fix: cash flow in last and first year must be adjusted to the length of period

Author: chilango74

main.py

@@ -30,20 +30,20 @@
     symbol="My_portfolio.PF",
 )
 pf.dcf.discount_rate = 0.09
-# # Percentage CF strategy
-# cf_strategy = ok.PercentageStrategy(pf)  # create PercentageStrategy linked to the portfolio
-#
-# cf_strategy.initial_investment = 83_000_000  # initial investments size
-# cf_strategy.frequency = "year"  # withdrawals frequency
-# cf_strategy.percentage = -0.40
+# Percentage CF strategy
+cf_strategy = ok.PercentageStrategy(pf)  # create PercentageStrategy linked to the portfolio
 
-# Indexation CF strategy
-cf_strategy = ok.IndexationStrategy(pf)
+cf_strategy.initial_investment = 83_000_000  # initial investments size
+cf_strategy.frequency = "year"  # withdrawals frequency
+cf_strategy.percentage = -0.09
 
-cf_strategy.initial_investment = 10_000_000
-cf_strategy.frequency = "year"
-cf_strategy.amount = 10_000_000 * 0.05
-cf_strategy.indexation = 0.09
+# # Indexation CF strategy
+# cf_strategy = ok.IndexationStrategy(pf)
+#
+# cf_strategy.initial_investment = 10_000_000
+# cf_strategy.frequency = "year"
+# cf_strategy.amount = 10_000_000 * 0.05
+# cf_strategy.indexation = 0.09
 
 # d = {
 #     "2015-06": -35_000_000,
@@ -78,11 +78,10 @@
     number=100
 )
 
-wi = pf.dcf.wealth_index(discounting="pv", include_negative_values=False)
-cf = pf.dcf.cash_flow_ts(discounting="pv", remove_if_wealth_index_negative=True)
-# wi = pf.dcf.monte_carlo_wealth(discounting="fv", include_negative_values=False)
-# cf = pf.dcf.monte_carlo_cash_flow(discounting="pv", remove_if_wealth_index_negative=True)
-# print(cf)
+# wi = pf.dcf.wealth_index(discounting="pv", include_negative_values=False)
+# cf = pf.dcf.cash_flow_ts(discounting="pv", remove_if_wealth_index_negative=True)
+wi = pf.dcf.monte_carlo_wealth(discounting="fv", include_negative_values=False)
+cf = pf.dcf.monte_carlo_cash_flow(discounting="pv", remove_if_wealth_index_negative=True)
 
 wi.plot(
     # kind="bar",
@@ -91,7 +90,7 @@
 plt.yscale('linear')  # linear or log
 plt.show()
 
-df = cf
+df = cf[0]
 df[df != 0].plot(
     kind="bar",
     legend=False

main_notebook.ipynb

@@ -81,9 +81,12 @@ def get_wealth_indexes_fv_with_cashflow(
     else:
     # Slow Calculation
         pandas_frequency = cashflow_parameters._pandas_frequency
+        months_in_full_period = settings._MONTHS_PER_YEAR / cashflow_parameters.periods_per_year
         wealth_df = pd.DataFrame(dtype=float, columns=[portfolio_symbol])
         for n, x in enumerate(ror_cashflow_df.resample(rule=pandas_frequency, convention="start")):
             ror_ts = x[1].iloc[:, portfolio_position]  # select ror part of the grouped data
+            months_local = ror_ts.shape[0]
+            period_fraction = months_local / months_in_full_period  # 1 for a full period
             cashflow_ts_local = x[1].loc[:, "cashflow_ts"].copy()
             # CashFlow inside period (Extra withdrawals/contributions)
             if (cashflow_ts_local != 0).any():
@@ -109,6 +112,7 @@ def get_wealth_indexes_fv_with_cashflow(
                 )
             else:
                 raise ValueError("Wrong cashflow_method value.")
+            cashflow_value *= period_fraction  # adjust cash flow to the period length (months)
             period_final_balance = period_wealth_index.iloc[-1] + cashflow_value
             period_wealth_index.iloc[-1] = period_final_balance
             period_initial_amount = period_final_balance
@@ -199,8 +203,11 @@ def get_cash_flow_fv(
     else:
         # Slow Calculation
         pandas_frequency = settings.frequency_mapping[cashflow_parameters.frequency]
+        months_in_full_period = settings._MONTHS_PER_YEAR / cashflow_parameters.periods_per_year
         for n, x in enumerate(ror_cashflow_df.resample(rule=pandas_frequency, convention="start")):
             ror_ts = x[1].iloc[:, portfolio_position]  # select ror part of the grouped data
+            months_local = ror_ts.shape[0]
+            period_fraction = months_local / months_in_full_period  # 1 for a full period
             cashflow_ts_local = x[1].loc[:, "cashflow_ts"].copy()
             # CashFlow inside period (Extra cash flow)
             if (cashflow_ts_local != 0).any():
@@ -226,6 +233,7 @@ def get_cash_flow_fv(
                 )
             else:
                 raise ValueError("Wrong cashflow_method value.")
+            cashflow_value *= period_fraction  # adjust cash flow to the period length (months)
             period_final_balance = period_wealth_index.iloc[-1] + cashflow_value
             period_wealth_index.iloc[-1] = period_final_balance
             period_initial_amount = period_final_balance