_datetime,
transaction_datetime,
allow_short,
realized_only
)
res_df <- as.data.frame(c("asset" = transaction_asset, as.list(rgl_duration)))
} else {# method == "all"
rgl_count <- realized_count(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
allow_short,
realized_only
)
rgl_total <- realized_total(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
allow_short,
realized_only
)
rgl_value <- realized_value(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
allow_short,
realized_only
)
rgl_duration <- realized_duration(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
previous_transaction_datetime,
previous_datetime,
transaction_datetime,
allow_short,
realized_only
)
res_df <- as.data.frame(
c("asset" = transaction_asset,
as.list(rgl_count),
as.list(rgl_total),
as.list(rgl_value),
as.list(rgl_duration)
)
)
}
return(res_df)
}
#' @describeIn realized_compute Simple function to obtain empty results for
#' realized and paper computations based on the chosen method.
#' @export
realized_empty <- function(transaction_asset, method = "all") {
if (method == "count") {
rgl_count <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
res_df <- as.data.frame(c("asset" = transaction_asset, as.list(rgl_count)))
} else if (method == "total") {
rgl_total <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
res_df <- as.data.frame(c("asset" = transaction_asset, as.list(rgl_total)))
} else if (method == "value") {
rgl_value <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
res_df <- as.data.frame(c("asset" = transaction_asset, as.list(rgl_value)))
} else if (method == "duration") {
rgl_duration <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
res_df <- as.data.frame(c("asset" = transaction_asset, as.list(rgl_duration)))
} else {# method == "all"
rgl_count <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
rgl_total <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
rgl_value <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
rgl_duration <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
res_df <- as.data.frame(
c("asset" = transaction_asset,
as.list(rgl_count),
as.list(rgl_total),
as.list(rgl_value),
as.list(rgl_duration)
)
)
}
return(res_df)
}
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Defines functions realized_empty realized_compute realized_duration realized_value realized_total realized_count
Documented in realized_compute realized_count realized_duration realized_empty realized_total realized_value
#' @name realized_compute
#'
#' @title Realized estimation
#'
#' @description Compute realized gains and realized losses as either simple
#' counts, total quantities, expected returns and financial duration.
#'
#' @param portfolio_quantity Numeric vector. The portfolio quantities of assets into the
#' investor's portfolio.
#' @param portfolio_price Numeric vector. The portfolio prices of assets into the
#' investor's portfolio.
#' @param transaction_quantity Numeric value. The quantity of the traded asset.
#' @param transaction_price Numeric value. The market price of the traded asset.
#' @param transaction_type Character string. Either "B" = buy or "S" = sell.
#' @param previous_transaction_datetime POSIXct value. The portfolio date-time related to the
#' last transaction of the traded asset.
#' @param transaction_asset Character string. The name of the traded asset.
#' @param realized_only Logical. If TRUE only realized gains and realized
#' losses are computed. Otherwise also paper gains and paper losses on excess
#' quantity of the traded asset are computed.
#' @inheritParams paper_compute
#'
#' @return
#' The described functions have different return behaviors
#'
#' * \code{realized_compute} returns a data frame
#' containing the values of realized and paper gains and losses computed by
#' means of the chosen method on each portfolio assets.
#'
#' * \code{realized_count} returns a named vector containing the values
#' of realized and paper gains and losses computed using the count method.
#'
#' * \code{realized_total} returns a named vector containing the values
#' of realized and paper gains and losses computed using the total method.
#'
#' * \code{realized_value} returns a named vector containing the values
#' of realized and paper gains and losses computed using the value method.
#'
#' * \code{realized_duration} returns a named vector containing the values
#' of realized and paper gains and losses computed using the duration method.
#'
#' * \code{realized_empty} returns a named vector containing empty values
#' of realized and paper gains and losses computed using the chosen method.
#'
#' In particular:
#'
#' * \code{RG_"method"} contains Realized Gains results
#' * \code{RL_"method"} contains Realized Losses results
#' * \code{PG_"method"} contains Paper Gains results
#' * \code{PL_"method"} contains Paper Losses results
#'
#' @seealso \code{\link{paper_compute}}, \code{\link{gains_losses}}
NULL
#' @describeIn realized_compute Computation, as simple counts, of realized
#' gains and realized losses of the traded asset.
