dev/currency converter.R
In kristian-bak/shinyStocks: An Amazing Shiny App
library(dplyr)
devtools::load_all()
convert_to_dkk_with_constant <- function(x, currency) {
if (currency == "USD") {
ticker <- "DKK=X"
} else if (currency == "EUR") {
ticker <- "EURDKK=X"
} else if (currency == "SEK") {
ticker <- "SEKDKK=X"
}
data <- load_data(ticker = ticker, from = Sys.Date() - 7)
exchange_rate <- data %>%
dplyr::filter(Date == max(Date)) %>%
dplyr::pull(Close)
return(x * exchange_rate)
}
replace_na_with_previous_value <- function(x) {
first_non_na_id <- (!x %>% is.na()) %>% which() %>% dplyr::nth(1)
missing_id <- x[first_non_na_id:length(x)] %>% is.na() %>% which()
missing_id <- missing_id + first_non_na_id - 1
for (i in missing_id) {
x[i] <- x[i - 1]
}
return(x)
}
convert_data_to_dkk_with_variable <- function(data, currency) {
start_date <- data %>%
dplyr::pull(Date) %>%
min()
if (currency == "USD") {
ticker <- "DKK=X"
} else if (currency == "EUR") {
ticker <- "EURDKK=X"
} else if (currency == "SEK") {
ticker <- "SEKDKK=X"
}
data_currency <- load_data(ticker = "DKK=X", from = start_date) %>%
dplyr::select(Date, Close) %>%
dplyr::rename(Currency = Close)
data_out <- data %>%
dplyr::left_join(data_currency, by = "Date")
data_out <- data_out %>%
dplyr::mutate(Currency = replace_na_with_previous_value(Currency),
Open = Open * Currency,
High = High * Currency,
Low = Low * Currency,
Close = Close * Currency,
Adjusted = Adjusted * Currency)
return(data_out)
}
get_yield <- function(data, n_days, digits = 2) {
n <- length(n_days)
yield <- rep(NA, n)
standard_error <- rep(NA, n)
for (i in 1:n) {
close_start_data <- data %>%
dplyr::filter(Date == min(Date)) %>%
dplyr::pull(Close)
data_period <- data %>%
dplyr::mutate(Change_from_start = round(100 * ((Close - close_start_data) / close_start_data), 4)) %>%
dplyr::filter(Date >= Sys.Date() - n_days[i])
close_end <- data_period %>%
dplyr::filter(Date == max(Date)) %>%
dplyr::pull(Close)
close_start <- data_period %>%
dplyr::filter(Date == min(Date)) %>%
dplyr::pull(Close)
change_vec <- data_period %>%
dplyr::pull(Change_from_start)
standard_error[i] <- sd(change_vec, na.rm = TRUE) %>%
round(2)
yield[i] <- round(100 * (close_end - close_start) / close_start, digits = digits)
}
sharp_ratio <- round(yield / standard_error, 2)
df_yield <- matrix(c(yield, standard_error, sharp_ratio), nrow = 1) %>%
as.data.frame()
str_n_days <- c(n_days[-length(n_days)],
"my_entrance")
names(df_yield) <- c(paste0("Yield_", str_n_days),
paste0("Standard_error_", str_n_days),
paste0("Sharp_ratio_", str_n_days))
return(df_yield)
}
get_ticker <- function(data_investments) {
ticker <- data_investments$Ticker
first_buy_day <- data_investments$First_buy_day
currency <- data_investments$Ticker_currency
data_list <- list()
data_yield <- list()
n <- nrow(data_investments)
data_investments$Antal_ticker <- rep(NA, n)
str_instrument <- gsub(" ", "_", data_investments$Instrument)
one_year_ago <- Sys.Date() - 365
for (i in 1:n) {
from <- min(one_year_ago, first_buy_day[i])
data <- load_data(ticker = ticker[i], from = from) %>%
convert_data_to_dkk_with_variable(data = ., currency = currency[i])
n_days_my_entrance <- (Sys.Date() - first_buy_day[i]) %>% as.numeric()
df_yield <- get_yield(data = data, n_days = c(7, 30, 90, 180, 365, n_days_my_entrance))
data_yield[[i]] <- cbind(data.frame(Instrument = str_instrument[i]),
df_yield)
Antal_ticker <- data_investments$Original_value[i] / data$Close[1]
data_list[[i]] <- data %>%
dplyr::mutate(Holding = 1 * (first_buy_day[i] <= Date),
Marked_value = Close * Antal_ticker * Holding) %>%
dplyr::rename(!!str_instrument[i] := Marked_value) %>%
dplyr::select(c("Date", str_instrument[i]))
data_investments$Antal_ticker[i] <- Antal_ticker
cat("\r", i, "of", n)
flush.console()
}
data_marked_value <- plyr::join_all(data_list, by = "Date", type = "full") %>%
dplyr::as_tibble() %>%
dplyr::arrange(Date) %>%
dplyr::mutate(
dplyr::across(str_instrument, ~replace_na_with_previous_value(.))
