R/distribute_return.R

In veldanie/SuraInvestmentAnalytics: Investment Analytics

distribute_return <- function(ticker, series_list, reported_returns, since_date, complete_dates = TRUE){

  if(complete_dates){
    series <- complete_all_dates(ticker, series_list)[paste0(since_date, '/')]
  }else{
    series <- series_list[[ticker]][paste0(since_date, '/')]
  }
  reported_returns <- xts(x = na.omit(as.numeric(reported_returns[, which(colnames(reported_returns) == ticker) + 1])),
                          order.by = na.omit(as.Date(reported_returns[, which(colnames(reported_returns) == ticker)], format = "%d/%m/%Y")))
  series_returns <- returns(series)

  for(i in 2:length(index(reported_returns))){
    n_values <- length(series_returns[paste(toString(index(reported_returns[i - 1])), toString(index(reported_returns[i])), sep = '/')])
    adjust_factor <- ((as.vector(series[index(reported_returns)[i - 1]]) * (1 + coredata(reported_returns)[i]) / as.vector(series[index(reported_returns)[i]]))) ^ (1 / n_values) - 1
    series_returns[paste(toString(index(reported_returns[i - 1])), toString(index(reported_returns[i])), sep = '/')] <- series_returns[paste(toString(index(reported_returns[i - 1])), toString(index(reported_returns[i])), sep = '/')]  + adjust_factor
  }

  rebuilt_series <- xts(x = as.vector(series[1]) * cumprod(1 + c(0, coredata(series_returns))),
                     order.by = index(series))
  output <- rbind(series_list[[ticker]][paste0('/', since_date)], rebuilt_series)
  return(output[!duplicated(index(output)), ])

}