feat(gui): Fund Statement enhance SimpleRR and InternalRR calculation (…

…#857)

* fix(ui): crypto hosts's protocol part

* feat(gui): Fund Statement enhance SimpleRR and InternalRR calculation

ui/web/src/modules/Fund/FundStatements.tsx

@@ -114,8 +114,16 @@ registerPage('FundStatements', () => {
       columnHelper.accessor('detail.after_tax_profit', {
         header: () => '收益',
       }),
+      columnHelper.accessor('detail.holding_days', {
+        header: () => '持有天数',
+        cell: (ctx) => `${Math.ceil(ctx.getValue())}`,
+      }),
       columnHelper.accessor('detail.after_tax_profit_rate', {
-        header: () => '收益率',
+        header: () => '简单收益率',
+        cell: (ctx) => `${(ctx.getValue() * 100).toFixed(2)}%`,
+      }),
+      columnHelper.accessor('detail.after_tax_IRR', {
+        header: () => '内部收益率',
         cell: (ctx) => `${(ctx.getValue() * 100).toFixed(2)}%`,
       }),
       columnHelper.accessor('meta.share', {

ui/web/src/modules/Fund/model.ts

@@ -52,10 +52,16 @@ export interface IFundState {
     total_profit: number;
   };
   investors: Record<string, InvestorMeta>; // 投资人数据
+  investor_cashflow: Record<string, InvestorCashFlowItem[]>;
   investor_derived: Record<string, InvestorInfoDerived>;
   events: IFundEvent[];
 }
 
+export interface InvestorCashFlowItem {
+  updated_at: number;
+  deposit: number;
+}
+
 export interface InvestorMeta {
   /** 姓名 */
   name: string;
@@ -67,12 +73,18 @@ export interface InvestorMeta {
   deposit: number;
   /** 税率 */
   tax_rate: number;
+  /** 创建时间 */
+  created_at: number;
 }
 
 /**
  * 投资人信息的计算衍生数据
  */
 export interface InvestorInfoDerived {
+  /** 持有时间 */
+  holding_days: number;
+  /** 资产在时间上的积分 */
+  timed_assets: number;
   /** 税前资产 */
   pre_tax_assets: number;
   /** 应税额 */
@@ -85,6 +97,7 @@ export interface InvestorInfoDerived {
   after_tax_profit: number;
   /** 税后收益率 */
   after_tax_profit_rate: number;
+  after_tax_IRR: number;
   /** 税后份额 */
   after_tax_share: number;
 

ui/web/src/modules/Fund/utils.ts

@@ -1,4 +1,4 @@
-import { IFundEvent, IFundState } from './model';
+import { IFundEvent, IFundState, InvestorCashFlowItem } from './model';
 
 export const reduceState = (state: IFundState, event: IFundEvent): IFundState => {
   const nextState = structuredClone(state);
@@ -24,6 +24,7 @@ export const reduceState = (state: IFundState, event: IFundEvent): IFundState =>
     const deposit = event.order.deposit;
     const investor = (nextState.investors[event.order.name] ??= {
       name: event.order.name,
+      created_at: nextState.updated_at,
       deposit: 0,
       share: 0,
       tax_threshold: 0,
@@ -33,6 +34,8 @@ export const reduceState = (state: IFundState, event: IFundEvent): IFundState =>
     investor.tax_threshold += deposit;
     investor.share += deposit / state.summary_derived.unit_price;
     nextState.total_assets += deposit;
+    const cashflow = (nextState.investor_cashflow[event.order.name] ??= []);
+    cashflow.push({ updated_at: nextState.updated_at, deposit });
   }
   // 更新投资人信息
   if (event.investor) {
@@ -66,23 +69,49 @@ export const reduceState = (state: IFundState, event: IFundEvent): IFundState =>
 