) %>%
replace(is.na(.), 0) %>%
dplyr::mutate(Marked_value = rowSums(dplyr::across(where(is.numeric))))
data_yield <- do.call("rbind", data_yield)
out <- list("data_marked_value" = data_marked_value,
"data_investments" = data_investments,
"data_yield" = data_yield)
return(out)
}
data_investments <- dplyr::tribble(
~Instrument, ~Antal, ~First_buy_day, ~Average_price_buy_currency, ~Buy_currency, ~Ticker, ~Ticker_currency, ~Approx,
"Sparindex Dow Jones", 96, "2020-03-03", 180.09, "DKK", "IGSG.AS", "EUR", 1,
"Sparindex Europa Small Cap", 59, "2021-05-01", 207.72, "DKK", "IEUS", "EUR", 1,
"Sparindex Europa Value", 225, "2021-03-01", 92.91, "DKK", "EMSV.DE", "EUR", 1,
"Sparindex OMXC25", 115, "2020-03-16", 311.01, "DKK", "^OMX", "DKK", 1,
"Sparindex US Growth", 189, "2020-08-25", 187.49, "DKK", "IUSG", "USD", 1,
"Sparindex US Value", 246, "2020-09-03", 90.35, "DKK", "IUSV", "USD", 1,
"Sparindex US Small Cap", 80, "2020-12-14", 158, "DKK", "ISCB", "USD", 1,
"Epiroc", 25, "2020-12-29", 151.55, "SEK", "EPI-A.ST", "SEK", 0,
"GomSpace", 580, "2021-03-02", 17.87, "SEK", "GOMX.ST", "SEK", 0,
"Lundbeck", 14, "2020-01-15", 242.8, "DKK", "LUN.CO", "DKK", 0,
"Hexagon", 42, "2021-05-18", 108.29, "SEK", "HEXA-B.ST", "SEK", 0,
"Matas", 35, "2020-12-18", 84.6, "DKK", "MATAS.CO", "DKK", 0,
"Riot", 22, "2021-12-07", 28.875, "USD", "RIOT", "USD", 0,
"Vestas", 45, "2021-04-27", 140.8, "DKK", "VWS.CO", "DKK", 0,
"Ørsted", 6, "2020-05-27", 826.53, "DKK", "ORSTED.CO", "DKK", 0
)
data_investments <- data_investments %>%
dplyr::mutate(First_buy_day = as.Date(First_buy_day),
Original_value = Antal * Average_price_buy_currency)
is_integer <- function(x) {
(x %% 1) == 0
}
data_investments %>%
dplyr::pull(Antal) %>%
is_integer() %>%
all()
ticker_info <- get_ticker(data_investments = data_investments)
current_marked_value <- ticker_info$data_marked_value %>%
dplyr::filter(Date == max(Date)) %>%
dplyr::pull(Marked_value)
data_current_values <- ticker_info$data_marked_value %>%
dplyr::filter(Date == max(Date)) %>%
dplyr::select(str_instrument) %>%
t() %>%
as.data.frame()
data_current_values$Instrument <- rownames(data_current_values)
data_current_values <- data_current_values %>%
dplyr::rename(Marked_value = V1) %>%
dplyr::as_tibble() %>%
dplyr::mutate(Proportion = 100 * (Marked_value / current_marked_value) %>% round(4)) %>%
dplyr::relocate(Instrument) %>%
dplyr::inner_join(ticker_info$data_yield %>%
dplyr::select(Instrument, Yield_365, Standard_error_365, Sharp_ratio_365,
Yield_my_entrance, Standard_error_my_entrance, Sharp_ratio_my_entrance),
by = "Instrument")
data_current_values %>%
dplyr::summarise(Mean_sharp_ratio = weighted.mean(x = Sharp_ratio_365, w = Proportion))
profvis::profvis({
get_ticker(data_investments = data_investments)
})
plotly::plot_ly(
data = ticker_info$data_marked_value,
x = ~Date,
y = ~Marked_value,
type = "scatter",
mode = "lines"
)
data_cash <- dplyr::tribble(
~Date, ~DKK, ~USD, ~EUR, ~SEK,
Sys.Date(), 5000, 150, 5, 2
)
data_cash %>%
dplyr::mutate(
USD_in_DKK = convert_to_dkk_with_constant(x = USD, currency = "USD"),
