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feat: update entity
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@Angular2Guy
Angular2Guy committed Jul 27, 2024
1 parent 60ee9ec commit 9cbdbcb
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Showing 3 changed files with 64 additions and 110 deletions.
112 changes: 20 additions & 92 deletions backend/src/main/java/ch/xxx/manager/domain/model/entity/PortfolioBase.java
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Original file line number Diff line number Diff line change
Expand Up @@ -44,36 +44,28 @@ public class PortfolioBase {
private Double year1LinRegReturnSp500;
private Double year1LinRegReturnMsciChina;
private Double year1LinRegReturnEuroStoxx50;
private Double year1SigmaSp500;
private Double year1SigmaMsciChina;
private Double year1SigmaEuroStoxx50;
private Double year1Sigma;
private Double year2CorrelationSp500;
private Double year2CorrelationMsciChina;
private Double year2CorrelationEuroStoxx50;
private Double year2LinRegReturnSp500;
private Double year2LinRegReturnMsciChina;
private Double year2LinRegReturnEuroStoxx50;
private Double year2SigmaSp500;
private Double year2SigmaMsciChina;
private Double year2SigmaEuroStoxx50;
private Double year2Sigma;
private Double year5CorrelationSp500;
private Double year5CorrelationMsciChina;
private Double year5CorrelationEuroStoxx50;
private Double year5LinRegReturnSp500;
private Double year5LinRegReturnMsciChina;
private Double year5LinRegReturnEuroStoxx50;
private Double year5SigmaSp500;
private Double year5SigmaMsciChina;
private Double year5SigmaEuroStoxx50;
private Double year5Sigma;
private Double year10CorrelationSp500;
private Double year10CorrelationMsciChina;
private Double year10CorrelationEuroStoxx50;
private Double year10LinRegReturnSp500;
private Double year10LinRegReturnMsciChina;
private Double year10LinRegReturnEuroStoxx50;
private Double year10SigmaSp500;
private Double year10SigmaMsciChina;
private Double year10SigmaEuroStoxx50;
private Double year10Sigma;

public Long getId() {
return id;
Expand Down Expand Up @@ -323,99 +315,35 @@ public void setYear10LinRegReturnEuroStoxx50(Double year10LinRegReturnEuroStoxx5
this.year10LinRegReturnEuroStoxx50 = year10LinRegReturnEuroStoxx50;
}

public Double getYear1SigmaSp500() {
return year1SigmaSp500;
public Double getYear1Sigma() {
return year1Sigma;
}

public void setYear1SigmaSp500(Double year1SigmaSp500) {
this.year1SigmaSp500 = year1SigmaSp500;
public void setYear1Sigma(Double year1Sigma) {
this.year1Sigma = year1Sigma;
}

public Double getYear1SigmaMsciChina() {
return year1SigmaMsciChina;
public Double getYear2Sigma() {
return year2Sigma;
}

public void setYear1SigmaMsciChina(Double year1SigmaMsciChina) {
this.year1SigmaMsciChina = year1SigmaMsciChina;
public void setYear2Sigma(Double year2Sigma) {
this.year2Sigma = year2Sigma;
}

public Double getYear2SigmaSp500() {
return year2SigmaSp500;
public Double getYear5Sigma() {
return year5Sigma;
}

public void setYear2SigmaSp500(Double year2SigmaSp500) {
this.year2SigmaSp500 = year2SigmaSp500;
public void setYear5Sigma(Double year5Sigma) {
this.year5Sigma = year5Sigma;
}

public Double getYear2SigmaMsciChina() {
return year2SigmaMsciChina;
public Double getYear10Sigma() {
return year10Sigma;
}

public void setYear2SigmaMsciChina(Double year2SigmaMsciChina) {
this.year2SigmaMsciChina = year2SigmaMsciChina;
}

public Double getYear5SigmaSp500() {
return year5SigmaSp500;
}

public void setYear5SigmaSp500(Double year5SigmaSp500) {
this.year5SigmaSp500 = year5SigmaSp500;
}

public Double getYear5SigmaMsciChina() {
return year5SigmaMsciChina;
}

public void setYear5SigmaMsciChina(Double year5SigmaMsciChina) {
this.year5SigmaMsciChina = year5SigmaMsciChina;
}

