Extended heat map to calculate excess return

Optionally, the user can choose a baseline to calculate the excess return against. Two methods are available: alpha excess return and relative excess return.
portfolio-performance · Sep 29, 2019 · 19ea81f · 19ea81f
1 parent d05192d
commit 19ea81f
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Showing 12 changed files with 180 additions and 25 deletions.
diff --git a/name.abuchen.portfolio.ui/src/name/abuchen/portfolio/ui/Messages.java b/name.abuchen.portfolio.ui/src/name/abuchen/portfolio/ui/Messages.java
@@ -500,6 +500,10 @@ public class Messages extends NLS
     public static String LabelEarningsSelectStartYear;
     public static String LabelError;
     public static String LabelEurostatRegion;
+    public static String LabelExcessReturnBaselineDataSeries;
+    public static String LabelExcessReturnOperator;
+    public static String LabelExcessReturnOperatorAlpha;
+    public static String LabelExcessReturnOperatorRelative;
     public static String LabelExchange;
     public static String LabelExchangeRate;
     public static String LabelExchangeRates;

diff --git a/name.abuchen.portfolio.ui/src/name/abuchen/portfolio/ui/messages.properties b/name.abuchen.portfolio.ui/src/name/abuchen/portfolio/ui/messages.properties
@@ -1007,6 +1007,14 @@ LabelError = Error
 
 LabelEurostatRegion = Region
 
+LabelExcessReturnBaselineDataSeries = Excess return (Baseline)
+
+LabelExcessReturnOperator = Calculation
+
+LabelExcessReturnOperatorAlpha = Alpha
+
+LabelExcessReturnOperatorRelative = Relativ
+
 LabelExchange = Exchange
 
 LabelExchangeRate = Exchange Rate

diff --git a/name.abuchen.portfolio.ui/src/name/abuchen/portfolio/ui/messages_de.properties b/name.abuchen.portfolio.ui/src/name/abuchen/portfolio/ui/messages_de.properties
@@ -1003,6 +1003,14 @@ LabelEarningsSelectStartYear = Ertr\u00E4ge ab Jahr:
 
 LabelError = Fehler
 
+LabelExcessReturnBaselineDataSeries = \u00DCberrendite (Basiswert)
+
+LabelExcessReturnOperator = Berechnung
+
+LabelExcessReturnOperatorAlpha = Alpha
+
+LabelExcessReturnOperatorRelative = Relativ
+
 LabelExchange = B\u00F6rsenplatz
 
 LabelExchangeRate = Wechselkurs

diff --git a/name.abuchen.portfolio.ui/src/name/abuchen/portfolio/ui/messages_es.properties b/name.abuchen.portfolio.ui/src/name/abuchen/portfolio/ui/messages_es.properties
@@ -891,6 +891,14 @@ LabelEarningsSelectStartYear = Ganancias a partir del a\u00F1o:
 
 LabelError = Error
 
+LabelExcessReturnBaselineDataSeries = Exceso de retorno (L\u00EDnea de base)
+
+LabelExcessReturnOperator = Calculo
+
+LabelExcessReturnOperatorAlpha = Alpha
+
+LabelExcessReturnOperatorRelative = Pariente
+
 LabelExchange = Exchange
 
 LabelExchangeRate = Tipo de cambio

diff --git a/name.abuchen.portfolio.ui/src/name/abuchen/portfolio/ui/messages_nl.properties b/name.abuchen.portfolio.ui/src/name/abuchen/portfolio/ui/messages_nl.properties
@@ -999,6 +999,14 @@ LabelError = Fout
 
 LabelEurostatRegion = Regio
 
+LabelExcessReturnBaselineDataSeries = Overtollig rendement (Baseline)
+
+LabelExcessReturnOperator = Berekening
+
+LabelExcessReturnOperatorAlpha = Alpha
+
+LabelExcessReturnOperatorRelative = Relatief
+
 LabelExchange = Effectenbeurs
 
