add modified dietz returns

pyproject.toml

@@ -7,7 +7,7 @@ authors = [
 ]
 dependencies = [
     "fava>=1.26",
-    "beangrow>=1.0.0",
+    "beangrow @ git+https://github.com/beancount/beangrow",
     "protobuf<3.21",
 ]
 readme = "README.md"

src/fava_portfolio_returns/__init__.py

@@ -20,13 +20,7 @@
 import beangrow.config as configlib  # type: ignore
 from beangrow.investments import CashFlow  # type: ignore
 import beangrow.returns as returnslib  # type: ignore
-from beangrow.reports import (  # type: ignore
-    Table,
-    compute_returns_table,
-    get_calendar_intervals,
-    get_cumulative_intervals,
-    get_accounts_table,
-)
+from beangrow import reports  # type: ignore
 from fava.ext import FavaExtensionBase
 from fava.helpers import FavaAPIError
 from fava.context import g
@@ -187,6 +181,14 @@ def calculate_group_performance(
         irr = returnslib.compute_returns(
             truncated_cash_flows, pricer, target_currency, end_date
         )
+        try:
+            mdr = returnslib.compute_returns(
+                truncated_cash_flows, pricer, target_currency, end_date, dietz=True
+            )
+        except TypeError as ex:
+            raise FavaAPIError(
+                "You are using an incompatible version of beangrow, please regenerate your lockfile and venv to install a supported version of beangrow."
+            ) from ex
 
         return {
             "units": units_balance,
@@ -196,6 +198,7 @@ def calculate_group_performance(
             "returns": returns,
             "returns_pct": returns_pct,
             "irr": irr.total,
+            "mdr": mdr.total,
         }
 
     def overview(self):
@@ -268,12 +271,7 @@ def create_plots(
                 amt = -float(flow.amount.number)
                 if remaining_days > 0:
                     gflow = amt * (rate ** np.arange(0, remaining_days))
-                    gamounts[-remaining_days:] = np.add(
-                        gamounts[-remaining_days:],
-                        gflow,
-                        out=gamounts[-remaining_days:],
-                        casting="unsafe",
-                    )
+                    gamounts[-remaining_days:] += gflow
                     amounts[-remaining_days:] += amt
                 else:
                     gamounts[-1] += amt
@@ -327,9 +325,9 @@ def create_plots(
             )
 
         return {
-            "cashflows": cashflows_plot,
-            "cumvalue": cumvalue_plot,
             "pnl": pnl_plot,
+            "cumvalue": cumvalue_plot,
+            "cashflows": cashflows_plot,
             "min_date": dates[0] if dates else None,
             "max_date": dates[-1] if dates else None,
         }
@@ -345,45 +343,86 @@ def generate_report(
         if not target_currency:
             target_currency = self.get_target_currency(account_data)
 
-        # cash flows
+        # compute cash flows
         cash_flows = returnslib.truncate_and_merge_cash_flows(
             pricer, account_data, start_date, end_date
         )
-        returns = returnslib.compute_returns(
-            cash_flows, pricer, target_currency, end_date
-        )
         transactions = data.sorted(
             [txn for ad in account_data for txn in ad.transactions]
         )
 
-        # cumulative value plot
-        plots = self.create_plots(
-            pricer, target_currency, cash_flows, transactions, returns.total
+        # IRR
+        irr_total = returnslib.compute_returns(
+            cash_flows, pricer, target_currency, end_date
+        )
+        irr_total_returns_tbl = reports.Table(
+            ["Total Returns", "Ex-Div", "Div"],
+            [[irr_total.total, irr_total.exdiv, irr_total.div]],
+        )
+        irr_annualized_returns_tbl = reports.compute_returns_table(
+            pricer,
+            target_currency,
+            account_data,
+            reports.get_calendar_intervals(end_date),
+            header_text="Annualized Returns",
+        )
+        irr_cumulative_returns_tbl = reports.compute_returns_table(
+            pricer,
+            target_currency,
+            account_data,
+            reports.get_cumulative_intervals(end_date),
+            header_text="Cumulative Returns",
         )
 
-        # returns
-        total_returns_tbl = Table(
-            ["Total", "Ex-Div", "Div"], [[returns.total, returns.exdiv, returns.div]]
+        # Modified Dietz Returns
+        mdr_total = returnslib.compute_returns(
+            cash_flows, pricer, target_currency, end_date, dietz=True
         )
-        calendar_returns_tbl = compute_returns_table(
-            pricer, target_currency, account_data, get_calendar_intervals(end_date)
+        mdr_total_returns_tbl = reports.Table(
+            ["Total Returns", "Ex-Div", "Div"],
+            [[mdr_total.total, mdr_total.exdiv, mdr_total.div]],
         )
-        cumulative_returns_tbl = compute_returns_table(
-            pricer, target_currency, account_data, get_cumulative_intervals(end_date)
+        mdr_annualized_returns_tbl = reports.compute_returns_table(
+            pricer,
+            target_currency,
+            account_data,
+            reports.get_calendar_intervals(end_date),
+            header_text="Annualized Returns",
+            dietz=True,
+        )
+        mdr_cumulative_returns_tbl = reports.compute_returns_table(
+            pricer,
+            target_currency,
+            account_data,
+            reports.get_cumulative_intervals(end_date),
+            header_text="Cumulative Returns",
+            dietz=True,
         )
 
