calculate_net_returns_from_price
Documentation for eth_defi.research.vault_metrics.calculate_net_returns_from_price function.
- calculate_net_returns_from_price(name, share_price, management_fee_annual, performance_fee, deposit_fee, withdrawal_fee, seconds_in_year=31557600.0, zero_epsilon=0.001, freq='h')
Convert a share price series to net return series after fees.
- Parameters
name (str) – For debugging
share_price (pandas.Series) – Share price series with datetime index.
management_fee_annual (Optional[Union[float, decimal.Decimal, Literal['-']]]) – Annual management fee as a percent (0.02 = 2% per year).
performance_fee (Optional[Union[float, decimal.Decimal, Literal['-']]]) – Performance fee as a percent (0.20 = 20% of profits).
deposit_fee (Optional[Union[float, decimal.Decimal, Literal['-']]]) – Deposit fee as a percent (0.01 = 1% fee), or None if no fee.
withdrawal_fee (Optional[Union[float, decimal.Decimal, Literal['-']]]) – Withdrawal fee as a percent (0.01 = 1% fee), or None if no fee.
freq – The time series frequency (hourly, daily, etc) for management fee calculation.
- Returns
Cumulative net profit as a floating point (0.10 = 10% profit).
- Return type