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Sankey Diagram for BRK/B BCS Strategy

This diagram shows the cash flows from a bull call spread strategy on BRK/B

<!DOCTYPE html>
<meta charset="utf-8">
<title>BCS Strategy BRK/B</title>
<style>
.node rect {
cursor: move;
fill-opacity: .9;
shape-rendering: crispEdges;
}
.node text {
pointer-events: none;
text-shadow: 0 1px 0 #fff;
}
.link {
fill: none;
stroke: #000;
stroke-opacity: .2;
}
.link:hover {
stroke-opacity: .5;
}
</style>
<body>
<p id="chart">
<script src="https://d3js.org/d3.v3.min.js"></script>
<script src="sankey.js"></script>
<script>
var units = "Widgets";
var margin = {top: 10, right: 10, bottom: 10, left: 10},
width = 700 - margin.left - margin.right,
height = 300 - margin.top - margin.bottom;
var formatNumber = d3.format(",.0f"), // zero decimal places
format = function(d) { return formatNumber(d) + " " + units; },
color = d3.scale.category20();
// append the svg canvas to the page
var svg = d3.select("#chart").append("svg")
.attr("width", width + margin.left + margin.right)
.attr("height", height + margin.top + margin.bottom)
.append("g")
.attr("transform",
"translate(" + margin.left + "," + margin.top + ")");
// Set the sankey diagram properties
var sankey = d3.sankey()
.nodeWidth(36)
.nodePadding(40)
.size([width, height]);
var path = sankey.link();
// load the data (using the timelyportfolio csv method)
d3.csv("sankey.csv", function(error, data) {
//set up graph in same style as original example but empty
graph = {"nodes" : [], "links" : []};
data.forEach(function (d) {
graph.nodes.push({ "name": d.source });
graph.nodes.push({ "name": d.target });
graph.links.push({ "source": d.source,
"target": d.target,
"value": +d.value });
});
// return only the distinct / unique nodes
graph.nodes = d3.keys(d3.nest()
.key(function (d) { return d.name; })
.map(graph.nodes));
// loop through each link replacing the text with its index from node
graph.links.forEach(function (d, i) {
graph.links[i].source = graph.nodes.indexOf(graph.links[i].source);
graph.links[i].target = graph.nodes.indexOf(graph.links[i].target);
});
//now loop through each nodes to make nodes an array of objects
// rather than an array of strings
graph.nodes.forEach(function (d, i) {
graph.nodes[i] = { "name": d };
});
sankey
.nodes(graph.nodes)
.links(graph.links)
.layout(32);
// add in the links
var link = svg.append("g").selectAll(".link")
.data(graph.links)
.enter().append("path")
.attr("class", "link")
.attr("d", path)
.style("stroke-width", function(d) { return Math.max(1, d.dy); })
.sort(function(a, b) { return b.dy - a.dy; });
// add the link titles
link.append("title")
.text(function(d) {
return d.source.name + "" +
d.target.name + "\n" + format(d.value); });
// add in the nodes
var node = svg.append("g").selectAll(".node")
.data(graph.nodes)
.enter().append("g")
.attr("class", "node")
.attr("transform", function(d) {
return "translate(" + d.x + "," + d.y + ")"; })
.call(d3.behavior.drag()
.origin(function(d) { return d; })
.on("dragstart", function() {
this.parentNode.appendChild(this); })
.on("drag", dragmove));
// add the rectangles for the nodes
node.append("rect")
.attr("height", function(d) { return d.dy; })
.attr("width", sankey.nodeWidth())
.style("fill", function(d) {
return d.color = color(d.name.replace(/ .*/, "")); })
