| author | Christian Urban <urbanc@in.tum.de> | 
| Sat, 15 Dec 2018 13:46:54 +0000 | |
| changeset 247 | 87047208d5f4 | 
| parent 140 | aac534649b27 | 
| permissions | -rw-r--r-- | 
| 129 | 1 | // Advanvced Part 3 about a really dumb investment strategy | 
| 2 | //========================================================== | |
| 3 | ||
| 4 | object CW6c {
 | |
| 5 | ||
| 18 | 6 | |
| 7 | //two test portfolios | |
| 8 | ||
| 129 | 9 | val blchip_portfolio = List("GOOG", "AAPL", "MSFT", "IBM", "FB", "AMZN", "BIDU")
 | 
| 10 | val rstate_portfolio = List("PLD", "PSA", "AMT", "AIV", "AVB", "BXP", "CCI", 
 | |
| 18 | 11 | "DLR", "EQIX", "EQR", "ESS", "EXR", "FRT", "GGP", "HCP") | 
| 12 | ||
| 13 | import io.Source | |
| 14 | import scala.util._ | |
| 15 | ||
| 129 | 16 | def get_january_data(symbol: String, year: Int) : List[String] = | 
| 17 |   Source.fromFile(symbol ++ ".csv")("ISO-8859-1").getLines.toList.filter(_.startsWith(year.toString))
 | |
| 18 | ||
| 19 | ||
| 20 | def get_first_price(symbol: String, year: Int) : Option[Double] = {
 | |
| 21 | val data = Try(Some(get_january_data(symbol, year).head)) getOrElse None | |
| 22 |   data.map(_.split(",").toList(1).toDouble)
 | |
| 18 | 23 | } | 
| 24 | ||
| 129 | 25 | get_first_price("GOOG", 1980)
 | 
| 26 | get_first_price("GOOG", 2010)
 | |
| 27 | get_first_price("FB", 2014)
 | |
| 18 | 28 | |
| 26 | 29 | |
| 18 | 30 | def get_prices(portfolio: List[String], years: Range): List[List[Option[Double]]] = | 
| 31 | for (year <- years.toList) yield | |
| 32 | for (symbol <- portfolio) yield get_first_price(symbol, year) | |
| 33 | ||
| 26 | 34 | |
| 35 | // test case | |
| 62 | 36 | val p_fb = get_prices(List("FB"), 2012 to 2014)
 | 
| 129 | 37 | val p = get_prices(List("GOOG", "AAPL"), 2010 to 2012)
 | 
| 18 | 38 | |
| 131 | 39 | val tt = get_prices(List("BIDU"), 2004 to 2008)
 | 
| 18 | 40 | |
| 26 | 41 | |
| 129 | 42 | def get_delta(price_old: Option[Double], price_new: Option[Double]) : Option[Double] = {
 | 
| 18 | 43 |   (price_old, price_new) match {
 | 
| 44 | case (Some(x), Some(y)) => Some((y - x) / x) | |
| 45 | case _ => None | |
| 46 | } | |
| 47 | } | |
| 48 | ||
| 49 | def get_deltas(data: List[List[Option[Double]]]): List[List[Option[Double]]] = | |
| 50 | for (i <- (0 until (data.length - 1)).toList) yield | |
| 51 | for (j <- (0 until (data(0).length)).toList) yield get_delta(data(i)(j), data(i + 1)(j)) | |
| 52 | ||
| 26 | 53 | |
| 54 | // test case using the prices calculated above | |
| 52 
7a4fe3f6b188
updated
 Christian Urban <christian dot urban at kcl dot ac dot uk> parents: 
39diff
changeset | 55 | val d = get_deltas(p) | 
| 82 | 56 | val ttd = get_deltas(tt) | 
| 26 | 57 | |
| 58 | ||
| 18 | 59 | def yearly_yield(data: List[List[Option[Double]]], balance: Long, year: Int): Long = {
 | 
| 60 | val somes = data(year).flatten | |
| 61 | val somes_length = somes.length | |
| 62 | if (somes_length == 0) balance | |
| 63 |   else {
 | |
| 62 | 64 | val portion: Double = balance.toDouble / somes_length.toDouble | 
| 18 | 65 | balance + (for (x <- somes) yield (x * portion)).sum.toLong | 
| 66 | } | |
| 67 | } | |
| 68 | ||
| 69 | def compound_yield(data: List[List[Option[Double]]], balance: Long, year: Int): Long = {
 | |
| 70 |   if (year >= data.length) balance else {
 | |
| 71 | val new_balance = yearly_yield(data, balance, year) | |
| 72 | compound_yield(data, new_balance, year + 1) | |
| 73 | } | |
| 74 | } | |
| 75 | ||
| 76 | def investment(portfolio: List[String], years: Range, start_balance: Long): Long = {
 | |
| 77 | compound_yield(get_deltas(get_prices(portfolio, years)), start_balance, 0) | |
| 78 | } | |
| 79 | ||
| 131 | 80 | |
| 18 | 81 | |
| 26 | 82 | //test cases for the two portfolios given above | 
| 83 | ||
| 140 | 84 | println("Real data: " + investment(rstate_portfolio, 1978 to 2017, 100))
 | 
| 85 | println("Blue data: " + investment(blchip_portfolio, 1978 to 2017, 100))
 | |
| 18 | 86 | |
| 82 | 87 | |
| 129 | 88 | } |