performance fee calculation with finaquant?

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performance fee calculation with finaquant?

Postby merida » 25 Oct 2013, 12:33

you have an article about performance fee calculation for investment funds.

is it possible to calculate performance fees with finaquant? how can we get latest available month-end values in price tables? is there an example somewhere?

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Joined: 25 Oct 2013, 12:28

Performance Fee Calculation with finaquant® calcs

Postby finaquant » 27 Oct 2013, 17:33

Yes, any kind of commissions including performance fees can be calculated with finaquant® calcs, the commercial .net (dot net) library for table computations.

Depending on the complexity of the performance fee calculation, high-level table functions like Subtable Transformer or Function Router may be required for applying analytical operations on sub-tables or sub-matrices.

We already have an example (also as demo function in Visual Studio file FinaquantCalcsStarter) for Sales Commissions. We plan to publish soon another example for Performance Fees.

In addition to Table Functions, Calculation Nodes & Networks of the .net library will be useful for:
a) database connection with various data sources,
b) automated validation and calculation,
c) storing multiple instances of the results of periodical calculations

Latest available month-end values:
See date-related Table Functions (date functions, date algorithms) of the .net library finaquant® calcs:
Code: [Select all] [Expand/Collapse] [Download] (Untitled.txt)
  1. MatrixTable.DateRangeFilter()
  2. MatrixTable.FilterDatesMonthly()
  3. MatrixTable.FilterDatesQuarterly()
  4. MatrixTable.SampleDatesMonthly_A()
GeSHi ©

See related demo-function named Sampling_tables_for_target_dates in Visual Studio file FinaquantCalcsStarter (see related downloads):

You can obtain your target date values by configuring the parameters of date sampler:
Code: [Select all] [Expand/Collapse] [Download] (Untitled.txt)
  1. //*****************************************************************************************
  2. // CASE 1: First, 15'th and last days of each month within given range; allow all week-days
  3. //*****************************************************************************************
  4. SourceDateField = "source_date";
  5. TargetDateField = "target_date";
  6. FirstDayOfRange = DateFunctions.DayToNumber(25, 2, 2010);
  7. LastDayOfRange = DateFunctions.DayToNumber(20, 10, 2010);
  8. AllowMonthDays = NumVector.CreateVectorWithElements(1, 15, -1);     // -1 means last day of month
  9. AllowWeekDays = NumVector.CreateEmptyVector();    // empty vector means allow all week-days
  10. search_logic = SearchLogic.Previous;              // search backwards in time for a source date
  11. MaxDistance = 30;
  12. PeriodCond = PeriodCondition.None;
  14. // sample table for dates
  15. SampledTbl = MatrixTable.SampleDatesMonthly_A(TestTable, SourceDateField, TargetDateField, FirstDayOfRange, LastDayOfRange,
  16.     search_logic, MaxDistance, AllowMonthDays, AllowWeekDays, PeriodCond);
  18. // view sampled table in GridViewer
  19. MatrixTable.View_MatrixTable(SampledTbl, "Case 1: First, 15'th and last days of each month, search logic: previous");
GeSHi ©

In your case, because you are looking for the latest available value of each month, you should set:
Code: [Select all] [Expand/Collapse] [Download] (Untitled.txt)
  1. AllowMonthDays = NumVector.CreateVectorWithElements(-1);     // -1 means last day of month
  2. search_logic = SearchLogic.Previous;              // search backwards in time for a source date
GeSHi ©
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Re: performance fee calculation with finaquant?

Postby merida » 28 Oct 2013, 09:29

thanks, i will be waiting for the example
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Joined: 25 Oct 2013, 12:28

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