EUR_in_DKK = convert_to_dkk_with_constant(x = EUR, currency = "EUR"),
SEK_in_DKK = convert_to_dkk_with_constant(x = SEK, currency = "SEK"),
Total_cash = DKK + USD_in_DKK + EUR_in_DKK + SEK_in_DKK
)
convert_to_dkk_with_constant(data =, currency = "USD")
data_constant <- data %>%
dplyr::mutate(Open = convert_to_dkk_with_constant(Open, currency = "USD"))
data_variable <- convert_data_to_dkk_with_variable(data = data, currency = "USD")
cor(data_constant$Close, data_variable$Close)
Close_start <- data_constant$Close[1]
data_constant <- data_constant %>%
dplyr::mutate(Yield = 100 * ((Close - Close_start) / Close_start))
Close_start <- data_variable$Close[1]
data_variable <- data_variable %>%
dplyr::mutate(Yield_variable = 100 * ((Close - Close_start) / Close_start))
plot_data <- data_constant %>%
dplyr::inner_join(data_variable %>% dplyr::select(Date, Yield_variable), by = "Date")
plotly::plot_ly(data = plot_data, x = ~Date, y = ~Yield, type = "scatter", mode = "lines", name = "Constant") %>%
plotly::add_trace(y = ~Yield_variable, name = "Variable")
kristian-bak/shinyStocks documentation built on Aug. 16, 2022, 4:15 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
library(dplyr)
devtools::load_all()
convert_to_dkk_with_constant <- function(x, currency) {
if (currency == "USD") {
ticker <- "DKK=X"
} else if (currency == "EUR") {
ticker <- "EURDKK=X"
} else if (currency == "SEK") {
ticker <- "SEKDKK=X"
}
data <- load_data(ticker = ticker, from = Sys.Date() - 7)
exchange_rate <- data %>%
dplyr::filter(Date == max(Date)) %>%
dplyr::pull(Close)
return(x * exchange_rate)
}
replace_na_with_previous_value <- function(x) {
first_non_na_id <- (!x %>% is.na()) %>% which() %>% dplyr::nth(1)
missing_id <- x[first_non_na_id:length(x)] %>% is.na() %>% which()
missing_id <- missing_id + first_non_na_id - 1
for (i in missing_id) {
x[i] <- x[i - 1]
}
return(x)
}
convert_data_to_dkk_with_variable <- function(data, currency) {
start_date <- data %>%
dplyr::pull(Date) %>%
min()
if (currency == "USD") {
ticker <- "DKK=X"
} else if (currency == "EUR") {
ticker <- "EURDKK=X"
} else if (currency == "SEK") {
ticker <- "SEKDKK=X"
}
data_currency <- load_data(ticker = "DKK=X", from = start_date) %>%
dplyr::select(Date, Close) %>%
dplyr::rename(Currency = Close)
data_out <- data %>%
dplyr::left_join(data_currency, by = "Date")
data_out <- data_out %>%
dplyr::mutate(Currency = replace_na_with_previous_value(Currency),
Open = Open * Currency,
High = High * Currency,
Low = Low * Currency,
Close = Close * Currency,
Adjusted = Adjusted * Currency)
return(data_out)
}
get_yield <- function(data, n_days, digits = 2) {
n <- length(n_days)
yield <- rep(NA, n)
standard_error <- rep(NA, n)
for (i in 1:n) {
close_start_data <- data %>%
dplyr::filter(Date == min(Date)) %>%
dplyr::pull(Close)
data_period <- data %>%
dplyr::mutate(Change_from_start = round(100 * ((Close - close_start_data) / close_start_data), 4)) %>%
dplyr::filter(Date >= Sys.Date() - n_days[i])
close_end <- data_period %>%
dplyr::filter(Date == max(Date)) %>%
dplyr::pull(Close)
close_start <- data_period %>%
