DolphinDB/modules/task_fundPerformance.dos

module fundit::task_fundPerformance

use fundit::fundCalculator
use fundit::dataPuller
use fundit::returnCalculator
use fundit::indicatorCalculator


/*
 *  通用收益计算
 * 
 * 
 */
def calEntityReturns(entityType, freq, entities) {

    ret = null;

    if(freq == 'm') { ret = fundit::returnCalculator::cal_entity_monthly_returns(entityType, entities); }

    return ret;

}



/*
 *   通用指标计算
 * 
 * 
 * 
 *   @return <DICT TABLE>: ['PBI-INCEP', 'PBI-YTD', 'PBI-6M', 'PBI-1Y', 'PBI-2Y', 'PBI-3Y', 'PBI-4Y', 'PBI-5Y', 'PBI-10Y', 'MS-3Y', 'MS-5Y', 'MS-10Y']
 * 
 */
def calIndicators(entityType, monthlyReturns) {

    if(find(['FD', 'PF'], entityType) < 0) return null;

    if(monthlyReturns.isVoid() || monthlyReturns.size() < 1) return null;

    oldest_date = EXEC price_date.min() FROM monthlyReturns;

    v_entity_ids = (SELECT DISTINCT entity_id FROM monthlyReturns).entity_id;
    
    entity_info = get_entity_info(entityType, v_entity_ids);
    
    if(entity_info.isVoid() || entity_info.size() == 0) { return null };
    
    if(monthlyReturns.isVoid() || monthlyReturns.size() == 0) { return null; }

    end_day = today();

    // 取基金和基准的对照表
    primary_benchmark = SELECT entity_id, end_date, iif(benchmark_id.isNull(), 'IN00000008', benchmark_id) AS benchmark_id 
                        FROM get_entity_primary_benchmark(entityType, v_entity_ids, oldest_date.month().temporalFormat('yyyy-MM'), end_day.month().temporalFormat('yyyy-MM')) ;

    // 取所有出现的基准月收益
    bmk_ret = get_benchmark_return(primary_benchmark, end_day);

    if(bmk_ret.isVoid() || bmk_ret.size() == 0) { return null; }

    risk_free_rate = SELECT fund_id, temporalParse(end_date, 'yyyy-MM') AS end_date, ret FROM get_risk_free_rate(oldest_date, end_day);

    if(risk_free_rate.isVoid() || risk_free_rate.size() == 0) { return null; }

    // 标准的指标
    t0 = cal_trailing_indicators(entity_info, primary_benchmark, end_day, monthlyReturns, bmk_ret, risk_free_rate);

    // PBI stands for "Primary Benchmark Index"
    v_table_name = ['PBI-INCEP', 'PBI-YTD', 'PBI-6M', 'PBI-1Y', 'PBI-2Y', 'PBI-3Y', 'PBI-4Y', 'PBI-5Y', 'PBI-10Y'];

    // BFI指标

    return dict(v_table_name, t0);
	
}

/*
 *   基金指标计算
 * 
 * 
 */
def calFundIndicators(rets) {

	t = calIndicators('FD', rets);

	return t;
}


/*
 *   定时任务：最新净值触发的业绩指标计算
 * 
 *   TODO: 目前收益表在MySQL中，所以需要将计算的最新收益与MySQL中的历史数据合并
 */
def calFundPerformance(entityType, date) {

    very_old_date = 1990.01.01;

    if(find(['HF', 'MF'], entityType) < 0) return null;

    // 取有最新净值变动的私募基金列表
    tb_cal_funds = get_fund_list_by_nav_updatetime('MF', NULL, date);

    // 分批跑
    i = 0;
    batch_size = 1000;
    do {

        funds = tb_cal_funds[i:batch_size]
        funds.rename!('fund_id', 'entity_id');

        // 计算月收益
        rets = calEntityReturns(entityType, 'm', funds);

        // 最新更新的收益存入数据库

        // 取完整历史收益用于指标计算
        all_rets = get_fund_monthly_ret(funds.entity_id, very_old_date, today().month(), true);
        all_rets.rename!('fund_id', 'entity_id');

        // 将MySQL中的 YYYY-MM 格式改为 YYYY.MM
        end_dates = EXEC end_date.temporalParse('yyyy-MM') FROM all_rets;
        all_rets.replaceColumn!('end_date', end_dates);

        // 用新计算的收益覆盖旧的
        UPDATE all_rets
            SET all_rets.ret = rets.ret, all_rets.nav = rets.cumulative_nav
        FROM ej(all_rets, rets, ['entity_id', 'end_date']);

        // 用新计算的收益补充旧的， ret_ytd_a, ret_incep_a 没有用
        INSERT INTO all_rets 
            SELECT entity_id, end_date, price_date, ret, cumulative_nav, null AS ret_ytd_a, null AS ret_incep_a
            FROM rets
            WHERE NOT EXISTS ( SELECT * FROM all_rets WHERE entity_id = rets.entity_id AND end_date = rets.end_date);

        // 计算月度指标
        indicators = calFundIndicators(all_rets);

        //INSERT INTO tb_indicators SELECT * FROM indicators;

        i += batch_size;

    } while (i < batch_size);
//    } while (i <= tb_cal_funds.size());

    return indicators;
	
}