1 // Advanvced Part 3 about a really dumb investment strategy |
1 // Advanced Part 3 about a really dumb investment strategy |
2 //========================================================== |
2 //========================================================== |
3 |
3 |
4 object CW6c { |
4 object CW6c { |
5 |
5 |
6 |
6 |
7 //two test portfolios |
7 //two test portfolios |
8 |
8 |
9 val blchip_portfolio = List("GOOG", "AAPL", "MSFT", "IBM", "FB", "AMZN", "BIDU") |
9 val blchip_portfolio = List("GOOG", "AAPL", "MSFT", "IBM", "FB", "AMZN", "BIDU") |
10 val rstate_portfolio = List("PLD", "PSA", "AMT", "AIV", "AVB", "BXP", "CCI", |
10 val rstate_portfolio = List("PLD", "PSA", "AMT", "AIV", "AVB", "BXP", "CCI","DLR", "EQIX", "EQR", "ESS", "EXR", "FRT", "GGP", "HCP") |
11 "DLR", "EQIX", "EQR", "ESS", "EXR", "FRT", "GGP", "HCP") |
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12 |
11 |
13 // (1) The function below should obtain the first trading price |
12 // (1.a) The function below takes a stock symbol and a year as arguments. |
14 // for a stock symbol by using the query |
13 // It should read the corresponding CSV-file and read the January |
15 // |
14 // data from the given year. The data should be collected in a list of |
16 // http://ichart.yahoo.com/table.csv?s=<<symbol>>&a=0&b=1&c=<<year>>&d=1&e=1&f=<<year>> |
15 // strings for each line in the CSV-file. |
17 // |
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18 // and extracting the first January Adjusted Close price in a year. |
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19 |
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20 |
16 |
21 import io.Source |
17 import io.Source |
22 import scala.util._ |
18 import scala.util._ |
23 |
19 |
24 def get_january_data(symbol: String, year: Int) : List[String] = |
20 def get_january_data(symbol: String, year: Int) : List[String] = { |
25 Source.fromFile(symbol ++ ".csv")("ISO-8859-1").getLines.toList.filter(_.startsWith(year.toString)) |
21 val file = symbol + ".csv" |
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22 val list = scala.io.Source.fromFile(file).mkString.split("\n").toList |
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23 val rx = (year.toString + ".*") |
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24 (for(n <- 1 to list.length -1 if(list(n) matches rx)) yield list(n)).toList |
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25 } |
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26 |
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27 |
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28 // (1.b) From the output of the get_january_data function, the next function |
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29 // should extract the first line (if it exists) and the corresponding |
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30 // first trading price in that year as Option[Double]. If no line is |
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31 // generated by get_january_data then the result is None |
26 |
32 |
27 |
33 |
28 def get_first_price(symbol: String, year: Int) : Option[Double] = { |
34 def get_first_price(symbol: String, year: Int) : Option[Double] = { |
29 val data = Try(Some(get_january_data(symbol, year).head)) getOrElse None |
35 val first_line = get_january_data(symbol, year) |
30 data.map(_.split(",").toList(1).toDouble) |
36 |
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37 if(first_line.length == 0 ){ |
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38 None |
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39 } else { |
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40 Option((first_line(0).split(",")(1)).toDouble) |
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41 } |
31 } |
42 } |
32 |
43 |
33 get_first_price("GOOG", 1980) |
44 |
34 get_first_price("GOOG", 2010) |
45 // (1.c) Complete the function below that obtains all first prices |
35 get_first_price("FB", 2014) |
46 // for the stock symbols from a portfolio (list of strings) and |
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47 // for the given range of years. The inner lists are for the |
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48 // stock symbols and the outer list for the years. |
36 |
49 |
37 |
50 |
38 // Complete the function below that obtains all first prices |
51 def get_prices(portfolio: List[String], years: Range) : List[List[Option[Double]]] ={ |
39 // for the stock symbols from a portfolio for the given |
52 (for(y <- years) yield (for(n <- 0 to portfolio.length-1) yield get_first_price(portfolio(n), y)).toList).toList |
40 // range of years |
53 } |
41 |
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42 def get_prices(portfolio: List[String], years: Range): List[List[Option[Double]]] = |
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43 for (year <- years.toList) yield |
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44 for (symbol <- portfolio) yield get_first_price(symbol, year) |
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45 |
54 |
46 |
55 |
47 // test case |
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48 val p_fb = get_prices(List("FB"), 2012 to 2014) |
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49 val p = get_prices(List("GOOG", "AAPL"), 2010 to 2012) |
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50 |
56 |
51 val tt = get_prices(List("BIDU"), 2004 to 2008) |
57 // (2) The first function below calculates the change factor (dta) between |
52 |
58 // a price in year n and a price in year n + 1. The second function calculates |
53 // (2) The first function below calculates the change factor (delta) between |
59 // all change factors for all prices (from a portfolio). The input to this |
54 // a price in year n and a price in year n+1. The second function calculates |
60 // function are the nested lists created by get_prices above. |
55 // all change factors for all prices (from a portfolio). |
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56 |
61 |
57 def get_delta(price_old: Option[Double], price_new: Option[Double]) : Option[Double] = { |
62 def get_delta(price_old: Option[Double], price_new: Option[Double]) : Option[Double] = { |
58 (price_old, price_new) match { |
63 for( x <- price_old; y <- price_new) yield (y-x)/x |
59 case (Some(x), Some(y)) => Some((y - x) / x) |
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60 case _ => None |
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61 } |
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62 } |
64 } |
63 |
65 |
64 def get_deltas(data: List[List[Option[Double]]]): List[List[Option[Double]]] = |
66 def get_deltas(data: List[List[Option[Double]]]) : List[List[Option[Double]]] = { |
65 for (i <- (0 until (data.length - 1)).toList) yield |
67 (for( n <- 1 to data.length-1) yield (for(i <- 0 to data(n).length-1) yield get_delta(data(n-1)(i), data(n)(i))).toList).toList |
66 for (j <- (0 until (data(0).length)).toList) yield get_delta(data(i)(j), data(i + 1)(j)) |
68 } |
67 |
69 |