public Double getYear10SigmaSp500() {
return year10SigmaSp500;
}

public void setYear10SigmaSp500(Double year10SigmaSp500) {
this.year10SigmaSp500 = year10SigmaSp500;
}

public Double getYear10SigmaMsciChina() {
return year10SigmaMsciChina;
}

public void setYear10SigmaMsciChina(Double year10SigmaMsciChina) {
this.year10SigmaMsciChina = year10SigmaMsciChina;
}

public Double getYear1SigmaEuroStoxx50() {
return year1SigmaEuroStoxx50;
}

public void setYear1SigmaEuroStoxx50(Double year1SigmaEuroStoxx50) {
this.year1SigmaEuroStoxx50 = year1SigmaEuroStoxx50;
}

public Double getYear2SigmaEuroStoxx50() {
return year2SigmaEuroStoxx50;
}

public void setYear2SigmaEuroStoxx50(Double year2SigmaEuroStoxx50) {
this.year2SigmaEuroStoxx50 = year2SigmaEuroStoxx50;
}

public Double getYear5SigmaEuroStoxx50() {
return year5SigmaEuroStoxx50;
}

public void setYear5SigmaEuroStoxx50(Double year5SigmaEuroStoxx50) {
this.year5SigmaEuroStoxx50 = year5SigmaEuroStoxx50;
}

public Double getYear10SigmaEuroStoxx50() {
return year10SigmaEuroStoxx50;
}

public void setYear10SigmaEuroStoxx50(Double year10SigmaEuroStoxx50) {
this.year10SigmaEuroStoxx50 = year10SigmaEuroStoxx50;
public void setYear10Sigma(Double year10Sigma) {
this.year10Sigma = year10Sigma;
}
}
40 changes: 22 additions & 18 deletions backend/src/main/java/ch/xxx/manager/usecase/service/PortfolioStatisticService.java
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Original file line number Diff line number Diff line change
Expand Up @@ -115,45 +115,49 @@ public PortfolioWithElements calculatePortfolioWithElements(final Portfolio port

private void updateSigmas(final Portfolio portfolio, final PortfolioBase portfolioBase,
Collection<Symbol> comparisonSymbols, List<DailyQuote> portfolioQuotes) {
var adjClosePercents = this.calcClosePercentages(portfolioQuotes,LocalDate.now().minusYears(10L));
var adjClosePercents = this.calcClosePercentages(portfolioQuotes, LocalDate.now().minusYears(10L));
final var sigma10Y = calcStandardDiviation(adjClosePercents);
adjClosePercents = this.calcClosePercentages(portfolioQuotes,LocalDate.now().minusYears(5L));
adjClosePercents = this.calcClosePercentages(portfolioQuotes, LocalDate.now().minusYears(5L));
final var sigma5Y = calcStandardDiviation(adjClosePercents);
adjClosePercents = this.calcClosePercentages(portfolioQuotes,LocalDate.now().minusYears(2L));
adjClosePercents = this.calcClosePercentages(portfolioQuotes, LocalDate.now().minusYears(2L));
final var sigma2Y = calcStandardDiviation(adjClosePercents);
adjClosePercents = this.calcClosePercentages(portfolioQuotes,LocalDate.now().minusYears(1L));
adjClosePercents = this.calcClosePercentages(portfolioQuotes, LocalDate.now().minusYears(1L));
final var sigma1Y = calcStandardDiviation(adjClosePercents);
final var lastValue = portfolioQuotes.stream()
.sorted((calcValues1, calcValues2) -> calcValues1.getLocalDay().compareTo(calcValues2.getLocalDay()))
.toList().reversed().stream().findFirst().orElseThrow();
}

