From 913996072ee06c81121f50657e325ce8a56856e6 Mon Sep 17 00:00:00 2001
From: Emil Lerch <emil@lerch.org>
Date: Sat, 21 Mar 2026 13:24:14 -0700
Subject: [PATCH] synthesize money market data if candles do not cover dividend
 data

---
 src/analytics/performance.zig | 68 +++++++++++++++++++++++++++++++++--
 1 file changed, 65 insertions(+), 3 deletions(-)

diff --git a/src/analytics/performance.zig b/src/analytics/performance.zig
index f893e59..a859c05 100644
--- a/src/analytics/performance.zig
+++ b/src/analytics/performance.zig
@@ -89,7 +89,13 @@ fn totalReturnWithDividendsSnap(
     to: Date,
     start_dir: SearchDirection,
 ) ?PerformanceResult {
-    const start = findNearestCandle(candles, from, start_dir) orelse return null;
+    const start = findNearestCandle(candles, from, start_dir) orelse
+        // Stable-NAV fund (e.g. money market): synthesize start candle at $1
+        // when candle history doesn't reach back far enough.
+        if (candles.len > 0 and from.lessThan(candles[0].date) and candles[0].close == 1.0)
+            stableNavCandle(from)
+        else
+            return null;
     const end = findNearestCandle(candles, to, .backward) orelse return null;
 
     if (start.close == 0) return null;
@@ -101,8 +107,13 @@ fn totalReturnWithDividendsSnap(
         if (div.ex_date.lessThan(start.date)) continue;
         if (end.date.lessThan(div.ex_date)) break;
 
-        // Find close price on or near the ex-date
-        const price_candle = findNearestCandle(candles, div.ex_date, .backward) orelse continue;
+        // Find close price on or near the ex-date.
+        // For stable-NAV funds, dividends before candle history use $1.
+        const price_candle = findNearestCandle(candles, div.ex_date, .backward) orelse
+            if (start.close == 1.0)
+                stableNavCandle(div.ex_date)
+            else
+                continue;
         if (price_candle.close > 0) {
             shares += (div.amount * shares) / price_candle.close;
         }
@@ -120,6 +131,12 @@ fn totalReturnWithDividendsSnap(
     };
 }
 
+/// Synthesize a candle with stable $1 NAV for a given date.
+/// Used for money market funds whose NAV is always $1.
+fn stableNavCandle(date: Date) Candle {
+    return .{ .date = date, .open = 1, .high = 1, .low = 1, .close = 1, .adj_close = 1, .volume = 0 };
+}
+
 /// Convenience: compute 1yr, 3yr, 5yr, 10yr trailing returns from adjusted close.
 /// Uses the last available date as the endpoint.
 pub const TrailingReturns = struct {
@@ -505,3 +522,48 @@ test "as-of-date vs month-end -- different results from same data" {
     try std.testing.expect(me.one_year != null);
     try std.testing.expectApproxEqAbs(@as(f64, 0.15), me.one_year.?.total_return, 0.001);
 }
+
+test "stable-NAV fund -- synthesize start candle for dividend reinvestment" {
+    // Money market fund: NAV always $1, candle history only covers 3 years,
+    // but dividend data goes back 5 years. Should synthesize a $1 start candle
+    // and correctly compound distributions for the full 5-year period.
+    //
+    // Monthly $0.003 distribution on $1 NAV, 60 months:
+    // shares = (1.003)^60 = 1.19668...
+    // total return = 19.67%
+    const candles = [_]Candle{
+        makeCandle(Date.fromYmd(2023, 1, 3), 1), // candles start here (3yr)
+        makeCandle(Date.fromYmd(2024, 1, 2), 1),
+        makeCandle(Date.fromYmd(2025, 12, 31), 1),
+    };
+
+    // 60 monthly dividends from 2021 through 2025
+    var divs: [60]Dividend = undefined;
+    for (0..60) |i| {
+        const month: u8 = @intCast(i % 12 + 1);
+        const year: i16 = @intCast(2021 + i / 12);
+        divs[i] = .{ .ex_date = Date.fromYmd(year, month, 15), .amount = 0.003 };
+    }
+
+    const result = totalReturnWithDividends(&candles, &divs, Date.fromYmd(2021, 1, 1), Date.fromYmd(2026, 1, 1));
+    try std.testing.expect(result != null);
+    // Start date should be synthesized at the requested from date (snapped forward)
+    try std.testing.expect(result.?.from.eql(Date.fromYmd(2021, 1, 1)));
+    // (1.003)^60 - 1 = 0.19668
+    const expected = std.math.pow(f64, 1.003, 60.0) - 1.0;
+    try std.testing.expectApproxEqAbs(expected, result.?.total_return, 0.001);
+}
+
+test "stable-NAV synthesis -- non-$1 fund does not synthesize" {
+    // A fund with close != $1 should NOT get a synthesized start candle.
+    const candles = [_]Candle{
+        makeCandle(Date.fromYmd(2023, 1, 3), 50),
+        makeCandle(Date.fromYmd(2025, 12, 31), 55),
+    };
+    const divs = [_]Dividend{
+        .{ .ex_date = Date.fromYmd(2021, 6, 15), .amount = 1.0 },
+    };
+    // Start date is before candle history, but close != $1 => should return null
+    const result = totalReturnWithDividends(&candles, &divs, Date.fromYmd(2021, 1, 1), Date.fromYmd(2026, 1, 1));
+    try std.testing.expect(result == null);
+}