#' @export
realized_count <- function(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
allow_short = TRUE,
realized_only = FALSE
) {
qty_diff <- portfolio_quantity + transaction_quantity # quantity difference (if transaction_type == "S" then portfolio_quantity < 0)
prz_diff <- transaction_price - portfolio_price # price difference
if (realized_only) {
if (allow_short) {
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
} else {# Nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_count" = 1, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
} else {# + nothing
res <- c("RG_count" = 1, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_count" = 0, "RL_count" = 1, "PG_count" = 0, "PL_count" = 0)
} else {# + nothing
res <- c("RG_count" = 0, "RL_count" = 1, "PG_count" = 0, "PL_count" = 0)
}
} else {# Nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "S") { # Short + No Realized
if (prz_diff > 0) { # Paper Loss
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
} else if (prz_diff < 0) { # Paper Gain
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
} else {# Nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "B") { # Short - Realized
if (prz_diff > 0) { # Realized Loss
if (qty_diff < 0) { # + Paper Loss
res <- c("RG_count" = 0, "RL_count" = 1, "PG_count" = 0, "PL_count" = 0)
} else {# + nothing
res <- c("RG_count" = 0, "RL_count" = 1, "PG_count" = 0, "PL_count" = 0)
}
} else if (prz_diff < 0) { # Realized Gain
if (qty_diff < 0) { # + Paper Gain
res <- c("RG_count" = 1, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
} else {# + nothing
res <- c("RG_count" = 1, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else {# Nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else {# if portfolio_quantity == 0, then nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else {# allow_short = FALSE
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
} else {# Nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_count" = 1, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
} else {# + nothing
res <- c("RG_count" = 1, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_count" = 0, "RL_count" = 1, "PG_count" = 0, "PL_count" = 0)
} else {# + nothing
res <- c("RG_count" = 0, "RL_count" = 1, "PG_count" = 0, "PL_count" = 0)
}
} else {# Nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else {# if portfolio_quantity <= 0, then nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
}
} else {# not realized_only
if (allow_short) {
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 1, "PL_count" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 1)
} else {# Nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_count" = 1, "RL_count" = 0, "PG_count" = 1, "PL_count" = 0)
} else {# + nothing
res <- c("RG_count" = 1, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_count" = 0, "RL_count" = 1, "PG_count" = 0, "PL_count" = 1)
} else {# + nothing
res <- c("RG_count" = 0, "RL_count" = 1, "PG_count" = 0, "PL_count" = 0)
}
} else {# Nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "S") { # Short + No Realized
if (prz_diff > 0) { # Paper Loss
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 1)
} else if (prz_diff < 0) { # Paper Gain
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 1, "PL_count" = 0)
} else {# Nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "B") { # Short - Realized
if (prz_diff > 0) { # Realized Loss
if (qty_diff < 0) { # + Paper Loss
res <- c("RG_count" = 0, "RL_count" = 1, "PG_count" = 0, "PL_count" = 1)
} else {# + nothing
res <- c("RG_count" = 0, "RL_count" = 1, "PG_count" = 0, "PL_count" = 0)
}
} else if (prz_diff < 0) { # Realized Gain
if (qty_diff < 0) { # + Paper Gain
res <- c("RG_count" = 1, "RL_count" = 0, "PG_count" = 1, "PL_count" = 0)
} else {# + nothing
res <- c("RG_count" = 1, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else {# Nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else {# if portfolio_quantity == 0, then nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else {# allow_short = FALSE
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 1, "PL_count" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 1)
} else {# Nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_count" = 1, "RL_count" = 0, "PG_count" = 1, "PL_count" = 0)
} else {# + nothing
res <- c("RG_count" = 1, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_count" = 0, "RL_count" = 1, "PG_count" = 0, "PL_count" = 1)
} else {# + nothing
res <- c("RG_count" = 0, "RL_count" = 1, "PG_count" = 0, "PL_count" = 0)
}
} else {# Nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
} else {# if portfolio_quantity <= 0, then nothing
res <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
}
}
}
return(res)
}
#' @describeIn realized_compute Computation, as total quantity, of realized
#' gains and realized losses of the traded asset.
