finance_velocity 2.0.3

data/lib/finance/cashflows.rb

@@ -0,0 +1,127 @@
+require_relative 'decimal'
+require_relative 'rates'
+
+require 'bigdecimal'
+require 'bigdecimal/newton'
+include Newton
+
+module Finance
+  # Provides methods for working with cash flows (collections of transactions)
+  # @api public
+  module Cashflow
+    # Base class for working with Newton's Method.
+    # @api private
+    class Function
+      values = {
+        eps: "1.0e-16",
+        one: "1.0",
+        two: "2.0",
+        ten: "10.0",
+        zero: "0.0"
+        }
+
+      values.each do |key, value|
+        define_method key do
+          BigDecimal value
+        end
+      end
+
+      def initialize(transactions, function)
+        @transactions = transactions
+        @function = function
+      end
+
+      def values(x)
+        value = @transactions.send(@function, Flt::DecNum.new(x[0].to_s))
+        [ BigDecimal(value.to_s) ]
+      end
+    end
+
+    # calculate the internal rate of return for a sequence of cash flows
+    # @return [DecNum] the internal rate of return
+    # @example
+    #   [-4000,1200,1410,1875,1050].irr #=> 0.143
+    # @see http://en.wikipedia.org/wiki/Internal_rate_of_return
+    # @api public
+    def irr
+      # Make sure we have a valid sequence of cash flows.
+      positives, negatives = self.partition{ |i| i >= 0 }
+      if positives.empty? || negatives.empty?
+        raise ArgumentError, "Calculation does not converge."
+      end
+
+      func = Function.new(self, :npv)
+      rate = [ func.one ]
+      nlsolve( func, rate )
+      rate[0]
+    end
+
+    def method_missing(name, *args, &block)
+      return self.inject(:+) if name.to_s == "sum"
+      super
+    end
+
+    # calculate the net present value of a sequence of cash flows
+    # @return [DecNum] the net present value
+    # @param [Numeric] rate the discount rate to be applied
+    # @example
+    #   [-100.0, 60, 60, 60].npv(0.1) #=> 49.211
+    # @see http://en.wikipedia.org/wiki/Net_present_value
+    # @api public
+    def npv(rate)
+      self.collect! { |entry| Flt::DecNum.new(entry.to_s) }
+
+      rate, total = Flt::DecNum.new(rate.to_s), Flt::DecNum.new(0.to_s)
+      self.each_with_index do |cashflow, index|
+        total += cashflow / (1 + rate) ** index
+      end
+
+      total
+    end
+
+    # calculate the internal rate of return for a sequence of cash flows with dates
+    # @return [Rate] the internal rate of return
+    # @example
+    #   @transactions = []
+    #   @transactions << Transaction.new(-1000, :date => Time.new(1985,01,01))
+    #   @transactions << Transaction.new(  600, :date => Time.new(1990,01,01))
+    #   @transactions << Transaction.new(  600, :date => Time.new(1995,01,01))
+    #   @transactions.xirr(0.6) #=> Rate("0.024851", :apr, :compounds => :annually)
+    # @api public
+    def xirr(iterations=100)
+      # Make sure we have a valid sequence of cash flows.
+      positives, negatives = self.partition{ |t| t.amount >= 0 }
+      if positives.empty? || negatives.empty?
+        raise ArgumentError, "Calculation does not converge."
+      end
+
+      func = Function.new(self, :xnpv)
+      rate = [ func.one ]
+      nlsolve( func, rate )
+      Rate.new(rate[0], :apr, :compounds => :annually)
+    end
+
+    # calculate the net present value of a sequence of cash flows
+    # @return [DecNum]
+    # @example
+    #   @transactions = []
+    #   @transactions << Transaction.new(-1000, :date => Time.new(1985,01,01))
+    #   @transactions << Transaction.new(  600, :date => Time.new(1990,01,01))
+    #   @transactions << Transaction.new(  600, :date => Time.new(1995,01,01))
+    #   @transactions.xnpv(0.6).round(2) #=> -937.41
+    # @api public
+    def xnpv(rate)
+      rate  = Flt::DecNum.new(rate.to_s)
+      start = self[0].date
+
+      self.inject(0) do |sum, t|
+        n = t.amount / ( (1 + rate) ** ((t.date-start) / Flt::DecNum.new(31536000.to_s))) # 365 * 86400
+        sum + n
+      end
+    end
+  end
+end
+
+class Array
+  include Finance::Cashflow
+end

