add shiller comptime parsed variable for use by rest of app
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src/data/shiller.zig
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src/data/shiller.zig
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/// Embedded historical market data derived from Robert Shiller's CAPE dataset.
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///
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/// Source: https://shillerdata.com/ (ie_data.xls, "Data" tab saved as CSV)
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///
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/// To update:
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/// 1. Download ie_data.xls from https://shillerdata.com/
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/// 2. Open in LibreOffice Calc, select the "Data" tab
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/// 3. File → Save As → CSV (ie_data.csv)
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/// 4. Replace src/data/ie_data.csv with the new file
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/// 5. Rebuild — the data is parsed at comptime
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///
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/// The CSV contains monthly observations from 1871 to present. This module
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/// extracts January rows and computes year-over-year returns for:
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/// - S&P 500 total return (price + dividends reinvested)
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/// - 10-year Treasury bond total return
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/// - CPI inflation
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///
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/// All returns are nominal, expressed as decimals (0.12 = 12%).
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const std = @import("std");
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pub const ShillerYear = struct {
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year: u16,
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/// S&P 500 total return including dividends (decimal, e.g. 0.12 = 12%)
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sp500_total_return: f64,
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/// 10-year Treasury bond total return (decimal)
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bond_total_return: f64,
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/// CPI inflation rate (decimal)
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cpi_inflation: f64,
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};
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/// Comptime-parsed annual returns from the embedded Shiller CSV.
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/// Each entry represents one calendar year's returns, computed from
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/// January-to-January changes in the cumulative index columns.
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pub const annual_returns: []const ShillerYear = parseShillerData();
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/// Number of available years of historical data.
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pub const year_count: usize = annual_returns.len;
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/// First year with complete data.
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pub const first_year: u16 = if (annual_returns.len > 0) annual_returns[0].year else 0;
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/// Last year with complete data.
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pub const last_year: u16 = if (annual_returns.len > 0) annual_returns[annual_returns.len - 1].year else 0;
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/// Convert a nominal return to a real (inflation-adjusted) return.
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pub fn realReturn(nominal: f64, inflation: f64) f64 {
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return (1.0 + nominal) / (1.0 + inflation) - 1.0;
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}
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/// Return the maximum number of complete simulation cycles for a given horizon.
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/// A cycle starting in year Y needs data through year Y + horizon - 1.
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pub fn maxCycles(horizon: u16) usize {
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if (annual_returns.len == 0) return 0;
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const span = last_year - first_year + 1;
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if (horizon > span) return 0;
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return span - horizon + 1;
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}
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// --- Comptime CSV parsing ---
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const csv_data = @embedFile("ie_data.csv");
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fn parseShillerData() []const ShillerYear {
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@setEvalBranchQuota(1_000_000);
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// First pass: collect January rows with their cumulative indices.
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// We need January Total Return Price (col 9), Bond Returns (col 17), CPI (col 4).
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const JanRow = struct {
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year: u16,
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tr_price: f64, // cumulative S&P 500 total return index (nominal)
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gs10: f64, // 10-year Treasury yield (percentage points)
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cpi: f64,
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};
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var jan_rows: [200]JanRow = undefined;
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var jan_count: usize = 0;
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var line_iter = LineIterator{ .data = csv_data };
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// Skip header lines (first 8 lines are headers)
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for (0..8) |_| {
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_ = line_iter.next();
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}
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while (line_iter.next()) |line| {
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if (line.len == 0) continue;
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// Parse the date column to check if this is a January row
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var col_iter = CsvFieldIterator{ .data = line };
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const date_field = col_iter.next() orelse continue; // col 0: Date
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if (date_field.len == 0) continue;
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// Date format is "YYYY.MM" where January = ".01", October = ".1"
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// (October drops the leading zero). Check for exactly ".01".
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const dot_pos = indexOf(date_field, '.') orelse continue;
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const year_str = date_field[0..dot_pos];
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const month_str = date_field[dot_pos + 1 ..];
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const year = parseU16(year_str) orelse continue;
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// January is exactly "01" (2 chars). ".1" = October, ".11" = November.