.style("stroke", function(d) {
return d3.rgb(d.color).darker(2); })
.append("title")
.text(function(d) {
return d.name + "\n" + format(d.value); });
// add in the title for the nodes
node.append("text")
.attr("x", -6)
.attr("y", function(d) { return d.dy / 2; })
.attr("dy", ".35em")
.attr("text-anchor", "end")
.attr("transform", null)
.text(function(d) { return d.name; })
.filter(function(d) { return d.x < width / 2; })
.attr("x", 6 + sankey.nodeWidth())
.attr("text-anchor", "start");
// the function for moving the nodes
function dragmove(d) {
d3.select(this).attr("transform",
"translate(" + d.x + "," + (
d.y = Math.max(0, Math.min(height - d.dy, d3.event.y))
) + ")");
sankey.relayout();
link.attr("d", path);
}
});
</script>
</body>
</html>
source target value
Cash Invested BCS 2016 110/120 5600
BCS 2016 110/120 Cash Out 3658
BCS 2016 110/120 BCS 2017 145/155 5305
BCS 2017 145/155 Cash Out 10000
BCS 2016 110/120 Interest 1
Interest Cash Out 585
d3.sankey = function() {
var sankey = {},
nodeWidth = 24,
nodePadding = 8,
size = [1, 1],
nodes = [],
links = [];
sankey.nodeWidth = function(_) {
if (!arguments.length) return nodeWidth;
nodeWidth = +_;
return sankey;
};
sankey.nodePadding = function(_) {
if (!arguments.length) return nodePadding;
nodePadding = +_;
return sankey;
};
sankey.nodes = function(_) {
if (!arguments.length) return nodes;
nodes = _;
return sankey;
};
sankey.links = function(_) {
if (!arguments.length) return links;
links = _;
return sankey;
};
sankey.size = function(_) {
if (!arguments.length) return size;
size = _;
return sankey;
};
sankey.layout = function(iterations) {
computeNodeLinks();
computeNodeValues();
computeNodeBreadths();
computeNodeDepths(iterations);
computeLinkDepths();
return sankey;
};
sankey.relayout = function() {
computeLinkDepths();
return sankey;
};
sankey.link = function() {
var curvature = .5;
function link(d) {
var x0 = d.source.x + d.source.dx,
x1 = d.target.x,
xi = d3.interpolateNumber(x0, x1),
x2 = xi(curvature),
x3 = xi(1 - curvature),
y0 = d.source.y + d.sy + d.dy / 2,
y1 = d.target.y + d.ty + d.dy / 2;
return "M" + x0 + "," + y0
+ "C" + x2 + "," + y0
+ " " + x3 + "," + y1
+ " " + x1 + "," + y1;
}
link.curvature = function(_) {
if (!arguments.length) return curvature;
curvature = +_;
return link;
};
return link;
};
// Populate the sourceLinks and targetLinks for each node.
// Also, if the source and target are not objects, assume they are indices.
function computeNodeLinks() {
nodes.forEach(function(node) {
node.sourceLinks = [];
node.targetLinks = [];
});
links.forEach(function(link) {
var source = link.source,
target = link.target;
if (typeof source === "number") source = link.source = nodes[link.source];
if (typeof target === "number") target = link.target = nodes[link.target];
source.sourceLinks.push(link);
target.targetLinks.push(link);
});
}
// Compute the value (size) of each node by summing the associated links.
function computeNodeValues() {
nodes.forEach(function(node) {
node.value = Math.max(
d3.sum(node.sourceLinks, value),
d3.sum(node.targetLinks, value)
);
});
}
// Iteratively assign the breadth (x-position) for each node.
// Nodes are assigned the maximum breadth of incoming neighbors plus one;
// nodes with no incoming links are assigned breadth zero, while
// nodes with no outgoing links are assigned the maximum breadth.