 LabelExchangeRate = Wisselkoers

diff --git a/....abuchen.portfolio.ui/src/name/abuchen/portfolio/ui/views/dashboard/DataSeriesConfig.java b/....abuchen.portfolio.ui/src/name/abuchen/portfolio/ui/views/dashboard/DataSeriesConfig.java
@@ -19,18 +19,28 @@ public class DataSeriesConfig implements WidgetConfig
 {
     private final WidgetDelegate<?> delegate;
     private final boolean supportsBenchmarks;
+    private final String label;
+    private final Dashboard.Config configurationKey;
 
     private DataSeries dataSeries;
 
     public DataSeriesConfig(WidgetDelegate<?> delegate, boolean supportsBenchmarks)
+    {
+        this(delegate, supportsBenchmarks, false, Messages.LabelDataSeries, Dashboard.Config.DATA_SERIES);
+    }
+
+    protected DataSeriesConfig(WidgetDelegate<?> delegate, boolean supportsBenchmarks, boolean supportsEmptyDataSeries,
+                    String label, Dashboard.Config configurationKey)
     {
         this.delegate = delegate;
         this.supportsBenchmarks = supportsBenchmarks;
+        this.label = label;
+        this.configurationKey = configurationKey;
 
-        String uuid = delegate.getWidget().getConfiguration().get(Dashboard.Config.DATA_SERIES.name());
+        String uuid = delegate.getWidget().getConfiguration().get(configurationKey.name());
         if (uuid != null && !uuid.isEmpty())
             dataSeries = delegate.getDashboardData().getDataSeriesSet().lookup(uuid);
-        if (dataSeries == null)
+        if (dataSeries == null && !supportsEmptyDataSeries)
             dataSeries = delegate.getDashboardData().getDataSeriesSet().getAvailableSeries().stream()
                             .filter(ds -> ds.getType().equals(DataSeries.Type.CLIENT)).findAny()
                             .orElseThrow(IllegalArgumentException::new);
@@ -44,10 +54,12 @@ public DataSeries getDataSeries()
     @Override
     public void menuAboutToShow(IMenuManager manager)
     {
-        manager.appendToGroup(DashboardView.INFO_MENU_GROUP_NAME, new LabelOnly(dataSeries.getLabel()));
+        manager.appendToGroup(DashboardView.INFO_MENU_GROUP_NAME, new LabelOnly(getLabel()));
 
-        MenuManager subMenu = new MenuManager(Messages.LabelDataSeries);
-        subMenu.add(new LabelOnly(dataSeries.getLabel()));
+        // use configurationKey as contribution id to allow other context menus
+        // to attach to this menu manager later
+        MenuManager subMenu = new MenuManager(label, configurationKey.name());
+        subMenu.add(new LabelOnly(dataSeries != null ? dataSeries.getLabel() : "-")); //$NON-NLS-1$
         subMenu.add(new Separator());
         subMenu.add(new SimpleAction(Messages.MenuSelectDataSeries, a -> doAddSeries(false)));
 
@@ -66,20 +78,20 @@ private void doAddSeries(boolean showOnlyBenchmark)
         dialog.setElements(list);
         dialog.setMultiSelection(false);
 
-        if (dialog.open() != DataSeriesSelectionDialog.OK)
+        if (dialog.open() != DataSeriesSelectionDialog.OK) // NOSONAR
             return;
 
         List<DataSeries> result = dialog.getResult();
         if (result.isEmpty())
             return;
 
         dataSeries = result.get(0);
-        delegate.getWidget().getConfiguration().put(Dashboard.Config.DATA_SERIES.name(), dataSeries.getUUID());
+        delegate.getWidget().getConfiguration().put(configurationKey.name(), dataSeries.getUUID());
 