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if (month_str.len != 2) continue;
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const month = parseU16(month_str) orelse continue;
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if (month != 1) continue;
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// Skip to the columns we need
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_ = col_iter.next(); // col 1: P
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_ = col_iter.next(); // col 2: D
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_ = col_iter.next(); // col 3: E
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const cpi_field = col_iter.next() orelse continue; // col 4: CPI
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_ = col_iter.next(); // col 5: Date Fraction
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const gs10_field = col_iter.next() orelse continue; // col 6: Rate GS10
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_ = col_iter.next(); // col 7: Real Price
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_ = col_iter.next(); // col 8: Real Dividend
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const tr_price_field = col_iter.next() orelse continue; // col 9: Total Return Price (nominal)
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const cpi = parseF64(stripSpaces(cpi_field)) orelse continue;
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const gs10 = parseF64(stripSpaces(gs10_field)) orelse continue;
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const tr_price = parseF64WithCommas(tr_price_field) orelse continue;
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if (cpi == 0.0 or tr_price == 0.0 or gs10 == 0.0) continue;
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jan_rows[jan_count] = .{
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.year = year,
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.tr_price = tr_price,
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.gs10 = gs10,
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.cpi = cpi,
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};
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jan_count += 1;
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}
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// Second pass: compute year-over-year returns from consecutive January values.
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if (jan_count < 2) return &.{};
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var results: [200]ShillerYear = undefined;
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var result_count: usize = 0;
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for (1..jan_count) |i| {
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const prev = jan_rows[i - 1];
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const curr = jan_rows[i];
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// Ensure consecutive years
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if (curr.year != prev.year + 1) continue;
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const cpi_change = (curr.cpi / prev.cpi) - 1.0;
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// TR Price is a real (inflation-adjusted) total return index.
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// Convert to nominal: (1 + real) * (1 + inflation) - 1
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const real_sp500 = (curr.tr_price / prev.tr_price) - 1.0;
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const nominal_sp500 = (1.0 + real_sp500) * (1.0 + cpi_change) - 1.0;
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results[result_count] = .{
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.year = prev.year,
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.sp500_total_return = nominal_sp500,
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.bond_total_return = prev.gs10 / 100.0, // GS10 yield as nominal bond return (FIRECalc convention)
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.cpi_inflation = cpi_change,
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};
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result_count += 1;
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}
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// Copy into a correctly-sized slice
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const final = blk: {
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var arr: [result_count]ShillerYear = undefined;
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for (0..result_count) |i| {
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arr[i] = results[i];
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}
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break :blk arr;
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};
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return &final;
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}
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// --- Comptime parsing helpers ---
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const LineIterator = struct {
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data: []const u8,
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pos: usize = 0,
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fn next(self: *LineIterator) ?[]const u8 {
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if (self.pos >= self.data.len) return null;
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const start = self.pos;
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while (self.pos < self.data.len and self.data[self.pos] != '\n') {
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self.pos += 1;
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}
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const end = if (self.pos > start and self.data[self.pos - 1] == '\r') self.pos - 1 else self.pos;
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if (self.pos < self.data.len) self.pos += 1; // skip \n
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return self.data[start..end];
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}
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};
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const CsvFieldIterator = struct {
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data: []const u8,
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pos: usize = 0,
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fn next(self: *CsvFieldIterator) ?[]const u8 {
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if (self.pos > self.data.len) return null;
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if (self.pos == self.data.len) {
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self.pos = self.data.len + 1;
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return "";
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}
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const start = self.pos;
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// Handle quoted fields
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if (self.pos < self.data.len and self.data[self.pos] == '"') {
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self.pos += 1; // skip opening quote
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const qstart = self.pos;
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while (self.pos < self.data.len) {
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if (self.data[self.pos] == '"') {
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if (self.pos + 1 < self.data.len and self.data[self.pos + 1] == '"') {
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self.pos += 2; // escaped quote
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} else {
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break; // end quote
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}
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} else {
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self.pos += 1;
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}
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}
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const qend = self.pos;
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if (self.pos < self.data.len) self.pos += 1; // skip closing quote
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if (self.pos < self.data.len and self.data[self.pos] == ',') self.pos += 1; // skip comma
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return self.data[qstart..qend];
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}
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// Unquoted field
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while (self.pos < self.data.len and self.data[self.pos] != ',') {
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self.pos += 1;
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}
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const end = self.pos;
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if (self.pos < self.data.len) self.pos += 1; // skip comma
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return self.data[start..end];
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}
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};
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fn indexOf(s: []const u8, ch: u8) ?usize {
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for (s, 0..) |c, i| {
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if (c == ch) return i;
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}
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return null;