function computeNodeBreadths() {
var remainingNodes = nodes,
nextNodes,
x = 0;
while (remainingNodes.length) {
nextNodes = [];
remainingNodes.forEach(function(node) {
node.x = x;
node.dx = nodeWidth;
node.sourceLinks.forEach(function(link) {
nextNodes.push(link.target);
});
});
remainingNodes = nextNodes;
++x;
}
//
moveSinksRight(x);
scaleNodeBreadths((width - nodeWidth) / (x - 1));
}
function moveSourcesRight() {
nodes.forEach(function(node) {
if (!node.targetLinks.length) {
node.x = d3.min(node.sourceLinks, function(d) { return d.target.x; }) - 1;
}
});
}
function moveSinksRight(x) {
nodes.forEach(function(node) {
if (!node.sourceLinks.length) {
node.x = x - 1;
}
});
}
function scaleNodeBreadths(kx) {
nodes.forEach(function(node) {
node.x *= kx;
});
}
function computeNodeDepths(iterations) {
var nodesByBreadth = d3.nest()
.key(function(d) { return d.x; })
.sortKeys(d3.ascending)
.entries(nodes)
.map(function(d) { return d.values; });
//
initializeNodeDepth();
resolveCollisions();
for (var alpha = 1; iterations > 0; --iterations) {
relaxRightToLeft(alpha *= .99);
resolveCollisions();
relaxLeftToRight(alpha);
resolveCollisions();
}
function initializeNodeDepth() {
var ky = d3.min(nodesByBreadth, function(nodes) {
return (size[1] - (nodes.length - 1) * nodePadding) / d3.sum(nodes, value);
});
nodesByBreadth.forEach(function(nodes) {
nodes.forEach(function(node, i) {
node.y = i;
node.dy = node.value * ky;
});
});
links.forEach(function(link) {
link.dy = link.value * ky;
});
}
function relaxLeftToRight(alpha) {
nodesByBreadth.forEach(function(nodes, breadth) {
nodes.forEach(function(node) {
if (node.targetLinks.length) {
var y = d3.sum(node.targetLinks, weightedSource) / d3.sum(node.targetLinks, value);
node.y += (y - center(node)) * alpha;
}
});
});
function weightedSource(link) {
return center(link.source) * link.value;
}
}
function relaxRightToLeft(alpha) {
nodesByBreadth.slice().reverse().forEach(function(nodes) {
nodes.forEach(function(node) {
if (node.sourceLinks.length) {
var y = d3.sum(node.sourceLinks, weightedTarget) / d3.sum(node.sourceLinks, value);
node.y += (y - center(node)) * alpha;
}
});
});
function weightedTarget(link) {
return center(link.target) * link.value;
}
}
function resolveCollisions() {
nodesByBreadth.forEach(function(nodes) {
var node,
dy,
y0 = 0,
n = nodes.length,
i;
// Push any overlapping nodes down.
nodes.sort(ascendingDepth);
for (i = 0; i < n; ++i) {
node = nodes[i];
dy = y0 - node.y;
if (dy > 0) node.y += dy;
y0 = node.y + node.dy + nodePadding;
}
// If the bottommost node goes outside the bounds, push it back up.
dy = y0 - nodePadding - size[1];
if (dy > 0) {
y0 = node.y -= dy;
// Push any overlapping nodes back up.
for (i = n - 2; i >= 0; --i) {
node = nodes[i];
dy = node.y + node.dy + nodePadding - y0;
if (dy > 0) node.y -= dy;
y0 = node.y;
}
}
});
}
function ascendingDepth(a, b) {
return a.y - b.y;
}
}
function computeLinkDepths() {
nodes.forEach(function(node) {
node.sourceLinks.sort(ascendingTargetDepth);
node.targetLinks.sort(ascendingSourceDepth);
});
nodes.forEach(function(node) {
var sy = 0, ty = 0;
node.sourceLinks.forEach(function(link) {
link.sy = sy;
sy += link.dy;
});
node.targetLinks.forEach(function(link) {
link.ty = ty;
ty += link.dy;
});
});
function ascendingSourceDepth(a, b) {
return a.source.y - b.source.y;
}
function ascendingTargetDepth(a, b) {
return a.target.y - b.target.y;
}
}
function center(node) {
return node.y + node.dy / 2;
}
function value(link) {
return link.value;
}
return sankey;
};
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