         // construct label to indicate the data series (user can manually change
         // the label later)
-        String label = WidgetFactory.valueOf(delegate.getWidget().getType()).getLabel() + ", " + dataSeries.getLabel(); //$NON-NLS-1$
-        delegate.getWidget().setLabel(label);
+        delegate.getWidget().setLabel(WidgetFactory.valueOf(delegate.getWidget().getType()).getLabel() + ", " //$NON-NLS-1$
+                        + dataSeries.getLabel());
 
         delegate.update();
         delegate.getClient().touch();
@@ -88,6 +100,6 @@ private void doAddSeries(boolean showOnlyBenchmark)
     @Override
     public String getLabel()
     {
-        return Messages.LabelDataSeries + ": " + dataSeries.getLabel(); //$NON-NLS-1$
+        return label + ": " + (dataSeries != null ? dataSeries.getLabel() : "-"); //$NON-NLS-1$ //$NON-NLS-2$
     }
 }
diff --git a/name.abuchen.portfolio.ui/src/name/abuchen/portfolio/ui/views/dashboard/EnumBasedConfig.java b/name.abuchen.portfolio.ui/src/name/abuchen/portfolio/ui/views/dashboard/EnumBasedConfig.java
@@ -7,6 +7,7 @@
 import org.eclipse.jface.action.Action;
 import org.eclipse.jface.action.IMenuManager;
 import org.eclipse.jface.action.MenuManager;
+import org.eclipse.jface.action.Separator;
 
 import name.abuchen.portfolio.model.Dashboard;
 import name.abuchen.portfolio.ui.PortfolioPlugin;
@@ -25,17 +26,31 @@ public enum Policy
     private final String label;
     private final Class<E> type;
 
+    /**
+     * If not null, display the context menu at this path (and not at the top
+     * level of the widget configuration menu).
+     */
+    private final String pathToMenu;
+
     private EnumSet<E> values;
 
     public EnumBasedConfig(WidgetDelegate<?> delegate, String label, Class<E> type, Dashboard.Config configurationKey,
                     Policy policy)
+    {
+        this(delegate, label, type, configurationKey, policy, null);
+    }
+
+    public EnumBasedConfig(WidgetDelegate<?> delegate, String label, Class<E> type, Dashboard.Config configurationKey,
+                    Policy policy, String pathToMenu)
     {
         this.delegate = delegate;
         this.configurationKey = configurationKey;
         this.label = label;
         this.type = type;
         this.policy = policy;
 
+        this.pathToMenu = pathToMenu;
+
         this.values = EnumSet.noneOf(type);
 
         String code = delegate.getWidget().getConfiguration().get(configurationKey.name());
@@ -62,10 +77,19 @@ public EnumBasedConfig(WidgetDelegate<?> delegate, String label, Class<E> type,
     public void menuAboutToShow(IMenuManager manager)
     {
         MenuManager subMenu = new MenuManager(label);
-        manager.add(subMenu);
-
         for (E v : type.getEnumConstants())
             subMenu.add(buildAction(v));
+
+        if (pathToMenu != null)
+        {
+            IMenuManager alternative = manager.findMenuUsingPath(pathToMenu);
+            alternative.add(new Separator());
+            alternative.add(subMenu);
+        }
+        else
+        {
+            manager.add(subMenu);
+        }
     }
 
     private Action buildAction(E value)