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}
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fn parseU16(s: []const u8) ?u16 {
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if (s.len == 0) return null;
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var result: u16 = 0;
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for (s) |c| {
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if (c < '0' or c > '9') return null;
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result = result * 10 + @as(u16, c - '0');
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}
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return result;
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}
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fn parseF64(s: []const u8) ?f64 {
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if (s.len == 0) return null;
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var negative = false;
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var start: usize = 0;
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if (s[0] == '-') {
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negative = true;
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start = 1;
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}
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var integer_part: f64 = 0;
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var i = start;
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while (i < s.len and s[i] != '.') : (i += 1) {
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if (s[i] < '0' or s[i] > '9') return null;
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integer_part = integer_part * 10.0 + @as(f64, @floatFromInt(s[i] - '0'));
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}
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var frac_part: f64 = 0;
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if (i < s.len and s[i] == '.') {
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i += 1;
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var divisor: f64 = 10.0;
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while (i < s.len) : (i += 1) {
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if (s[i] < '0' or s[i] > '9') return null;
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frac_part += @as(f64, @floatFromInt(s[i] - '0')) / divisor;
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divisor *= 10.0;
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}
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}
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const result = integer_part + frac_part;
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return if (negative) -result else result;
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}
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fn stripSpaces(s: []const u8) []const u8 {
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var start: usize = 0;
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var end: usize = s.len;
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while (start < end and s[start] == ' ') start += 1;
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while (end > start and s[end - 1] == ' ') end -= 1;
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return s[start..end];
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}
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fn parseF64WithCommas(s: []const u8) ?f64 {
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if (s.len == 0) return null;
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// Strip leading/trailing spaces
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var start: usize = 0;
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var end: usize = s.len;
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while (start < end and s[start] == ' ') start += 1;
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while (end > start and s[end - 1] == ' ') end -= 1;
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if (start >= end) return null;
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var negative = false;
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if (s[start] == '-') {
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negative = true;
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start += 1;
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}
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var integer_part: f64 = 0;
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var i = start;
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while (i < end and s[i] != '.') : (i += 1) {
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if (s[i] == ',') continue; // skip commas
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if (s[i] < '0' or s[i] > '9') return null;
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integer_part = integer_part * 10.0 + @as(f64, @floatFromInt(s[i] - '0'));
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}
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var frac_part: f64 = 0;
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if (i < end and s[i] == '.') {
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i += 1;
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var divisor: f64 = 10.0;
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while (i < end) : (i += 1) {
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if (s[i] < '0' or s[i] > '9') return null;
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frac_part += @as(f64, @floatFromInt(s[i] - '0')) / divisor;
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divisor *= 10.0;
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}
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}
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const result = integer_part + frac_part;
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return if (negative) -result else result;
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}
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// --- Tests ---
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test "annual returns are populated" {
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// Should have data from 1871 to at least 2024
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try std.testing.expect(annual_returns.len >= 150);
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try std.testing.expectEqual(@as(u16, 1871), first_year);
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try std.testing.expect(last_year >= 2024);
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}
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test "spot check 2008 crash" {
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// 2008: S&P 500 nominal total return was approximately -37%
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for (annual_returns) |yr| {
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if (yr.year == 2008) {
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try std.testing.expect(yr.sp500_total_return < -0.30);
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try std.testing.expect(yr.sp500_total_return > -0.50);
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return;
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}
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}
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return error.YearNotFound;
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}
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test "spot check 1929 crash" {
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// 1929: S&P 500 nominal total return should be significantly negative
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for (annual_returns) |yr| {
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if (yr.year == 1929) {
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try std.testing.expect(yr.sp500_total_return < -0.05);
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return;
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}
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}
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return error.YearNotFound;
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}
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test "realReturn calculation" {
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// 10% nominal with 3% inflation = ~6.8% real
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const real = realReturn(0.10, 0.03);
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try std.testing.expectApproxEqAbs(0.06796, real, 0.001);
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}
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test "maxCycles" {
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// With ~154 years of data, a 30-year horizon should give ~124 cycles
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const cycles = maxCycles(30);
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try std.testing.expect(cycles >= 120);
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try std.testing.expect(cycles <= 130);
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// Horizon longer than data should give 0
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try std.testing.expectEqual(@as(usize, 0), maxCycles(200));
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}
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test "spot check known annual total returns" {
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// Nominal total returns (real from TR Price + CPI).