data/lib/finance/decimal.rb

@@ -0,0 +1,21 @@
+require 'rubygems'
+require 'flt'
+include Flt
+
+DecNum.context.define_conversion_from(BigDecimal) do |x, context|
+  DecNum(x.to_s)
+end
+
+DecNum.context.define_conversion_to(BigDecimal) do |x|
+  BigDecimal(x.to_s)
+end
+
+class Numeric
+  def to_d
+    if self.instance_of? DecNum
+      self
+    else
+      DecNum self.to_s
+    end
+  end
+end

data/lib/finance/rates.rb

@@ -0,0 +1,167 @@
+require_relative 'decimal'
+
+module Finance
+  # the Rate class provides an interface for working with interest rates.
+  # {render:Rate#new}
+  # @api public
+  class Rate
+    include Comparable
+
+    # Accepted rate types
+    TYPES = { :apr       => "effective",
+              :apy       => "effective",
+              :effective => "effective",
+              :nominal   => "nominal"
+            }
+
+    # @return [Integer] the duration for which the rate is valid, in months
+    # @api public
+    attr_accessor :duration
+    # @return [DecNum] the effective interest rate
+    # @api public
+    attr_reader :effective
+    # @return [DecNum] the nominal interest rate
+    # @api public
+    attr_reader :nominal
+
+    # compare two Rates, using the effective rate
+    # @return [Numeric] one of -1, 0, +1
+    # @param [Rate] rate the comparison Rate
+    # @example Which is better, a nominal rate of 15% compounded monthly, or 15.5% compounded semiannually?
+    #   r1 = Rate.new(0.15, :nominal) #=> Rate.new(0.160755, :apr)
+    #   r2 = Rate.new(0.155, :nominal, :compounds => :semiannually) #=> Rate.new(0.161006, :apr)
+    #   r1 <=> r2 #=> -1
+    # @api public
+    def <=>(rate)
+      @effective <=> rate.effective
+    end
+
+    # (see #effective)
+    # @api public
+    def apr
+      self.effective
+    end
+
+    # (see #effective)
+    # @api public
+    def apy
+      self.effective
+    end
+
+    # a convenience method which sets the value of @periods
+    # @return none
+    # @param [Symbol, Numeric] input the compounding frequency
+    # @raise [ArgumentError] if input is not an accepted keyword or Numeric
+    # @api private
+    def compounds=(input)
+      @periods = case input
+                 when :annually     then Flt::DecNum.new(1)
+                 when :continuously then Flt::DecNum.infinity
+                 when :daily        then Flt::DecNum.new(365)
+                 when :monthly      then Flt::DecNum.new(12)
+                 when :quarterly    then Flt::DecNum.new(4)
+                 when :semiannually then Flt::DecNum.new(2)
+                 when Numeric       then Flt::DecNum.new(input.to_s)
+                 else raise ArgumentError
+                 end
+    end
+
+    # set the effective interest rate
+    # @return none
+    # @param [DecNum] rate the effective interest rate
+    # @api private
+    def effective=(rate)
+      @effective = rate
+      @nominal = Rate.to_nominal(rate, @periods)
+    end
+
+    # create a new Rate instance
+    # @return [Rate]
+    # @param [Numeric] rate the decimal value of the interest rate
+    # @param [Symbol] type a valid {TYPES rate type}
+    # @param [optional, Hash] opts set optional attributes
+    # @option opts [String] :duration a time interval for which the rate is valid
+    # @option opts [String] :compounds (:monthly) the number of compounding periods per year
+    # @example create a 3.5% APR rate
+    #   Rate.new(0.035, :apr) #=> Rate(0.035, :apr)
+    # @see http://en.wikipedia.org/wiki/Effective_interest_rate
+    # @see http://en.wikipedia.org/wiki/Nominal_interest_rate
+    # @api public
+    def initialize(rate, type, opts={})
+      # Default monthly compounding.
+      opts = { :compounds => :monthly }.merge opts
+
+      # Set optional attributes..
+      opts.each do |key, value|
+        send("#{key}=", value)
+      end
+
+      # Set the rate in the proper way, based on the value of type.
+      begin
+        send("#{TYPES.fetch(type)}=", Flt::DecNum.new(rate.to_s))
+      rescue KeyError
+        raise ArgumentError, "type must be one of #{TYPES.keys.join(', ')}", caller
+      end
+    end
+
+    def inspect
+      "Rate.new(#{self.apr.round(6)}, :apr)"
+    end
+
+    # @return [DecNum] the monthly effective interest rate
+    # @example
+    #   rate = Rate.new(0.15, :nominal)
+    #   rate.apr.round(6) #=> DecNum('0.160755')
+    #   rate.monthly.round(6) #=> DecNum('0.013396')
+    # @api public
+    def monthly
+      (self.effective / 12).round(15)
+    end
+
+    # set the nominal interest rate
+    # @return none
+    # @param [DecNum] rate the nominal interest rate
+    # @api private
+    def nominal=(rate)
+      @nominal = rate
+      @effective = Rate.to_effective(rate, @periods)
+    end
+
+    # convert a nominal interest rate to an effective interest rate
+    # @return [DecNum] the effective interest rate
+    # @param [Numeric] rate the nominal interest rate
+    # @param [Numeric] periods the number of compounding periods per year
+    # @example
+    #   Rate.to_effective(0.05, 4) #=> DecNum('0.05095')
+    # @api public
+    def Rate.to_effective(rate, periods)
+      rate, periods = Flt::DecNum.new(rate.to_s), Flt::DecNum.new(periods.to_s)
+
+      if periods.infinite?
+        rate.exp - 1
+      else
+        (1 + rate / periods) ** periods - 1
+      end
+    end
+
+    # convert an effective interest rate to a nominal interest rate
+    # @return [DecNum] the nominal interest rate
+    # @param [Numeric] rate the effective interest rate
+    # @param [Numeric] periods the number of compounding periods per year
+    # @example
+    #   Rate.to_nominal(0.06, 365) #=> DecNum('0.05827')
+    # @see http://www.miniwebtool.com/nominal-interest-rate-calculator/
+    # @api public
+    def Rate.to_nominal(rate, periods)
+      rate, periods = Flt::DecNum.new(rate.to_s), Flt::DecNum.new(periods.to_s)
+
+      if periods.infinite?
+        (rate + 1).log
+      else
+        periods * ((1 + rate) ** (1 / periods) - 1)
+      end
+    end
+
+    private :compounds=, :effective=, :nominal=
+  end
+end