-        # accounts
-        accounts_tbl = get_accounts_table(account_data)
+        # PnL, cumulative value and cashflow charts
+        plots = self.create_plots(
+            pricer, target_currency, cash_flows, transactions, irr_total.total
+        )
 
-        # cash flows
+        # accounts and cashflow tables
+        accounts_tbl = reports.get_accounts_table(account_data)
         cashflows_tbl = investments.cash_flows_to_table(cash_flows)
 
         return {
             "target_currency": target_currency,
             "plots": plots,
-            "total_returns": total_returns_tbl,
-            "calendar_returns": calendar_returns_tbl,
-            "cumulative_returns": cumulative_returns_tbl,
+            "returns": {
+                "irr": {
+                    "total": irr_total_returns_tbl,
+                    "annualized": irr_annualized_returns_tbl,
+                    "cumulative": irr_cumulative_returns_tbl,
+                },
+                "mdr": {
+                    "total": mdr_total_returns_tbl,
+                    "annualized": mdr_annualized_returns_tbl,
+                    "cumulative": mdr_cumulative_returns_tbl,
+                },
+            },
             "accounts": accounts_tbl,
             "cashflows": cashflows_tbl,
         }

src/fava_portfolio_returns/templates/_overview.html

@@ -32,7 +32,8 @@ <h2>Investments</h2>
       <th data-sort="num">Market Value</th>
       <th data-sort="num">Returns</th>
       <th data-sort="num">Yield</th>
-      <th data-sort="num">IRR</th>
+      <th data-sort="num" title="Internal Rate of Return">IRR</th>
+      <th data-sort="num" title="Modified Dietz Return">MDR</th>
     </tr>
   </thead>
   <tbody>
@@ -56,6 +57,9 @@ <h2>Investments</h2>
       <td class="num {% if group.irr >= 0 %}positive{% else %}negative{% endif %}" data-sort-value="{{ group.irr }}">
         <span class="num">{{ "%.2f" | format(group.irr * 100) }} %</span>
       </td>
+      <td class="num {% if group.mdr >= 0 %}positive{% else %}negative{% endif %}" data-sort-value="{{ group.mdr }}">
+        <span class="num">{{ "%.2f" | format(group.mdr * 100) }} %</span>
+      </td>
     </tr>
     {% endfor %}
   </tbody>

src/fava_portfolio_returns/templates/_report.html

@@ -25,7 +25,7 @@
 
 {% set report = extension.report(group) %}
 <script id="favaPortfolioReturnsReportData" type="application/json">
-{{ {"target_currency": report["target_currency"], "plots": report["plots"]}|tojson }}
+{{ {"target_currency": report.target_currency, "plots": report.plots}|tojson }}
 </script>
 
 <h2>Portfolio Returns: {{ group }}</h2>
@@ -50,24 +50,30 @@ <h2>Portfolio Returns: {{ group }}</h2>
   <div class="chart"></div>
 </div>
 
-<h3>Internal Rate of Returns</h3>
-{{ returns_table(report["total_returns"]) }}
-{{ returns_table(report["calendar_returns"]) }}
-{{ returns_table(report["cumulative_returns"]) }}
+<h3>Internal Rate of Return (IRR)</h3>
+{{ returns_table(report.returns.irr.total) }}
+{{ returns_table(report.returns.irr.annualized) }}
+{{ returns_table(report.returns.irr.cumulative) }}
+
+<br>
+<h3>Modified Dietz Return (MDR)</h3>
+{{ returns_table(report.returns.mdr.total) }}
+{{ returns_table(report.returns.mdr.annualized) }}
+{{ returns_table(report.returns.mdr.cumulative) }}
 
 <br>
 <h3>Accounts</h3>
-<p>Cost Currency: {{ report["target_currency"] }}</p>
+<p>Cost Currency: {{ report.target_currency }}</p>
 <table>
   <thead>
     <tr>
-    {% for header in report["accounts"].columns.to_list() %}
+    {% for header in report.accounts.columns.to_list() %}
       <th>{{ header }}</th>
     {% endfor %}
     </tr>
   </thead>
   <tbody>
-    {% for row in report["accounts"].itertuples() %}
+    {% for row in report.accounts.itertuples() %}
     <tr>
       <td>{{ row.Investment }}</td>
       <td>{{ row.Description }}</td>
@@ -90,7 +96,7 @@ <h3>Cash Flows</h3>
     </tr>
   </thead>
   <tbody>
-    {% for row in report["cashflows"].itertuples() %}
+    {% for row in report.cashflows.itertuples() %}
     <tr>
       <td>{{ row.date }}</td>
       <td class="num">{{ row.amount | format_currency(row.currency) }} {{ row.currency }}</td>