progs/drumb_sol.scala
author Christian Urban <christian.urban@kcl.ac.uk>
Wed, 02 Dec 2020 01:15:14 +0000
changeset 382 1bd800376e0c
parent 140 ecec79b9ab25
permissions -rw-r--r--
updated

// Advanvced Part 3 about a really dumb investment strategy
//==========================================================

object CW6c {


//two test portfolios

val blchip_portfolio = List("GOOG", "AAPL", "MSFT", "IBM", "FB", "AMZN", "BIDU")
val rstate_portfolio = List("PLD", "PSA", "AMT", "AIV", "AVB", "BXP", "CCI", 
                            "DLR", "EQIX", "EQR", "ESS", "EXR", "FRT", "GGP", "HCP") 

import io.Source
import scala.util._

def get_january_data(symbol: String, year: Int) : List[String] = 
  Source.fromFile(symbol ++ ".csv")("ISO-8859-1").getLines.toList.filter(_.startsWith(year.toString))


def get_first_price(symbol: String, year: Int) : Option[Double] = {
  val data = Try(Some(get_january_data(symbol, year).head)) getOrElse None 
  data.map(_.split(",").toList(1).toDouble)
}

get_first_price("GOOG", 1980)
get_first_price("GOOG", 2010)
get_first_price("FB", 2014)


def get_prices(portfolio: List[String], years: Range): List[List[Option[Double]]] = 
  for (year <- years.toList) yield
    for (symbol <- portfolio) yield get_first_price(symbol, year)


// test case
val p_fb = get_prices(List("FB"), 2012 to 2014)
val p = get_prices(List("GOOG", "AAPL"), 2010 to 2012)

val tt = get_prices(List("BIDU"), 2004 to 2008)


def get_delta(price_old: Option[Double], price_new: Option[Double]) : Option[Double] = {
  (price_old, price_new) match {
    case (Some(x), Some(y)) => Some((y - x) / x)
    case _ => None
  }
}

def get_deltas(data: List[List[Option[Double]]]):  List[List[Option[Double]]] =
  for (i <- (0 until (data.length - 1)).toList) yield 
    for (j <- (0 until (data(0).length)).toList) yield get_delta(data(i)(j), data(i + 1)(j))


// test case using the prices calculated above
val d = get_deltas(p)
val ttd = get_deltas(tt)


def yearly_yield(data: List[List[Option[Double]]], balance: Long, year: Int): Long = {
  val somes = data(year).flatten
  val somes_length = somes.length
  if (somes_length == 0) balance
  else {
    val portion: Double = balance.toDouble / somes_length.toDouble
    balance + (for (x <- somes) yield (x * portion)).sum.toLong
  }
}

def compound_yield(data: List[List[Option[Double]]], balance: Long, year: Int): Long = {
  if (year >= data.length) balance else {
    val new_balance = yearly_yield(data, balance, year)
    compound_yield(data, new_balance, year + 1)
  }
}

def investment(portfolio: List[String], years: Range, start_balance: Long): Long = {
  compound_yield(get_deltas(get_prices(portfolio, years)), start_balance, 0)
}



//test cases for the two portfolios given above

println("Real data: " + investment(rstate_portfolio, 1978 to 2017, 100))
println("Blue data: " + investment(blchip_portfolio, 1978 to 2017, 100))


}