unit_prices: Compute Prices for Portfolio Based on Units

In enricoschumann/PMwR: Portfolio Management with R

Compute Prices for Portfolio Based on Units

Description

Compute prices for a portfolio based on outstanding shares (units).

Usage

unit_prices(NAV, cashflows,
            initial.price, initial.units = 0,
            cf.included = TRUE,
            round.price = NULL, round.units = NULL)

Arguments

NAV	a dataframe of two columns: timestamp and net asset value. There should be no duplicated timestamps. Column names are ignored; the function assumes timestamp is the first column, NAV the second.
cashflows	a data.frame of two or three columns: timestamp, cashflow and (optionally) an id or account. Column names are ignored; the function assumes timestamp is the first column, the external cashflows the second, and an account/id the third.
initial.price	initial price; ignored when initial.units is not zero
initial.units	number of outstanding units before first cashflow
cf.included	logical. If TRUE (the default), it is assumed that the NAV series at the time of the cashflow already includes the cashflow.
round.price	round unit prices: NULL (no rounding) or an integer
round.units	round number of units: NULL (no rounding) or an integer

Details

This function is experimental, and its interface is not stable yet.

The function may be used to compute the returns for a portfolio with external cashflows, i.e. what is usually called time-weighted returns. Note that 'cashflows' can also comprise other positions that are added or removed from the portfolio without affecting performance.

Value

A data.frame with one row for each row in NAV:

timestamp	the timestamp, as provided in argument NAV
NAV	total NAV, as provided in argument NAV
price	NAV per unit
units	outstanding units (i.e. shares) after cashflows

Attached as an attribute is a data.frame transactions, with as many rows as the provided argument cashflows, which provides the number of units created/destroyed for each cashflow.

Author(s)

Enrico Schumann

References

Schumann, E. (2024) Portfolio Management with R.
https://enricoschumann.net/PMwR/

See Also

returns, pl

Examples

NAV <- data.frame(timestamp = seq(as.Date("2017-01-01"),
                                  as.Date("2017-01-10"),
                                  by = "1 day"),
                  NAV = c(100:104, 205:209))

cf <- data.frame(timestamp = c(as.Date("2017-01-01"),
                               as.Date("2017-01-06"),
                               as.Date("2017-01-06")),
                 cashflow = c(100, 50, 50),
                 account = c("A", "A", "B"))

(up <- unit_prices(NAV, cf, cf.included = TRUE))
##     timestamp NAV    price    units
## 1  2017-01-01 100 100.0000 1.000000
## 2  2017-01-02 101 101.0000 1.000000
## 3  2017-01-03 102 102.0000 1.000000
## 4  2017-01-04 103 103.0000 1.000000
## 5  2017-01-05 104 104.0000 1.000000
## 6  2017-01-06 205 105.0000 1.952381
## 7  2017-01-07 206 105.5122 1.952381
## 8  2017-01-08 207 106.0244 1.952381
## 9  2017-01-09 208 106.5366 1.952381
## 10 2017-01-10 209 107.0488 1.952381

attr(up, "transactions")
##    timestamp cashflow account     units
## 1 2017-01-01      100       A 1.0000000
## 2 2017-01-06       50       A 0.4761905
## 3 2017-01-06       50       B 0.4761905

enricoschumann/PMwR documentation built on Aug. 21, 2024, 1:05 a.m.