6 files changed, 79 insertions(+), 21 deletions(-)

M ChangeLog
M DESCRIPTION
M NEWS
M R/unit_prices.R
M inst/tinytest/test_unit_prices.R
M man/unit_prices.Rd

@@ 1,3 1,8 @@
+2024-07-28  Enrico Schumann  <es@enricoschumann.net>
+
+        * R/unit_prices.R (unit_prices): add arguments
+	'round.price' and 'round.units'
+
 2024-07-24  Enrico Schumann  <es@enricoschumann.net>
 
         * R/unit_prices.R (unit_prices): refactor function

@@ 2,7 2,7 @@ Package: PMwR
 Type: Package
 Title: Portfolio Management with R
 Version: 0.19-6
-Date: 2024-07-24
+Date: 2024-07-28
 Maintainer: Enrico Schumann <es@enricoschumann.net>
 Authors@R: person(given = "Enrico", family = "Schumann",
                   role  = c("aut", "cre"),

@@ 1,12 1,13 @@
-v0.19-6  (2024-07-24; not released yet)
+v0.19-6  (2024-07-28; not released yet)
 
   o 'unit_prices': rename argument 'initial.shares' to
-    'initial.units', and support its use
+    'initial.units', and support its use. The function also
+    gains arguments 'round.price' and 'round.units'.
 
   o 'returns' now issues a warning when there are NAs in
     series and argument 'na.rm' is not explicitly set.  This
     warning will be removed when the default of 'na.rm' is
-    set to TRUE in a not-too-distant future version.
+    set to FALSE in a not-too-distant future version.
 
   o ....
 

@@ 4,7 4,9 @@
 unit_prices <- function(NAV, cashflows,
                         initial.price,
                         initial.units = 0,
-                        cf.included = TRUE) {
+                        cf.included = TRUE,
+                        round.price = NULL,
+                        round.units = NULL) {
 
     if (inherits(NAV, "zoo"))
         NAV <- data.frame(timestamp = index(NAV), NAV)


@@ 22,7 24,7 @@ unit_prices <- function(NAV, cashflows,
 
     T <- sort(unique(cashflows[[1L]]))
     price <- numeric(length(T))
-    shares <- numeric(nrow(cashflows)) + NA
+    units <- numeric(nrow(cashflows)) + NA
     S <- initial.units
 
     t.NAV <- match(T, NAV[[1]])


@@ 31,6 33,25 @@ unit_prices <- function(NAV, cashflows,
              paste(cashflows[[1]][is.na(t.NAV)], collapse = ", "))
     }
 
+
+
+    ## rounding
+    do.round.price <- !is.null(round.price)
+    if (is.numeric(round.price)) {
+        fun_price <- function(x, amount = NULL, ...)
+            round(x, round.price)
+    } else
+        fun_price <- round.price
+
+    ## rounding
+    do.round.units <- !is.null(round.units)
+    if (is.numeric(round.units)) {
+        fun_units <- function(x, amount = NULL, ...)
+            round(x, round.units)
+    } else
+        fun_units <- round.units
+
+
     if (missing(initial.price) && initial.units == 0)
         initial.price <- 100
 


@@ 38,32 59,35 @@ unit_prices <- function(NAV, cashflows,
         cf.t <- cashflows[[1L]] == t
         scf <- sum(cashflows[[2]][cf.t])
         if (t == T[1L] && initial.units == 0)
-            ## FIXME if NAV.t[1] != cf.t[1] , should
-            ## the initial unit-price be adjusted to
-            ## reflect the performance of the NAV?
             p <- initial.price
         else
             p <- (NAV[[2L]][t.NAV[t == T]] - cf.included*scf)/S
 
+        if (do.round.price)
+            p  <- fun_price(p,  cashflows[[2]][cf.t])
+
         dS <- cashflows[[2]][cf.t]/p
-        shares[cf.t] <- dS
+        if (do.round.units)
+            dS <- fun_units(dS, cashflows[[2]][cf.t])
+
+        units[cf.t] <- dS
         price[t == T] <- p
 
         S <- S + sum(dS)
     }
 
-    total.shares <- numeric(nrow(NAV))
-    total.shares[t.NAV] <- tapply(shares, cashflows[[1L]], sum)
-    total.shares[1L] <- total.shares[1L] + initial.units
-    total.shares <- cumsum(total.shares)
+    total.units <- numeric(nrow(NAV))
+    total.units[t.NAV] <- tapply(units, cashflows[[1L]], sum)
+    total.units[1L] <- total.units[1L] + initial.units
+    total.units <- cumsum(total.units)
 
     res <- NAV
     colnames(res) <- c("timestamp", "NAV")
-    p <- NAV[[2L]]/total.shares
+    p <- NAV[[2L]]/total.units
     p[t.NAV] <- price
     res <- cbind(res,
                  data.frame(price = p,
-                            units = total.shares,
+                            units = total.units,
                             stringsAsFactors = FALSE))
 
     colnames(cashflows) <- if (ncol(cashflows) == 3L)


@@ 71,6 95,6 @@ unit_prices <- function(NAV, cashflows,
                            else
                                c("timestamp", "cashflow")
     attr(res, "transactions") <- cbind(cashflows,
-                                       units = shares)
+                                       units = units)
     res
 }

@@ 166,3 166,21 @@ res <- unit_prices(NAV,
 attr(res, "transactions")
 expect_equivalent(res$price, c(20, 20, 202/200*20))
 expect_equivalent(res$units, c(9, 10, 10))
+
+## -- rounding
+
+NAV <- data.frame(timestamp = 1,
+                  NAV = 150)
+cf <- data.frame(timestamp = 1, amount = 55)
+res <- unit_prices(NAV = NAV, cashflows = cf,
+                   initial.units = 100)
+attr(res, "transactions")
+
+res.r <- unit_prices(NAV = NAV, cashflows = cf,
+                     initial.units = 100,
+                     round.units = 4)
+attr(res.r, "transactions")
+new.units <- 55/(95/100)
+expect_equivalent(res.r$units, round(100+new.units, 4))
+expect_equivalent(attr(res.r, "transactions")$units, round(new.units, 4))
+expect_equivalent(attr(res  , "transactions")$units,       new.units)

@@ 8,10 8,10 @@
   (units).
 }
 \usage{
-unit_prices(NAV,
-            cashflows,
+unit_prices(NAV, cashflows,
             initial.price, initial.units = 0,
-            cf.included = TRUE)
+            cf.included = TRUE,
+            round.price = NULL, round.units = NULL)
 }
 \arguments{
   \item{NAV}{%


@@ 39,6 39,14 @@ unit_prices(NAV,
     default), it is assumed that the NAV series at the time
     of the cashflow already includes the cashflow.
   }
+  \item{round.price}{%
+    round unit prices: \code{NULL} (no rounding) or an
+    integer
+  }
+  \item{round.units}{%
+    round number of units: \code{NULL} (no rounding) or an
+    integer
+  }
 }
 \details{%
 


@@ 47,7 55,9 @@ unit_prices(NAV,
 
   The function may be used to compute the returns for a
   portfolio with external cashflows, i.e. what is usually
-  called time-weighted returns.
+  called time-weighted returns.  Note that 'cashflows' can
+  also comprise other positions that are added or removed
+  from the portfolio without affecting performance. 
 
 }
 \value{%