portfolio.go

/*
	Portfolio Management V0.1
	Perform analysis of portfolios composed of different combinations
	of securities.
*/

package portfolio

// StockScenario defines a scenario for a set of securities and timeframe.
// Each stock is assigned a given percent of the portfolio. The stock is
// rebalanced at specific times. Currently rebalance is the 15th of the month
// but this may change in the future.
type StockScenario struct {
	StartDate string
	EndDate   string

	StartAmt float64
	EndAmt   float64

	GeomeanPctChg float64
	Variance      float64
	StdDev        float64
	SharpeRatio   float64

	PctChange  float64
	Stocks     []*Stock
	PctHolding []float64
	Results    []ScenarioResults
}

// Daily results of the portfolio value.
type ScenarioResults struct {
	Date         string
	Shares       []float64
	StockHistIdx []int
	Value        float64
	ChangeValue  float64
	PctChange    float64
}

// Stock information, ticker and history.
type Stock struct {
	Ticker  string
	History []StockHistory
}

// Stock history
type StockHistory struct {
	Date         string
	Close        float64
	Dividend     float64
	Distribution float64
}

const MaxDate = "4000-01-01"