68 |
70 |
69 // test case using the prices calculated above |
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70 val d = get_deltas(p) |
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71 val ttd = get_deltas(tt) |
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72 |
71 |
73 // (3) Write a function that given change factors, a starting balance and a year |
72 // (3) Write a function that given change factors, a starting balance and a year |
74 // calculates the yearly yield, i.e. new balanace, according to our dump investment |
73 // calculates the yearly yield, i.e. new balance, according to our dump investment |
75 // strategy. Another function calculates given the same data calculates the |
74 // strategy. Another function calculates given the same data calculates the |
76 // compound yield up to a given year. Finally a function combines all |
75 // compound yield up to a given year. Finally a function combines all |
77 // calculations by taking a portfolio, a range of years and a start balance |
76 // calculations by taking a portfolio, a range of years and a start balance |
78 // as arguments. |
77 // as arguments. |
79 |
78 |
80 |
79 |
81 def yearly_yield(data: List[List[Option[Double]]], balance: Long, year: Int): Long = { |
80 def yearly_yield(data: List[List[Option[Double]]], balance: Long, year: Int) : Long = { |
82 val somes = data(year).flatten |
81 val increments = (for(n <- 0 to data(year).length-1 if(!(data(year)(n) == None))) yield (data(year)(n).getOrElse(0.0))).toList |
83 val somes_length = somes.length |
82 val sumi = (increments.sum).toDouble |
84 if (somes_length == 0) balance |
83 if(increments.length == 0){ |
85 else { |
84 balance |
86 val portion: Double = balance.toDouble / somes_length.toDouble |
85 }else{ |
87 balance + (for (x <- somes) yield (x * portion)).sum.toLong |
86 val il = (increments.length).toDouble |
88 } |
87 val averag = sumi/il |
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88 val i = (balance + (balance*averag)) |
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89 i.toLong |
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90 } |
89 } |
91 } |
90 |
92 |
91 def compound_yield(data: List[List[Option[Double]]], balance: Long, year: Int): Long = { |
93 def compound_yield(data: List[List[Option[Double]]], balance: Long, ye: Int) : Long = {//if(year == 0) yearly_yield(data, balance, 0) else compound_yield(data, yearly_yield(data, balance, year), year-1) |
92 if (year >= data.length) balance else { |
94 val increments_py = (for(year <- 0 to ye) yield { |
93 val new_balance = yearly_yield(data, balance, year) |
95 val increments = (for(n <- 0 to data(year).length-1 if(!(data(year)(n) == None))) yield (data(year)(n).getOrElse(0.0))).toList |
94 compound_yield(data, new_balance, year + 1) |
96 val sum_of = (increments.sum).toDouble |
95 } |
97 val number_of = (increments.length).toDouble |
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98 sum_of/number_of + 1.0 |
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99 }).toList |
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100 val mul_factor = increments_py.reduceLeft(_*_) |
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101 (balance*mul_factor).toLong |
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102 } |
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103 def investment(portfolio: List[String], years: Range, start_balance: Long) : Long = { |
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104 val p = get_prices(portfolio, years) |
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105 val d = get_deltas(p) |
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106 compound_yield(d, start_balance, d.length-1) |
96 } |
107 } |
97 |
108 |
98 //yearly_yield(d, 100, 0) |
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99 //compound_yield(d.take(6), 100, 0) |
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100 |
109 |
101 //test case |
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102 //yearly_yield(d, 100, 0) |
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103 //yearly_yield(d, 225, 1) |
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104 //yearly_yield(d, 246, 2) |
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105 //yearly_yield(d, 466, 3) |
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106 //yearly_yield(d, 218, 4) |
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107 |
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108 //yearly_yield(d, 100, 0) |
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109 //yearly_yield(d, 125, 1) |
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110 |
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111 def investment(portfolio: List[String], years: Range, start_balance: Long): Long = { |
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112 compound_yield(get_deltas(get_prices(portfolio, years)), start_balance, 0) |
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113 } |
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114 |
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115 val one = get_deltas(get_prices(rstate_portfolio, 1978 to 1984)) |
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116 val two = get_deltas(get_prices(blchip_portfolio, 1978 to 1984)) |
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117 |
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118 val one_full = get_deltas(get_prices(rstate_portfolio, 1978 to 2017)) |
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119 val two_full = get_deltas(get_prices(blchip_portfolio, 1978 to 2017)) |
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120 |
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121 one_full.map(_.flatten).map(_.sum).sum |
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122 two_full.map(_.flatten).map(_.sum).sum |
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123 |
110 |
124 //test cases for the two portfolios given above |
111 //test cases for the two portfolios given above |
125 |
112 |
126 //println("Real data: " + investment(rstate_portfolio, 1978 to 1981, 100)) |
113 investment(rstate_portfolio, 1978 to 2017, 100) |
127 //println("Blue data: " + investment(blchip_portfolio, 1978 to 1981, 100)) |
114 investment(blchip_portfolio, 1978 to 2017, 100) |
128 |
115 |
129 //for (i <- 1978 to 2017) { |
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130 // println("Year " + i) |
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131 // println("Real data: " + investment(rstate_portfolio, 1978 to i, 100)) |
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132 // println("Blue data: " + investment(blchip_portfolio, 1978 to i, 100)) |
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133 //} |
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134 |
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135 //1984 |
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136 //1992 |
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137 } |
116 } |