#' @export
realized_total <- function(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
allow_short = TRUE,
realized_only = FALSE
) {
qty_diff <- portfolio_quantity + transaction_quantity # quantity difference (if transaction_type == "S" then portfolio_quantity < 0)
prz_diff <- transaction_price - portfolio_price # price difference
if (realized_only) {
if (allow_short) {
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
} else {# Nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_total" = abs(transaction_quantity), "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
} else {# + nothing
res <- c("RG_total" = abs(transaction_quantity) + qty_diff, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_total" = 0, "RL_total" = abs(transaction_quantity), "PG_total" = 0, "PL_total" = 0)
} else {# + nothing
res <- c("RG_total" = 0, "RL_total" = abs(transaction_quantity) + qty_diff, "PG_total" = 0, "PL_total" = 0)
}
} else {# Nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "S") { # Short + No Realized
if (prz_diff > 0) { # Paper Loss
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
} else if (prz_diff < 0) { # Paper Gain
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
} else {# Nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "B") { # Short - Realized
if (prz_diff > 0) { # Realized Loss
if (qty_diff < 0) { # + Paper Loss
res <- c("RG_total" = 0, "RL_total" = transaction_quantity, "PG_total" = 0, "PL_total" = 0)
} else {# + nothing
res <- c("RG_total" = 0, "RL_total" = transaction_quantity - qty_diff, "PG_total" = 0, "PL_total" = 0)
}
} else if (prz_diff < 0) { # Realized Gain
if (qty_diff < 0) { # + Paper Gain
res <- c("RG_total" = transaction_quantity, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
} else {# + nothing
res <- c("RG_total" = transaction_quantity - qty_diff, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else {# Nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else {# if portfolio_quantity == 0, then nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else {# allow_short = FALSE
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
} else {# Nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_total" = abs(transaction_quantity), "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
} else {# + nothing
res <- c("RG_total" = abs(transaction_quantity) + qty_diff, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_total" = 0, "RL_total" = abs(transaction_quantity), "PG_total" = 0, "PL_total" = 0)
} else {# + nothing
res <- c("RG_total" = 0, "RL_total" = abs(transaction_quantity) + qty_diff, "PG_total" = 0, "PL_total" = 0)
}
} else {# Nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else {# if portfolio_quantity <= 0, then nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
}
} else {# not realized_olny
if (allow_short) {
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = portfolio_quantity, "PL_total" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = portfolio_quantity)
} else {# Nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_total" = abs(transaction_quantity), "RL_total" = 0, "PG_total" = qty_diff, "PL_total" = 0)
} else {# + nothing
res <- c("RG_total" = abs(transaction_quantity) + qty_diff, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_total" = 0, "RL_total" = abs(transaction_quantity), "PG_total" = 0, "PL_total" = qty_diff)
} else {# + nothing
res <- c("RG_total" = 0, "RL_total" = abs(transaction_quantity) + qty_diff, "PG_total" = 0, "PL_total" = 0)
}
} else {# Nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "S") { # Short + No Realized
if (prz_diff > 0) { # Paper Loss
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = abs(portfolio_quantity))
} else if (prz_diff < 0) { # Paper Gain
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = abs(portfolio_quantity), "PL_total" = 0)
} else {# Nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "B") { # Short - Realized
if (prz_diff > 0) { # Realized Loss
if (qty_diff < 0) { # + Paper Loss
res <- c("RG_total" = 0, "RL_total" = transaction_quantity, "PG_total" = 0, "PL_total" = abs(qty_diff))
} else {# + nothing
res <- c("RG_total" = 0, "RL_total" = transaction_quantity - qty_diff, "PG_total" = 0, "PL_total" = 0)
}
} else if (prz_diff < 0) { # Realized Gain
if (qty_diff < 0) { # + Paper Gain
res <- c("RG_total" = transaction_quantity, "RL_total" = 0, "PG_total" = abs(qty_diff), "PL_total" = 0)
} else {# + nothing
res <- c("RG_total" = transaction_quantity - qty_diff, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else {# Nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else {# if portfolio_quantity == 0, then nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else {# allow_short = FALSE
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = portfolio_quantity, "PL_total" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = portfolio_quantity)
} else {# Nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_total" = abs(transaction_quantity), "RL_total" = 0, "PG_total" = qty_diff, "PL_total" = 0)
} else {# + nothing
res <- c("RG_total" = abs(transaction_quantity) + qty_diff, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_total" = 0, "RL_total" = abs(transaction_quantity), "PG_total" = 0, "PL_total" = qty_diff)
} else {# + nothing
res <- c("RG_total" = 0, "RL_total" = abs(transaction_quantity) + qty_diff, "PG_total" = 0, "PL_total" = 0)
}
} else {# Nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
} else {# if portfolio_quantity <= 0, then nothing
res <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
}
}
}
return(res)
}
#' @describeIn realized_compute Computation, as expected return, of
#' realized gains and realized losses of the traded asset.