dplyr::filter(Date == min(Date)) %>%
dplyr::pull(Close)
change_vec <- data_period %>%
dplyr::pull(Change_from_start)
standard_error[i] <- sd(change_vec, na.rm = TRUE) %>%
round(2)
yield[i] <- round(100 * (close_end - close_start) / close_start, digits = digits)
}
sharp_ratio <- round(yield / standard_error, 2)
df_yield <- matrix(c(yield, standard_error, sharp_ratio), nrow = 1) %>%
as.data.frame()
str_n_days <- c(n_days[-length(n_days)],
"my_entrance")
names(df_yield) <- c(paste0("Yield_", str_n_days),
paste0("Standard_error_", str_n_days),
paste0("Sharp_ratio_", str_n_days))
return(df_yield)
}
get_ticker <- function(data_investments) {
ticker <- data_investments$Ticker
first_buy_day <- data_investments$First_buy_day
currency <- data_investments$Ticker_currency
data_list <- list()
data_yield <- list()
n <- nrow(data_investments)
data_investments$Antal_ticker <- rep(NA, n)
str_instrument <- gsub(" ", "_", data_investments$Instrument)
one_year_ago <- Sys.Date() - 365
for (i in 1:n) {
from <- min(one_year_ago, first_buy_day[i])
data <- load_data(ticker = ticker[i], from = from) %>%
convert_data_to_dkk_with_variable(data = ., currency = currency[i])
n_days_my_entrance <- (Sys.Date() - first_buy_day[i]) %>% as.numeric()
df_yield <- get_yield(data = data, n_days = c(7, 30, 90, 180, 365, n_days_my_entrance))
data_yield[[i]] <- cbind(data.frame(Instrument = str_instrument[i]),
df_yield)
Antal_ticker <- data_investments$Original_value[i] / data$Close[1]
data_list[[i]] <- data %>%
dplyr::mutate(Holding = 1 * (first_buy_day[i] <= Date),
Marked_value = Close * Antal_ticker * Holding) %>%
dplyr::rename(!!str_instrument[i] := Marked_value) %>%
dplyr::select(c("Date", str_instrument[i]))
data_investments$Antal_ticker[i] <- Antal_ticker
cat("\r", i, "of", n)
flush.console()
}
data_marked_value <- plyr::join_all(data_list, by = "Date", type = "full") %>%
dplyr::as_tibble() %>%
dplyr::arrange(Date) %>%
dplyr::mutate(
dplyr::across(str_instrument, ~replace_na_with_previous_value(.))
) %>%
replace(is.na(.), 0) %>%
dplyr::mutate(Marked_value = rowSums(dplyr::across(where(is.numeric))))
data_yield <- do.call("rbind", data_yield)
out <- list("data_marked_value" = data_marked_value,
"data_investments" = data_investments,
"data_yield" = data_yield)
return(out)
}
data_investments <- dplyr::tribble(
~Instrument, ~Antal, ~First_buy_day, ~Average_price_buy_currency, ~Buy_currency, ~Ticker, ~Ticker_currency, ~Approx,
"Sparindex Dow Jones", 96, "2020-03-03", 180.09, "DKK", "IGSG.AS", "EUR", 1,
"Sparindex Europa Small Cap", 59, "2021-05-01", 207.72, "DKK", "IEUS", "EUR", 1,
"Sparindex Europa Value", 225, "2021-03-01", 92.91, "DKK", "EMSV.DE", "EUR", 1,
"Sparindex OMXC25", 115, "2020-03-16", 311.01, "DKK", "^OMX", "DKK", 1,
"Sparindex US Growth", 189, "2020-08-25", 187.49, "DKK", "IUSG", "USD", 1,
"Sparindex US Value", 246, "2020-09-03", 90.35, "DKK", "IUSV", "USD", 1,
"Sparindex US Small Cap", 80, "2020-12-14", 158, "DKK", "ISCB", "USD", 1,
"Epiroc", 25, "2020-12-29", 151.55, "SEK", "EPI-A.ST", "SEK", 0,
"GomSpace", 580, "2021-03-02", 17.87, "SEK", "GOMX.ST", "SEK", 0,