data/lib/finance/transaction.rb

@@ -0,0 +1,122 @@
+require_relative 'decimal'
+
+module Finance
+  # the Transaction class provides a general interface for working with individual cash flows.
+  # @api public
+  class Transaction
+    # @return [DecNum] the cash value of the transaction
+    # @api public
+    attr_reader :amount
+    # @return [Integer] the period number of the transaction
+    # @note this attribute is mainly used in the case of mortgage amortization with no dates
+    # @api public
+    attr_accessor :period
+    # @return [Date] the date of the transaction
+    # @api public
+    attr_accessor :date
+
+    # Set the cash value of the transaction
+    # @return None
+    # @param [Numeric] value the cash value
+    # @example
+    #   t = Transaction.new(500)
+    #   t.amount = 750
+    #   t.amount #=> 750
+    # @api public
+    def amount=(value)
+      @amount = Flt::DecNum.new(value.to_s)
+    end
+
+    # @return [DecNum] the difference between the original transaction
+    #   amount and the current amount
+    # @example
+    #   t = Transaction.new(500)
+    #   t.amount = 750
+    #   t.difference #=> DecNum('250')
+    # @api public
+    def difference
+      @amount - @original
+    end
+
+    # create a new Transaction
+    # @return [Transaction]
+    # @param [Numeric] amount the cash value of the transaction
+    # @param [optional, Hash] opts sets optional attributes
+    # @option opts [String] :period the period number of the transaction
+    # @example a simple transaction
+    #   t = Transaction.new(400)
+    # @example a transaction with a period number
+    #   t = Transaction.new(400, :period => 3)
+    # @api public
+    def initialize(amount, opts={})
+      @amount = amount
+      @original = amount
+
+      # Set optional attributes..
+      opts.each do |key, value|
+        send("#{key}=", value)
+      end
+    end
+
+    # @return [Boolean] whether or not the Transaction is an Interest transaction
+    # @example
+    #   pmt = Payment.new(500)
+    #   int = Interest.new(500)
+    #   pmt.interest? #=> False
+    #   int.interest? #=> True
+    # @api public
+    def interest?
+      self.instance_of? Interest
+    end
+
+    # @api public
+    def inspect
+      "Transaction(#{@amount})"
+    end
+
+    # Modify a Transaction's amount by passing a block
+    # @return none
+    # @note self is passed as the argument to the block.  This makes any public attribute available.
+    # @example add $100 to a monthly payment
+    #   pmt = Payment.new(-500)
+    #   pmt.modify { |t| t.amount-100 }
+    #   pmt.amount #=> -600
+    # @api public
+    def modify
+      @amount = yield(self)
+    end
+
+    # (see #amount)
+    # @deprecated Provided for backwards compatibility
+    def payment
+      @amount
+    end
+
+    # @return [Boolean] whether or not the Transaction is a Payment transaction
+    # @example
+    #   pmt = Payment.new(500)
+    #   int = Interest.new(500)
+    #   pmt.payment? #=> True
+    #   int.payment? #=> False
+    # @api public
+    def payment?
+      self.instance_of? Payment
+    end
+  end
+
+  # Represent an interest charge as a Transaction
+  # @see Transaction
+  class Interest < Transaction
+    def inspect
+      "Interest(#{@amount})"
+    end
+  end
+
+  # Represent a loan payment as a Transaction
+  # @see Transaction
+  class Payment < Transaction
+    def inspect
+      "Payment(#{@amount})"
+    end
+  end
+end