#' @export
realized_value <- function(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
allow_short = TRUE,
realized_only = FALSE
) {
qty_diff <- portfolio_quantity + transaction_quantity # quantity difference (if transaction_type == "S" then transaction_quantity < 0)
prz_diff <- transaction_price - portfolio_price # price difference
Er <- prz_diff / portfolio_price # transaction_asset expected return
if (realized_only) {
if (allow_short) {
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
} else {# Nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_value" = Er, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
} else {# + nothing
res <- c("RG_value" = Er, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_value" = 0, "RL_value" = Er, "PG_value" = 0, "PL_value" = 0)
} else {# + nothing
res <- c("RG_value" = 0, "RL_value" = Er, "PG_value" = 0, "PL_value" = 0)
}
} else {# Nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "S") { # Short + No Realized
if (prz_diff > 0) { # Paper Loss
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
} else if (prz_diff < 0) { # Paper Gain
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
} else {# Nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "B") { # Short - Realized
if (prz_diff > 0) { # Realized Loss
if (qty_diff < 0) { # + Paper Loss
res <- c("RG_value" = 0, "RL_value" = -Er, "PG_value" = 0, "PL_value" = 0)
} else {# + nothing
res <- c("RG_value" = 0, "RL_value" = -Er, "PG_value" = 0, "PL_value" = 0)
}
} else if (prz_diff < 0) { # Realized Gain
if (qty_diff < 0) { # + Paper Gain
res <- c("RG_value" = -Er, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
} else {# + nothing
res <- c("RG_value" = -Er, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else {# Nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else {# if portfolio_quantity == 0, then nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else {# allow_short = FALSE
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
} else {# Nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_value" = Er, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
} else {# + nothing
res <- c("RG_value" = Er, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_value" = 0, "RL_value" = Er, "PG_value" = 0, "PL_value" = 0)
} else {# + nothing
res <- c("RG_value" = 0, "RL_value" = Er, "PG_value" = 0, "PL_value" = 0)
}
} else {# Nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else {# if portfolio_quantity <= 0, then nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
}
} else {# not realized_only
if (allow_short) {
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = Er, "PL_value" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = Er)
} else {# Nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_value" = Er, "RL_value" = 0, "PG_value" = Er, "PL_value" = 0)
} else {# + nothing
res <- c("RG_value" = Er, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_value" = 0, "RL_value" = Er, "PG_value" = 0, "PL_value" = Er)
} else {# + nothing
res <- c("RG_value" = 0, "RL_value" = Er, "PG_value" = 0, "PL_value" = 0)
}
} else {# Nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "S") { # Short + No Realized
if (prz_diff > 0) { # Paper Loss
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = -Er)
} else if (prz_diff < 0) { # Paper Gain
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = -Er, "PL_value" = 0)
} else {# Nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "B") { # Short - Realized
if (prz_diff > 0) { # Realized Loss
if (qty_diff < 0) { # + Paper Loss
res <- c("RG_value" = 0, "RL_value" = -Er, "PG_value" = 0, "PL_value" = -Er)
} else {# + nothing
res <- c("RG_value" = 0, "RL_value" = -Er, "PG_value" = 0, "PL_value" = 0)
}
} else if (prz_diff < 0) { # Realized Gain
if (qty_diff < 0) { # + Paper Gain
res <- c("RG_value" = -Er, "RL_value" = 0, "PG_value" = -Er, "PL_value" = 0)
} else {# + nothing
res <- c("RG_value" = -Er, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else {# Nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else {# if portfolio_quantity == 0, then nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else {# allow_short = FALSE
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = Er, "PL_value" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = Er)
} else {# Nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_value" = Er, "RL_value" = 0, "PG_value" = Er, "PL_value" = 0)
} else {# + nothing
res <- c("RG_value" = Er, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_value" = 0, "RL_value" = Er, "PG_value" = 0, "PL_value" = Er)
} else {# + nothing
res <- c("RG_value" = 0, "RL_value" = Er, "PG_value" = 0, "PL_value" = 0)
}
} else {# Nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
} else {# if portfolio_quantity <= 0, then nothing
res <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
}
}
}
return(res)
}
#' @describeIn realized_compute Computation, as financial duration, of
#' realized gains and realized losses of the traded asset.
