R/rescaleNav.R

In nickto/PensionFundsLv: Analysis of Latvian Pension FundsVersion: 0.0.0.9000

#' Rescales NAV to 1 at a specified date.
#'
#' \code{rescaleNav} rescales NAV in clean data (object returned by
#' \link{\code{getCleanData}}) to 1 at a specified base date.
#'
#' @export
#' @import dplyr
#'
#' @param cleanData Data frame with \code{date}, \code{id} and \code{nav}
#'   columns. Ideally, an object returned by \link{\code{getCleanData}}.
#' @param baseDate String date convertible to date using \code{as.Date}
#'   function, at which (or the next date existing in the \code{cleanData}) NAV
#'   should be scaled to 1, and all others to their respective values.
#'
#' @return Data frame, same as \code{cleanData} but with rescaled \code{nav}
#'   column.
rescaleNav <- function(cleanData, baseDate) {
  baseDate <- as.Date(baseDate)

  # Split cleanData by fund
  lapply(split(cleanData, cleanData$id), function(fundData) {
    baseFundDate<- min(fundData$date[fundData$date >= baseDate], na.rm = TRUE)
    if (baseFundDate == Inf) { # data ends earlier than baseDate
      baseFundDate<- max(fundData$date[fundData$date < baseDate], na.rm = TRUE)
    }
    baseFundNav <- fundData$nav[fundData$date == baseFundDate]
    fundData$nav <- fundData$nav / baseFundNav
    return(fundData)
  }) %>%
    data.table::rbindlist() %>%
    as.data.frame() ->
    rescaled

  return(rescaled)
}