data/lib/finance.rb

@@ -0,0 +1,15 @@
+require 'finance/decimal'
+require 'finance/cashflows'
+
+# The *Finance* module adheres to the following conventions for
+# financial calculations:
+#
+#  * Positive values represent cash inflows (money received); negative
+#    values represent cash outflows (payments).
+#  * *principal* represents the outstanding balance of a loan or annuity.
+#  * *rate* represents the interest rate _per period_.
+module Finance
+  autoload :Amortization, 'finance/amortization'
+  autoload :Rate,         'finance/rates'
+  autoload :Transaction,  'finance/transaction'
+end

data/test/test_amortization.rb

@@ -0,0 +1,171 @@
+require_relative 'test_helper'
+
+# @see http://tinyurl.com/6zroqvd for detailed calculations for the
+#   examples in these unit tests.
+describe "Amortization" do
+  def ipmt(principal, rate, payment, period)
+    -(-rate*principal*(1+rate)**(period-1) - payment*((1+rate)**(period-1)-1)).round(2)
+  end
+
+  describe "amortization with a 0% rate" do
+    it "should not raise a divide-by-zero error" do
+      rate = Rate.new(0, :apr, :duration => 30 * 12)
+      Amortization.new(D(10000), rate) # should not raise an error
+    end
+  end
+
+  describe "a fixed-rate amortization of 200000 at 3.75% over 30 years" do
+    before(:all) do
+      @rate = Rate.new(0.0375, :apr, :duration => (30 * 12))
+      @principal = D(200000)
+      @std = Amortization.new(@principal, @rate)
+    end
+
+    it "should have a principal of $200,000" do
+      assert_equal @principal, @std.principal
+    end
+
+    it "should have a final balance of zero" do
+      assert @std.balance.zero?
+    end
+
+    it "should have a duration of 360 months" do
+      assert_equal 360, @std.duration
+    end
+
+    it "should have a monthly payment of $926.23" do
+      assert_equal D('-926.23'), @std.payment
+    end
+
+    it "should have a final payment of $926.96 (due to rounding)" do
+      assert_equal D('-926.96'), @std.payments[-1]
+    end
+
+    it "should have total payments of $333,443.53" do
+      assert_equal D('-333443.53'), @std.payments.sum
+    end
+
+    it "should have interest charges which agree with the standard formula" do
+      0.upto 359 do |period|
+        assert_equal @std.interest[period], ipmt(@principal, @rate.monthly, @std.payment, period+1)
+      end
+    end
+
+    it "should have total interest charges of $133,433.33" do
+      assert_equal D('133443.53'), @std.interest.sum
+    end
+  end
+
+  describe "an adjustable rate amortization of 200000 starting at 3.75% and increasing by 1% every 3 years" do
+    before(:all) do
+      @rates = []
+      0.upto 9 do |adj|
+        @rates << Rate.new(0.0375 + (D('0.01') * adj), :apr, :duration => (3 * 12))
+      end
+      @principal = D(200000)
+      @arm = Amortization.new(@principal, *@rates)
+    end
+
+    it "should have a principal of $200,000" do
+      assert_equal @principal, @arm.principal
+    end
+
+    it "should have a final balance of zero" do
+      assert @arm.balance.zero?
+    end
+
+    it "should have a duration of 360 months" do
+      assert_equal 360, @arm.duration
+    end
+
+    it "should not have a fixed monthly payment (since it changes)" do
+      assert_nil @arm.payment
+    end
+
+    it "should have payments which increase every three years" do
+      values = %w{926.23 1033.73 1137.32 1235.39 1326.30 1408.27 1479.28 1537.03 1578.84 1601.66 }
+      values.collect!{ |v| -D(v) }
+
+      payments = []
+      values[0,9].each do |v|
+        36.times do
+          payments << v
+        end
+      end
+
+      35.times { payments << values[9] }
+
+      payments[0..-2].each_with_index do |payment, index|
+        assert_equal payment, @arm.payments[index]
+      end
+    end
+
+    it "should have a final payment of $1601.78 (due to rounding)" do
+      assert_equal D('-1601.78'), @arm.payments[-1]
+    end
+
+    it "should have total payments of $47,505.92" do
+      assert_equal D('-477505.92'), @arm.payments.sum
+    end
+
+    it "should have total interest charges of $277,505.92" do
+      assert_equal D('277505.92'), @arm.interest.sum
+    end
+  end
+
+  describe "a fixed-rate amortization of 200000 at 3.75% over 30 years, where an additional 100 is paid each month" do
+    before(:all) do
+      @rate = Rate.new(0.0375, :apr, :duration => (30 * 12))
+      @principal = D(200000)
+      @exp = Amortization.new(@principal, @rate){ |period| period.payment - 100 }
+    end
+
+    it "should have a principal of $200,000" do
+      assert_equal @principal, @exp.principal
+    end
+
+    it "should have a final balance of zero" do
+      assert @exp.balance.zero?
+    end
+
+    it "should have a duration of 301 months" do
+      assert_equal 301, @exp.duration
+    end
+
+    it "should have a monthly payment of $1026.23" do
+      assert_equal D('-1026.23'), @exp.payment
+    end
+
+    it "should have a final payment of $1011.09" do
+      assert_equal D('-1011.09'), @exp.payments[-1]
+    end
+
+    it "should have total payments of $308,880.09" do
+      assert_equal D('-308880.09'), @exp.payments.sum
+    end
+
+    it "should have total additional payments of $30,084.86" do
+      assert_equal D('-30084.86'), @exp.additional_payments.sum
+    end
+
+    it "should have total interest charges of $108880.09" do
+      assert_equal D('108880.09'), @exp.interest.sum
+    end
+  end
+end
+
+describe "Numeric Method" do
+  it 'works with simple invocation' do
+    rate = Rate.new(0.0375, :apr, :duration => (30 * 12))
+    amt_method = 300000.amortize(rate)
+    amt_class  = Amortization.new(300000, rate)
+    assert_equal amt_method, amt_class
+  end
+
+  it 'works with block invocation' do
+    rate = Rate.new(0.0375, :apr, :duration => (30 * 12))
+    amt_method = 300000.amortize(rate){ |period| period.payment-300 }
+    amt_class  = Amortization.new(300000, rate){ |period| period.payment-300 }
+    assert_equal amt_method, amt_class
+  end
+end