#' @export
realized_duration <- function(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
previous_transaction_datetime,
previous_datetime,
transaction_datetime,
allow_short = TRUE,
realized_only = FALSE
) {
qty_diff <- portfolio_quantity + transaction_quantity # quantity difference (if transaction_type == "S" then transaction_quantity < 0)
prz_diff <- transaction_price - portfolio_price # price difference
dtt_diff <- difftime_financial(previous_datetime, transaction_datetime)
dtt_diff0 <- difftime_financial(previous_transaction_datetime, transaction_datetime)
if (realized_only) {
if (allow_short) {
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
} else {# Nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
} else {# + nothing
res <- c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0)
} else {# + nothing
res <- c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0)
}
} else {# Nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "S") { # Short + No Realized
if (prz_diff > 0) { # Paper Loss
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
} else if (prz_diff < 0) { # Paper Gain
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
} else {# Nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "B") { # Short - Realized
if (prz_diff > 0) { # Realized Loss
if (qty_diff < 0) { # + Paper Loss
res <- c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0)
} else {# + nothing
res <- c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (prz_diff < 0) { # Realized Gain
if (qty_diff < 0) { # + Paper Gain
res <- c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
} else {# + nothing
res <- c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else {# Nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else {# if portfolio_quantity == 0, then nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else {# allow_short = FALSE
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
} else {# Nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
} else {# + nothing
res <- c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0)
} else {# + nothing
res <- c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0)
}
} else {# Nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else {# if portfolio_quantity <= 0, then nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
}
} else {# not realized_only
if (allow_short) {
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = dtt_diff, "PL_duration" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = dtt_diff)
} else {# Nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = dtt_diff, "PL_duration" = 0)
} else {# + nothing
res <- c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = dtt_diff)
} else {# + nothing
res <- c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0)
}
} else {# Nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "S") { # Short + No Realized
if (prz_diff > 0) { # Paper Loss
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = dtt_diff)
} else if (prz_diff < 0) { # Paper Gain
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = dtt_diff, "PL_duration" = 0)
} else {# Nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (portfolio_quantity < 0 && transaction_type == "B") { # Short - Realized
if (prz_diff > 0) { # Realized Loss
if (qty_diff < 0) { # + Paper Loss
res <- c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = dtt_diff)
} else {# + nothing
res <- c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (prz_diff < 0) { # Realized Gain
if (qty_diff < 0) { # + Paper Gain
res <- c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = dtt_diff, "PL_duration" = 0)
} else {# + nothing
res <- c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else {# Nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else {# if portfolio_quantity == 0, then nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else {# allow_short = FALSE
if (portfolio_quantity > 0 && transaction_type == "B") { # Long + No Realized
if (prz_diff > 0) { # Paper Gain
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = dtt_diff, "PL_duration" = 0)
} else if (prz_diff < 0) { # Paper Loss
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = dtt_diff)
} else {# Nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (portfolio_quantity > 0 && transaction_type == "S") { # Long - Realized
if (prz_diff > 0) { # Realized Gain
if (qty_diff > 0) { # + Paper Gain
res <- c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = dtt_diff, "PL_duration" = 0)
} else {# + nothing
res <- c("RG_duration" = dtt_diff0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else if (prz_diff < 0) { # Realized Loss
if (qty_diff > 0) { # + Paper Loss
res <- c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = dtt_diff)
} else {# + nothing
res <- c("RG_duration" = 0, "RL_duration" = dtt_diff0, "PG_duration" = 0, "PL_duration" = 0)
}
} else {# Nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
} else {# if portfolio_quantity <= 0, then nothing
res <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
}
}
}
return(res)
}
#' @describeIn realized_compute Wrapper that calls other realized_. functions to
#' compute realized gains and realized losses of the traded asset based on the
#' chosen method.