"Lundbeck", 14, "2020-01-15", 242.8, "DKK", "LUN.CO", "DKK", 0,
"Hexagon", 42, "2021-05-18", 108.29, "SEK", "HEXA-B.ST", "SEK", 0,
"Matas", 35, "2020-12-18", 84.6, "DKK", "MATAS.CO", "DKK", 0,
"Riot", 22, "2021-12-07", 28.875, "USD", "RIOT", "USD", 0,
"Vestas", 45, "2021-04-27", 140.8, "DKK", "VWS.CO", "DKK", 0,
"Ørsted", 6, "2020-05-27", 826.53, "DKK", "ORSTED.CO", "DKK", 0
)
data_investments <- data_investments %>%
dplyr::mutate(First_buy_day = as.Date(First_buy_day),
Original_value = Antal * Average_price_buy_currency)
is_integer <- function(x) {
(x %% 1) == 0
}
data_investments %>%
dplyr::pull(Antal) %>%
is_integer() %>%
all()
ticker_info <- get_ticker(data_investments = data_investments)
current_marked_value <- ticker_info$data_marked_value %>%
dplyr::filter(Date == max(Date)) %>%
dplyr::pull(Marked_value)
data_current_values <- ticker_info$data_marked_value %>%
dplyr::filter(Date == max(Date)) %>%
dplyr::select(str_instrument) %>%
t() %>%
as.data.frame()
data_current_values$Instrument <- rownames(data_current_values)
data_current_values <- data_current_values %>%
dplyr::rename(Marked_value = V1) %>%
dplyr::as_tibble() %>%
dplyr::mutate(Proportion = 100 * (Marked_value / current_marked_value) %>% round(4)) %>%
dplyr::relocate(Instrument) %>%
dplyr::inner_join(ticker_info$data_yield %>%
dplyr::select(Instrument, Yield_365, Standard_error_365, Sharp_ratio_365,
Yield_my_entrance, Standard_error_my_entrance, Sharp_ratio_my_entrance),
by = "Instrument")
data_current_values %>%
dplyr::summarise(Mean_sharp_ratio = weighted.mean(x = Sharp_ratio_365, w = Proportion))
profvis::profvis({
get_ticker(data_investments = data_investments)
})
plotly::plot_ly(
data = ticker_info$data_marked_value,
x = ~Date,
y = ~Marked_value,
type = "scatter",
mode = "lines"
)
data_cash <- dplyr::tribble(
~Date, ~DKK, ~USD, ~EUR, ~SEK,
Sys.Date(), 5000, 150, 5, 2
)
data_cash %>%
dplyr::mutate(
USD_in_DKK = convert_to_dkk_with_constant(x = USD, currency = "USD"),
EUR_in_DKK = convert_to_dkk_with_constant(x = EUR, currency = "EUR"),
SEK_in_DKK = convert_to_dkk_with_constant(x = SEK, currency = "SEK"),
Total_cash = DKK + USD_in_DKK + EUR_in_DKK + SEK_in_DKK
)
convert_to_dkk_with_constant(data =, currency = "USD")
data_constant <- data %>%
dplyr::mutate(Open = convert_to_dkk_with_constant(Open, currency = "USD"))
data_variable <- convert_data_to_dkk_with_variable(data = data, currency = "USD")
cor(data_constant$Close, data_variable$Close)
Close_start <- data_constant$Close[1]
data_constant <- data_constant %>%
dplyr::mutate(Yield = 100 * ((Close - Close_start) / Close_start))
Close_start <- data_variable$Close[1]
data_variable <- data_variable %>%
dplyr::mutate(Yield_variable = 100 * ((Close - Close_start) / Close_start))
plot_data <- data_constant %>%
dplyr::inner_join(data_variable %>% dplyr::select(Date, Yield_variable), by = "Date")
plotly::plot_ly(data = plot_data, x = ~Date, y = ~Yield, type = "scatter", mode = "lines", name = "Constant") %>%
plotly::add_trace(y = ~Yield_variable, name = "Variable")
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.