returns_and_expenses.py

   1 #!/usr/bin/env python3
   2
   3 from abc import ABC, abstractmethod
   4 import logging
   5 import random
   6
   7 from type.rate import Rate
   8
   9 import data
  10
  11
  12 logger = logging.getLogger(__name__)
  13
  14
  15 class ReturnsAndExpenses(ABC):
  16     @abstractmethod
  17     def get_annual_inflation_rate(self, year: int) -> Rate:
  18         pass
  19
  20     @abstractmethod
  21     def get_annual_social_security_increase_rate(self, year: int) -> Rate:
  22         pass
  23
  24     @abstractmethod
  25     def get_annual_investment_return_rate(self, year: int) -> Rate:
  26         pass
  27
  28
  29 class ConstantValueRaE(ReturnsAndExpenses):
  30     def __init__(
  31             self,
  32             *,
  33             inflation_rate = Rate(0.0),
  34             social_security_increase_rate = Rate(0.0),
  35             investment_return_rate = Rate(0.0),
  36     ):
  37         super().__init__()
  38         self.inflation_rate = inflation_rate
  39         self.social_security_increase_rate = social_security_increase_rate
  40         self.investment_return_rate = investment_return_rate
  41
  42     def get_annual_inflation_rate(self, year: int) -> Rate:
  43         return self.inflation_rate
  44
  45     def get_annual_social_security_increase_rate(self, year: int) -> Rate:
  46         return self.social_security_increase_rate
  47
  48     def get_annual_investment_return_rate(self, year: int) -> Rate:
  49         return self.investment_return_rate
  50
  51     def __repr__(self):
  52         return f'Constant rates: inflation={self.inflation_rate}, ss={self.social_security_increase_rate}, roi={self.investment_return_rate}'
  53
  54
  55 class HistoricalRaE(ReturnsAndExpenses):
  56     def __init__(self):
  57         super().__init__()
  58         #self.years = range(1928, 2020)
  59         self.years = [1929, 1930, 1931, 1932, 1933,
  60                       1939,
  61                       1946, 1947,
  62                       1956, 1957,
  63                       1964, 1965, 1966, 1969,
  64                       1973, 1974, 1977, 1978,
  65                       1981, 1984, 1987, 1990,
  66                       2000, 2001, 2002, 2007, 2007]
  67         self.year = None
  68
  69     def get_annual_inflation_rate(self, year: int) -> Rate:
  70         #self.year = random.randrange(1928, 2020)
  71         self.year = random.choice(self.years)
  72         rois_and_inflation = data.ROIs_AND_INFLATION[self.year]
  73         inflation = rois_and_inflation.inflation
  74         logger.debug(f'HistoricalRaE: inflation is {inflation} (replay={self.year})')
  75         return inflation
  76
  77     def get_annual_social_security_increase_rate(self, year: int) -> Rate:
  78         rois_and_inflation = data.ROIs_AND_INFLATION[self.year]
  79         ss = rois_and_inflation.inflation
  80         if ss > 0:
  81             ss -= 1.0
  82             ss /= 2
  83             ss += 1.0
  84         logger.debug(f'HistoricalRaE: social security increase rate is {ss} (replay={self.year})')
  85         return ss
  86
  87     def get_annual_investment_return_rate(self, year: int) -> Rate:
  88         rois_and_inflation = data.ROIs_AND_INFLATION[self.year]
  89         roi = (
  90             rois_and_inflation.snp_500_return * 0.50 +
  91             rois_and_inflation.us_10y_bond_return * 0.50
  92         )
  93         logger.debug(f'HistoricalRaE: investment return 50/50 is {roi} (replay={self.year})')
  94         return Rate(roi)
  95
  96     def __repr__(self):
  97         return f'historical reply of inflation/returns in {self.years}'
  98
  99
 100 class GaussianRae(ReturnsAndExpenses):
 101     def __init__(self):
 102         self.inflation = None
 103         self.mean_inflation = 1.04         # Historical = 3.5% inflation
 104         self.stdev_inflation = 0.028       # Historical = 2.8% inflation stdev
 105         self.mean_roi = 1.060              # Historical = 8.5% 30s/70b; 9.1% 50s/50s; 9.7% 70s/30b
 106         self.stdev_roi = 0.093             # Historical = 6.7% 30s/70b; 9.3% 50s/50b; 12.2% 70s/30b
 107         self.ss_discount = 0.02
 108
 109     def get_annual_inflation_rate(self, year: int) -> Rate:
 110         self.inflation = random.gauss(self.mean_inflation, self.stdev_inflation)
 111         return Rate(multiplier=self.inflation)
 112
 113     def get_annual_social_security_increase_rate(self, year: int) -> Rate:
 114         return Rate(multiplier=self.inflation - self.ss_discount)
 115
 116     def get_annual_investment_return_rate(self, year: int) -> Rate:
 117         return Rate(multiplier=random.gauss(self.mean_roi, self.stdev_roi))
 118
 119     def __repr__(self):
 120         return f'Random Gaussian: (μinflation={Rate(self.mean_inflation).__repr__(relative=True)}, σ={Rate(self.stdev_inflation)}); (μroi={Rate(self.mean_roi).__repr__(relative=True)}, σ={Rate(self.stdev_roi)})'