     // 投资人衍生数据
     Object.values(nextState.investors).forEach((v) => {
+      const investor = state.investor_derived[v.name];
+
       const share_ratio =
         nextState.summary_derived.total_share !== 0 ? v.share / nextState.summary_derived.total_share : 0;
       const pre_tax_assets = v.share * nextState.summary_derived.unit_price;
       const taxable = pre_tax_assets - v.tax_threshold;
       const tax = Math.max(0, taxable * v.tax_rate);
       const after_tax_assets = pre_tax_assets - tax;
       const after_tax_profit = after_tax_assets - v.deposit;
-      // Assert: 税后收益和净入金不可能同时为负数
-      const after_tax_profit_rate = after_tax_profit / (v.deposit >= 0 ? v.deposit : after_tax_assets);
+      const timed_assets = investor
+        ? investor.timed_assets +
+          ((after_tax_assets + investor.after_tax_assets) * (nextState.updated_at - state.updated_at)) /
+            2 /
+            (365 * 86400_000)
+        : 0;
+      const holding_days = (nextState.updated_at - v.created_at) / 86400_000;
+      const avg_assets = (timed_assets / holding_days) * 365;
+      const after_tax_profit_rate = after_tax_profit / avg_assets;
       const after_tax_share = after_tax_assets / nextState.summary_derived.unit_price;
+      const cashflow = nextState.investor_cashflow[v.name];
+      const after_tax_IRR =
+        nextState.updated_at - v.created_at > 0
+          ? Math.pow(
+              1 +
+                XIRR(
+                  cashflow.concat({
+                    updated_at: nextState.updated_at,
+                    deposit: -after_tax_assets,
+                  }),
+                ),
+              holding_days / 365,
+            ) - 1
+          : 0;
       nextState.investor_derived[v.name] = {
+        holding_days,
         share_ratio,
         taxable,
         tax,
         pre_tax_assets,
         after_tax_assets,
         after_tax_profit,
+        timed_assets,
+        after_tax_IRR,
         after_tax_profit_rate,
         after_tax_share,
       };
@@ -121,9 +150,45 @@ export const getInitFundState = (): IFundState => ({
   },
   investors: {},
   investor_derived: {},
+  investor_cashflow: {},
   events: [],
 });
 
 export const fromFundEvents = (events: IFundEvent[]): IFundState => {
   return events.reduce(reduceState, getInitFundState());
 };
+
+const XIRR = function xirr(cashflow: InvestorCashFlowItem[], guess = 0.05) {
+  // console.info('XIRR calculation started', cashflow);
+  const maxIterations = 100;
+  const tolerance = 1e-5;
+
+  let x0 = guess;
+  let x1;
+
+  for (let i = 0; i < maxIterations; i++) {
+    // console.info(`Iteration ${i}: ${x0}`);
+    let fValue = 0;
+    let fDerivative = 0;
+
+    for (let j = 0; j < cashflow.length; j++) {
+      const t = (cashflow[j].updated_at - cashflow[0].updated_at) / (1000 * 60 * 60 * 24 * 365); // Convert milliseconds to years
+      const expTerm = Math.exp(-x0 * t);
+      fValue -= cashflow[j].deposit * expTerm;
+      fDerivative += cashflow[j].deposit * expTerm * t;
+    }
+
+    fValue = fValue / cashflow.length;
+    fDerivative = fDerivative / cashflow.length;
+
+    x1 = x0 - fValue / fDerivative;
+
+    if (Math.abs(x1 - x0) < tolerance) {
+      return x1;
+    }
+
+    x0 = x1;
+  }
+
+  throw new Error('XIRR calculation did not converge');
+};

ui/web/src/modules/Workbench/HostList.tsx

@@ -368,7 +368,7 @@ registerPage('HostList', () => {
                 if (cryptoHosts$.value === undefined) return;
                 const label = (await showForm<string>({ type: 'string', title: 'Label' })) || '';
                 const keyPair = createKeyPair();
-                const url = new URL(`https://hosts.ntnl.io`);
+                const url = new URL(`wss://hosts.ntnl.io`);
                 url.searchParams.set('public_key', keyPair.public_key);
                 const signature = signMessage('', keyPair.private_key);
                 url.searchParams.set('signature', signature);