private BigDecimal calcStandardDiviation(Map<LocalDate, BigDecimal> adjClosePercents) {
private BigDecimal calcStandardDiviation(Map<LocalDate, BigDecimal> adjClosePercents) {
final var adjCloseMean = adjClosePercents.entrySet().stream().map(myEntry -> myEntry.getValue())
.reduce(BigDecimal.ZERO, (acc, value) -> value.add(acc))
.divide(BigDecimal.valueOf(adjClosePercents.entrySet().size()), 25, RoundingMode.HALF_EVEN);
final var divisor = BigDecimal.ONE.divide(
BigDecimal.valueOf(adjClosePercents.entrySet().size()).subtract(BigDecimal.ONE), 25,
RoundingMode.HALF_EVEN);
BigDecimal.valueOf(adjClosePercents.entrySet().size() < 2 ? 2 : adjClosePercents.entrySet().size())
.subtract(BigDecimal.ONE),
25, RoundingMode.HALF_EVEN);
final var standardDeviation = adjClosePercents.entrySet().stream().map(myEntry -> myEntry.getValue())
.map(myValue -> myValue.subtract(adjCloseMean)).map(myValue -> myValue.multiply(myValue))
.reduce(BigDecimal.ZERO, (acc, value) -> acc.add(acc)).multiply(divisor, MathContext.DECIMAL128)
.sqrt(MathContext.DECIMAL128);
return standardDeviation;
}

private Map<LocalDate, BigDecimal> calcClosePercentages(List<DailyQuote> portfolioQuotes, final LocalDate cutOffDate) {
private Map<LocalDate, BigDecimal> calcClosePercentages(List<DailyQuote> portfolioQuotes,
final LocalDate cutOffDate) {
record DateToCloseAdjPercent(LocalDate localDate, BigDecimal closeAdjPercent) {
}
final var lastValue = new AtomicReference<BigDecimal>(new BigDecimal(-1000L));
final var closeAdjPercents = portfolioQuotes.stream()
.filter(myQuote -> cutOffDate.isAfter(myQuote.getLocalDay()))
.map(myQuote -> {
var result = new BigDecimal(-1000L);
if (lastValue.get().longValue() > -900L) {
result = myQuote.getAdjClose().divide(lastValue.get(), 25, RoundingMode.HALF_EVEN)
.multiply(new BigDecimal(100L));
}
lastValue.set(myQuote.getAdjClose());
return new DateToCloseAdjPercent(myQuote.getLocalDay(), result);
}).filter(myValue -> myValue.closeAdjPercent().longValue() < -900L)
.filter(myQuote -> cutOffDate.isAfter(myQuote.getLocalDay())).map(myQuote -> {
var result = new BigDecimal(-1000L);
if (lastValue.get().longValue() > -900L) {
result = myQuote.getAdjClose().divide(lastValue.get(), 25, RoundingMode.HALF_EVEN)
.multiply(new BigDecimal(100L));
}
lastValue.set(myQuote.getAdjClose());
return new DateToCloseAdjPercent(myQuote.getLocalDay(), result);
}).filter(myValue -> myValue.closeAdjPercent().longValue() < -900L)
.collect(Collectors.toMap(myVal -> myVal.localDate(), myVal -> myVal.closeAdjPercent()));
return closeAdjPercents;
}
Expand Down
22 changes: 22 additions & 0 deletions backend/src/main/resources/dbchangelog/changes/db.changelog-8.xml
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Original file line number Diff line number Diff line change
Expand Up @@ -27,4 +27,26 @@
<column name="year10sigma_euro_stoxx50" type="double" />
</addColumn>
</changeSet>
<changeSet id="42" author="angular2guy">
<addColumn tableName="portfolio">
<column name="year1sigma" type="double" />
<column name="year2sigma" type="double" />
<column name="year5sigma" type="double" />
<column name="year10sigma" type="double" />
</addColumn>
<dropColumn tableName="portfolio">
<column name="year1sigma_sp500" type="double" />
<column name="year1sigma_msci_china" type="double" />
<column name="year1sigma_euro_stoxx50" type="double" />
<column name="year2sigma_sp500" type="double" />
<column name="year2sigma_msci_china" type="double" />
<column name="year2sigma_euro_stoxx50" type="double" />
<column name="year5sigma_sp500" type="double" />
<column name="year5sigma_msci_china" type="double" />
<column name="year5sigma_euro_stoxx50" type="double" />
<column name="year10sigma_sp500" type="double" />
<column name="year10sigma_msci_china" type="double" />
<column name="year10sigma_euro_stoxx50" type="double" />
</dropColumn>
</changeSet>
</databaseChangeLog>

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