R/asset.R

In alejandro-sotolongo/pbi:

#' @title Asset
#' @import R6
#' @export
Asset <- R6Class(
  classname = 'Asset',
  public = list(
    key_id = NULL,
    name = NULL,
    ticker = NULL,
    data_source = NULL,
    asset_class = NULL,
    strategy = NULL,
    benchmark = NULL,
    vehicle = NULL,
    geography = NULL,
    country = NULL,
    backfill = NULL,
    freq = NULL,
    is_return = NULL,
    net_rf = NULL,
    time_series = NULL,

    initialize = function(key_id, dm) {

      item <- dm$arctic_lib$read(key_id)
      if (class(item$data)[1] == 'character') {
        stop('data was not loaded')
      }

      if (is.null(item$metadata$is_return)) {
        stop('is_price needs to be specified as TRUE or FALSE')
      }

      if (item$metadata$is_return) {
        if (toupper(item$metadata$data_source) == 'TIINGO') {
          time_series <- data.frame(item$data) %>%
            mutate(date = as.Date(date, origin = '1970-01-01')) %>%
            mutate(value = adjClose / lag(adjClose) - 1) %>%
            select(date, value)
        } else {
          time_series <- NA
        }
      } else {
        time_series <- NA
      }

      self$key_id <- item$metadata$key_id
      self$name <- item$metadata$name
      self$ticker <- item$metadata$ticker
      self$data_source <- item$metadata$data_source
      self$asset_class <- item$metadata$asset_class
      self$strategy <- item$metadata$strategy
      self$benchmark <- item$metadata$benchmark
      self$vehicle <- item$metadata$vehicle
      self$geography <- item$metadata$geography
      self$country <- item$metadata$country
      self$backfill <- item$metadata$backfill
      self$freq <- item$metadata$freq
      self$is_return <- item$metadata$is_return
      self$net_rf <- item$metadata$net_rf
      self$time_series <- time_series
    },

    changeFreq = function(freq = c('w', 'm', 'q', 'a'), is_month_end = TRUE) {
      freq <- freq[1]
      freq <- toupper(freq)
      if (!freq %in% c('W', 'M', 'Q', 'A')) {
        stop('freq must be \'W\', \'M\', \'Q\', \'A\'')
      }
      d <- self$time_series
      if (self$is_return == TRUE) {
        d <- d %>%
          replace_na(list(value = 0)) %>%
          mutate(value = cumprod(1 + value))
      }
      if (freq == 'W') {
        d <- d %>%
          mutate(xdate = paste0(lubridate::isoweek(date), '-',
                                lubridate::year(date)))
      }
      if (freq == 'M') {
        d <- d %>%
          mutate(xdate = paste0(lubridate::month(date), '-',
                                 lubridate::year(date)))
      }
      if (freq == 'Q') {
        d <- d %>%
          mutate(xdate = paste0(lubridate::quarter(date), '-',
                                lubridate::year(date)))
      }
      if (freq == 'A') {
        d <- d %>%
          mutate(xdate  = lubridate::year(date))
      }
      d <- d %>%
          group_by(xdate) %>%
          filter(date == max(date)) %>%
          ungroup() %>%
          select(-xdate)

      if (self$is_return == TRUE) {
        d <- d %>%
          mutate(value = value / lag(value) - 1)
      }
      if (freq %in% c('M', 'Q', 'A') & is_month_end) {
        d <- d %>%
          mutate(date = lubridate::ceiling_date(date, unit = 'months') - 1)
      }
      self$time_series <- d
      self$freq <- freq
    }
  )
)