#' @export
realized_compute <- function(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
previous_transaction_datetime,
previous_datetime,
transaction_datetime,
transaction_asset,
allow_short = TRUE,
realized_only = FALSE,
method = "all"
) {
if (method == "count") {
rgl_count <- realized_count(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
allow_short,
realized_only
)
res_df <- as.data.frame(c("asset" = transaction_asset, as.list(rgl_count)))
} else if (method == "total") {
rgl_total <- realized_total(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
allow_short,
realized_only
)
res_df <- as.data.frame(c("asset" = transaction_asset, as.list(rgl_total)))
} else if (method == "value") {
rgl_value <- realized_value(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
allow_short,
realized_only
)
res_df <- as.data.frame(c("asset" = transaction_asset, as.list(rgl_value)))
} else if (method == "duration") {
rgl_duration <- realized_duration(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
previous_transaction_datetime,
previous_datetime,
transaction_datetime,
allow_short,
realized_only
)
res_df <- as.data.frame(c("asset" = transaction_asset, as.list(rgl_duration)))
} else {# method == "all"
rgl_count <- realized_count(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
allow_short,
realized_only
)
rgl_total <- realized_total(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
allow_short,
realized_only
)
rgl_value <- realized_value(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
allow_short,
realized_only
)
rgl_duration <- realized_duration(
portfolio_quantity,
portfolio_price,
transaction_quantity,
transaction_price,
transaction_type,
previous_transaction_datetime,
previous_datetime,
transaction_datetime,
allow_short,
realized_only
)
res_df <- as.data.frame(
c("asset" = transaction_asset,
as.list(rgl_count),
as.list(rgl_total),
as.list(rgl_value),
as.list(rgl_duration)
)
)
}
return(res_df)
}
#' @describeIn realized_compute Simple function to obtain empty results for
#' realized and paper computations based on the chosen method.
#' @export
realized_empty <- function(transaction_asset, method = "all") {
if (method == "count") {
rgl_count <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
res_df <- as.data.frame(c("asset" = transaction_asset, as.list(rgl_count)))
} else if (method == "total") {
rgl_total <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
res_df <- as.data.frame(c("asset" = transaction_asset, as.list(rgl_total)))
} else if (method == "value") {
rgl_value <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
res_df <- as.data.frame(c("asset" = transaction_asset, as.list(rgl_value)))
} else if (method == "duration") {
rgl_duration <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
res_df <- as.data.frame(c("asset" = transaction_asset, as.list(rgl_duration)))
} else {# method == "all"
rgl_count <- c("RG_count" = 0, "RL_count" = 0, "PG_count" = 0, "PL_count" = 0)
rgl_total <- c("RG_total" = 0, "RL_total" = 0, "PG_total" = 0, "PL_total" = 0)
rgl_value <- c("RG_value" = 0, "RL_value" = 0, "PG_value" = 0, "PL_value" = 0)
rgl_duration <- c("RG_duration" = 0, "RL_duration" = 0, "PG_duration" = 0, "PL_duration" = 0)
res_df <- as.data.frame(
c("asset" = transaction_asset,
as.list(rgl_count),
as.list(rgl_total),
as.list(rgl_value),
as.list(rgl_duration)
)
)
}
return(res_df)
}
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