data/test/test_cashflows.rb

@@ -0,0 +1,32 @@
+require_relative 'test_helper'
+
+describe "Cashflows" do
+  describe "an array of numeric cashflows" do
+    it "should have an Internal Rate of Return" do
+      assert_equal D("0.143"), [-4000,1200,1410,1875,1050].irr.round(3)
+      assert_raises(ArgumentError) { [10,20,30].irr }
+    end
+
+    it "should have a Net Present Value" do
+      assert_equal D("49.211"), [-100.0, 60, 60, 60].npv(0.1).round(3)
+    end
+  end
+
+  describe "an array of Transactions" do
+    before(:all) do
+      @xactions=[]
+      @xactions << Transaction.new(-1000, :date => Time.new(1985, 1, 1))
+      @xactions << Transaction.new(  600, :date => Time.new(1990, 1, 1))
+      @xactions << Transaction.new(  600, :date => Time.new(1995, 1, 1))
+    end
+
+    it "should have an Internal Rate of Return" do
+      assert_equal D("0.024851"), @xactions.xirr.effective.round(6)
+      assert_raises(ArgumentError) { @xactions[1, 2].xirr }
+    end
+
+    it "should have a Net Present Value" do
+      assert_equal D("-937.41"), @xactions.xnpv(0.6).round(2)
+    end
+  end
+end

data/test/test_helper.rb

@@ -0,0 +1,15 @@
+require 'minitest/autorun'
+require 'minitest/spec'
+
+require 'active_support/all'
+
+require 'pry'
+
+require 'flt'
+require 'flt/d'
+
+require_relative '../lib/finance/amortization.rb'
+require_relative '../lib/finance/cashflows.rb'
+require_relative '../lib/finance/rates.rb'
+require_relative '../lib/finance/transaction.rb'
+include Finance