diff --git a/...i/src/name/abuchen/portfolio/ui/views/dashboard/heatmap/ExcessReturnDataSeriesConfig.java b/...i/src/name/abuchen/portfolio/ui/views/dashboard/heatmap/ExcessReturnDataSeriesConfig.java
@@ -0,0 +1,15 @@
+package name.abuchen.portfolio.ui.views.dashboard.heatmap;
+
+import name.abuchen.portfolio.model.Dashboard;
+import name.abuchen.portfolio.ui.Messages;
+import name.abuchen.portfolio.ui.views.dashboard.DataSeriesConfig;
+import name.abuchen.portfolio.ui.views.dashboard.WidgetDelegate;
+
+public class ExcessReturnDataSeriesConfig extends DataSeriesConfig
+{
+    public ExcessReturnDataSeriesConfig(WidgetDelegate<?> delegate)
+    {
+        super(delegate, true, true, Messages.LabelExcessReturnBaselineDataSeries, Dashboard.Config.SECONDARY_DATA_SERIES);
+    }
+
+}
diff --git a/...tfolio.ui/src/name/abuchen/portfolio/ui/views/dashboard/heatmap/ExcessReturnOperator.java b/...tfolio.ui/src/name/abuchen/portfolio/ui/views/dashboard/heatmap/ExcessReturnOperator.java
@@ -0,0 +1,31 @@
+package name.abuchen.portfolio.ui.views.dashboard.heatmap;
+
+import java.util.function.DoubleBinaryOperator;
+
+import name.abuchen.portfolio.ui.Messages;
+
+public enum ExcessReturnOperator
+{
+    ALPHA(Messages.LabelExcessReturnOperatorAlpha, (x, y) -> x - y), //
+    RELATIVE(Messages.LabelExcessReturnOperatorRelative, (x, y) -> ((x + 1) / (y + 1)) - 1);
+
+    private String label;
+    private DoubleBinaryOperator operator;
+
+    private ExcessReturnOperator(String label, DoubleBinaryOperator operator)
+    {
+        this.label = label;
+        this.operator = operator;
+    }
+
+    public DoubleBinaryOperator getOperator()
+    {
+        return operator;
+    }
+
+    @Override
+    public String toString()
+    {
+        return label;
+    }
+}
diff --git a/....ui/src/name/abuchen/portfolio/ui/views/dashboard/heatmap/ExcessReturnOperatorConfig.java b/....ui/src/name/abuchen/portfolio/ui/views/dashboard/heatmap/ExcessReturnOperatorConfig.java
@@ -0,0 +1,16 @@
+package name.abuchen.portfolio.ui.views.dashboard.heatmap;
+
+import name.abuchen.portfolio.model.Dashboard;
+import name.abuchen.portfolio.ui.Messages;
+import name.abuchen.portfolio.ui.views.dashboard.EnumBasedConfig;
+import name.abuchen.portfolio.ui.views.dashboard.WidgetDelegate;
+
+class ExcessReturnOperatorConfig extends EnumBasedConfig<ExcessReturnOperator>
+{
+    public ExcessReturnOperatorConfig(WidgetDelegate<?> delegate)
+    {
+        super(delegate, Messages.LabelExcessReturnOperator, ExcessReturnOperator.class,
+                        Dashboard.Config.CALCULATION_METHOD, Policy.EXACTLY_ONE,
+                        Dashboard.Config.SECONDARY_DATA_SERIES.name());
+    }
+}
diff --git a/...io.ui/src/name/abuchen/portfolio/ui/views/dashboard/heatmap/PerformanceHeatmapWidget.java b/...io.ui/src/name/abuchen/portfolio/ui/views/dashboard/heatmap/PerformanceHeatmapWidget.java
@@ -3,6 +3,8 @@
 import java.time.LocalDate;
 import java.time.Year;
 import java.util.Arrays;
+import java.util.function.DoubleBinaryOperator;
+import java.util.function.ToDoubleFunction;
 
 import name.abuchen.portfolio.model.Dashboard.Widget;
 import name.abuchen.portfolio.money.Values;
@@ -23,30 +25,46 @@ public PerformanceHeatmapWidget(Widget widget, DashboardData data)
         addConfig(new ColorSchemaConfig(this));
         addConfig(new HeatmapOrnamentConfig(this));
         addConfig(new DataSeriesConfig(this, true));
+        addConfig(new ExcessReturnDataSeriesConfig(this));
+        addConfig(new ExcessReturnOperatorConfig(this));
     }
 
     @Override
     protected HeatmapModel<Double> build()
     {
         int numDashboardColumns = getDashboardData().getDashboard().getColumns().size();
 
-        // fill the table lines according to the supplied period
-        // calculate the performance with a temporary reporting period
-        // calculate the color interpolated between red and green with yellow as
-        // the median
         Interval interval = get(ReportingPeriodConfig.class).getReportingPeriod().toInterval(LocalDate.now());
 
-        DataSeries dataSeries = get(DataSeriesConfig.class).getDataSeries();
-
         // adapt interval to include the first and last month fully
 