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// Jan-to-Jan measurement, so timing differs from calendar-year figures.
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const checks = [_]struct { year: u16, min: f64, max: f64 }{
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.{ .year = 1931, .min = -0.55, .max = -0.25 }, // Great Depression year
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.{ .year = 1933, .min = 0.30, .max = 0.80 }, // Recovery
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.{ .year = 1974, .min = -0.40, .max = -0.05 }, // Oil crisis
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.{ .year = 2008, .min = -0.50, .max = -0.25 }, // GFC
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.{ .year = 2009, .min = 0.15, .max = 0.50 }, // Recovery
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.{ .year = 2021, .min = 0.10, .max = 0.45 }, // Post-COVID
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};
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for (checks) |chk| {
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var found = false;
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for (annual_returns) |yr| {
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if (yr.year == chk.year) {
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found = true;
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if (yr.sp500_total_return < chk.min or yr.sp500_total_return > chk.max) {
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std.debug.print("Year {d}: SP500 TR = {d:.4}, expected {d:.2} to {d:.2}\n", .{
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chk.year, yr.sp500_total_return, chk.min, chk.max,
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});
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return error.TestExpectedEqual;
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}
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break;
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}
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}
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if (!found) {
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std.debug.print("Year {d} not found in data\n", .{chk.year});
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return error.TestExpectedEqual;
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}
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}
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}
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test "bond returns are reasonable" {
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// Bond returns (GS10 yield) should be between 0% and 16%
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for (annual_returns) |yr| {
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if (yr.bond_total_return < 0.0 or yr.bond_total_return > 0.16) {
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std.debug.print("Year {d}: Bond TR = {d:.4}, out of range\n", .{
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yr.year, yr.bond_total_return,
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});
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return error.TestExpectedEqual;
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}
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}
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}
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test "CPI inflation is reasonable" {
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// CPI should generally be between -20% and +25% (19th century had severe deflation)
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for (annual_returns) |yr| {
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if (yr.cpi_inflation < -0.20 or yr.cpi_inflation > 0.25) {
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std.debug.print("Year {d}: CPI = {d:.4}, out of range\n", .{
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yr.year, yr.cpi_inflation,
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});
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return error.TestExpectedEqual;
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}
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}
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}
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test "parseF64WithCommas" {
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try std.testing.expectApproxEqAbs(@as(f64, 9944.73), parseF64WithCommas(" 9,944.73 ").?, 0.01);
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try std.testing.expectApproxEqAbs(@as(f64, 1036099.07), parseF64WithCommas(" 1,036,099.07 ").?, 0.01);
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try std.testing.expectApproxEqAbs(@as(f64, 116.82), parseF64WithCommas(" 116.82 ").?, 0.01);
|
||||
try std.testing.expectEqual(@as(?f64, null), parseF64WithCommas(""));
|
||||
try std.testing.expectEqual(@as(?f64, null), parseF64WithCommas("NA"));
|
||||
}
|
||||
Loading…
Add table
Reference in a new issue