         Interval calcInterval = Interval.of(
                         interval.getStart().getDayOfMonth() == interval.getStart().lengthOfMonth() ? interval.getStart()
                                         : interval.getStart().withDayOfMonth(1).minusDays(1),
                         interval.getEnd().withDayOfMonth(interval.getEnd().lengthOfMonth()));
 
+        DataSeries dataSeries = get(DataSeriesConfig.class).getDataSeries();
         PerformanceIndex performanceIndex = getDashboardData().calculate(dataSeries, calcInterval);
 
+        // build functions to calculate performance and sum values
+
+        ToDoubleFunction<LocalDate> calculatePerformance = month -> getPerformanceFor(performanceIndex, month);
+        ToDoubleFunction<LocalDate> calculateSum = year -> getSumPerformance(performanceIndex, year);
+
+        DataSeries benchmark = get(ExcessReturnDataSeriesConfig.class).getDataSeries();
+        if (benchmark != null)
+        {
+            PerformanceIndex benchmarkIndex = getDashboardData().calculate(benchmark, calcInterval);
+
+            DoubleBinaryOperator operator = get(ExcessReturnOperatorConfig.class).getValue().getOperator();
+            calculatePerformance = month -> operator.applyAsDouble( //
+                            getPerformanceFor(performanceIndex, month), getPerformanceFor(benchmarkIndex, month));
+            calculateSum = year -> operator.applyAsDouble( //
+                            getSumPerformance(performanceIndex, year), getSumPerformance(benchmarkIndex, year));
+        }
+
+        // build heat map model for actual interval
+
         Interval actualInterval = performanceIndex.getActualInterval();
 
         boolean showSum = get(HeatmapOrnamentConfig.class).getValues().contains(HeatmapOrnament.SUM);
@@ -58,8 +76,11 @@ protected HeatmapModel<Double> build()
         model.setCellToolTip(v -> Messages.PerformanceHeatmapToolTip);
 
         // add header
+
         addMonthlyHeader(model, numDashboardColumns, showSum, showStandardDeviation);
 
+        // build row for each year
+
         for (Year year : actualInterval.getYears())
         {
             String label = numDashboardColumns > 2 ? String.valueOf(year.getValue() % 100) : String.valueOf(year);
@@ -70,14 +91,14 @@ protected HeatmapModel<Double> build()
                             .getValue(); month = month.plusMonths(1))
             {
                 if (actualInterval.contains(month))
-                    row.addData(getPerformanceFor(performanceIndex, month));
+                    row.addData(calculatePerformance.applyAsDouble(month));
                 else
                     row.addData(null);
             }
 
             // sum
             if (showSum)
-                row.addData(getSumPerformance(performanceIndex, LocalDate.of(year.getValue(), 1, 1)));
+                row.addData(calculateSum.applyAsDouble(LocalDate.of(year.getValue(), 1, 1)));
 
             if (showStandardDeviation)
                 row.addData(standardDeviation(row.getDataSubList(0, 12)));
@@ -98,12 +119,12 @@ protected HeatmapModel<Double> build()
         return model;
     }
 
-    private Double getPerformanceFor(PerformanceIndex index, LocalDate month)
+    private double getPerformanceFor(PerformanceIndex index, LocalDate month)
     {
         int start = Arrays.binarySearch(index.getDates(), month.minusDays(1));
         // should not happen, but let's be defensive this time
         if (start < 0)
-            return null;
+            start = 0;
 
         int end = Arrays.binarySearch(index.getDates(), month.withDayOfMonth(month.lengthOfMonth()));
         // make sure there is an end index if the binary search returns a
@@ -117,7 +138,7 @@ private Double getPerformanceFor(PerformanceIndex index, LocalDate month)
         return ((index.getAccumulatedPercentage()[end] + 1) / (index.getAccumulatedPercentage()[start] + 1)) - 1;
     }
 
-    private Double getSumPerformance(PerformanceIndex index, LocalDate year)
+    private double getSumPerformance(PerformanceIndex index, LocalDate year)
     {
         int start = Arrays.binarySearch(index.getDates(), year.minusDays(1));
         if (start < 0)