finmodeling 0.1 → 0.2

data/lib/finmodeling/comprehensive_income_statement_item_vectors.rb

@@ -0,0 +1,235 @@
+module FinModeling
+  class ComprehensiveIncomeStatementItem < String
+    TRAINING_VECTORS = [ 
+
+      # Fake: made up to show an example of FIAT. Need to pull in more real examples..
+      {:klass=>:or, :item_string=>"Advertising Revenue"},
+      {:klass=>:cogs, :item_string=>"Advertising Revenue Cost"},
+      {:klass=>:oe, :item_string=>"General And Administrative Expense"},
+      {:klass=>:oe, :item_string=>"Other General And Administrative Expense"},
+      {:klass=>:oe, :item_string=>"Depreciation Amortization And Accretion Net"},
+      {:klass=>:fibt, :item_string=>"Gain Loss On Disposition Of Assets"},
+      {:klass=>:fibt, :item_string=>"Gains Losses On Extinguishment Of Debt"},
+      {:klass=>:fibt, :item_string=>"Investment Income Interest"},
+      {:klass=>:fibt, :item_string=>"Interest Expense"},
+      {:klass=>:tax, :item_string=>"Income Tax Expense Benefit"},
+      {:klass=>:fiat, :item_string=>"Dividends Preferred Stock"},
+      {:klass=>:ooci_nci, :item_string=>"Comprehensive Income Net Of Tax Attributable To Noncontrolling Interest"},
+
+      # ALTR
+      {:klass=>:or, :item_string=>"Sales Revenue Net"},
+      {:klass=>:cogs, :item_string=>"Cost Of Goods And Services Sold"},
+      {:klass=>:oe, :item_string=>"Research And Development Expense"},
+      {:klass=>:oe, :item_string=>"Selling General And Administrative Expense"},
+      {:klass=>:oe, :item_string=>"Loss Gain On Deferred Compensation Plan Securities"},
+      {:klass=>:fibt, :item_string=>"Investment Income Interest"},
+      {:klass=>:fibt, :item_string=>"Foreign Currency Cash Flow Hedge Gain Loss Reclassified To Earnings Net"},
+      {:klass=>:fibt, :item_string=>"Interest Expense"},
+      {:klass=>:oibt, :item_string=>"Deferred Compensation Arrangement With Individual Compensation Expense"},
+      {:klass=>:tax, :item_string=>"Income Tax Expense Benefit"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income Unrealized Gain Loss On Derivatives Arising During Period Net Of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income Loss Reclassification Adjustment On Derivatives Included In Net Income Net Of Tax"},
+
+      # This comes from ALTR. It was getting misclassified as foci, so I'm retraining it a bunch of times.
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income (Loss), Net of Tax"},
+
+      # BMC
+      {:klass=>:or, :item_string=>"Licenses Revenue"},
+      {:klass=>:or, :item_string=>"Maintenance Revenue"},
+      {:klass=>:or, :item_string=>"Technology Services Revenue"},
+      {:klass=>:cogs, :item_string=>"License Costs"},
+      {:klass=>:cogs, :item_string=>"Maintenance Costs"},
+      {:klass=>:cogs, :item_string=>"Technology Services Costs"},
+      {:klass=>:oe, :item_string=>"Selling And Marketing Expense"},
+      {:klass=>:oe, :item_string=>"Research And Development Expense Software Excluding Acquired In Process Cost"},
+      {:klass=>:oe, :item_string=>"General And Administrative Expense"},
+      {:klass=>:oe, :item_string=>"Amortization Of Intangible Assets"},
+      {:klass=>:fibt, :item_string=>"Other Interest And Dividend Income"},
+      {:klass=>:fibt, :item_string=>"Interest Expense"},
+      {:klass=>:fibt, :item_string=>"Gain Loss On Investments"},
+      {:klass=>:tax, :item_string=>"Income Tax Expense Benefit"},
+
+      # CHRW
+      {:klass=>:or, :item_string=>"Transportation Services Revenue"},
+      {:klass=>:or, :item_string=>"Sales Revenue Goods Net"},
+      {:klass=>:or, :item_string=>"Sales Revenue Services Net"},
+      {:klass=>:cogs, :item_string=>"Cost Of Purchased Transportation And Related Services"},
+      {:klass=>:cogs, :item_string=>"Cost Of Goods Sold"},
+      {:klass=>:oe, :item_string=>"Labor And Related Expense"},
+      {:klass=>:oe, :item_string=>"Other Selling General And Administrative Expense"},
+      {:klass=>:fibt, :item_string=>"Total Nonoperating Interest And Other Income Expense"},
+      {:klass=>:tax, :item_string=>"Income Tax Expense Benefit"},
+
+      # SIRI
+      {:klass=>:or, :item_string=>"Other Sales Revenue Net"},
+      {:klass=>:or, :item_string=>"Equipment Revenue"},
+      {:klass=>:or, :item_string=>"Advertising Revenue"},
+      {:klass=>:or, :item_string=>"Subscription Revenue"},
+      {:klass=>:cogs, :item_string=>"Revenue Share And Royalties"},
+      {:klass=>:cogs, :item_string=>"Programming And Content"},
+      {:klass=>:cogs, :item_string=>"Customer Service And Billing"},
+      {:klass=>:cogs, :item_string=>"Satellite And Transmission"},
+      {:klass=>:cogs, :item_string=>"Cost Of Goods Sold"},
+      {:klass=>:oe, :item_string=>"Subscriber Acquisition Costs"},
+      {:klass=>:oe, :item_string=>"Selling And Marketing Expense"},
+      {:klass=>:oe, :item_string=>"Technology Services Costs"},
+      {:klass=>:oe, :item_string=>"General And Administrative Expense"},
+      {:klass=>:oe, :item_string=>"Depreciation And Amortization"},
+      {:klass=>:fibt, :item_string=>"Interest And Investment Income Loss"},
+      {:klass=>:fibt, :item_string=>"Interest Expense"},
+      {:klass=>:fibt, :item_string=>"Gains Losses On Extinguishment Of Debt"},
+      {:klass=>:fibt, :item_string=>"Other Nonoperating Income Expense"},
+      {:klass=>:tax, :item_string=>"Income Tax Expense Benefit"},
+      {:klass=>:unkoci, :item_string=>"Realized Loss On Investment Foreign Currency Translation Adjustment"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income Loss Foreign Currency Transaction And Translation Adjustment Net Of Tax"},
+
+      # VRSN
+      {:klass=>:or, :item_string=>"Revenues"},
+      {:klass=>:cogs, :item_string=>"Cost Of Revenue"},
+      {:klass=>:oe, :item_string=>"Selling And Marketing Expense"},
+      {:klass=>:oe, :item_string=>"Research And Development Expense"},
+      {:klass=>:oe, :item_string=>"General And Administrative Expense"},
+      {:klass=>:oibt, :item_string=>"Restructuring Settlement And Impairment Provisions"},
+      {:klass=>:fibt, :item_string=>"Interest Expense"},
+      {:klass=>:fibt, :item_string=>"Nonoperating Gains Losses"},
+      {:klass=>:tax, :item_string=>"Income Tax Expense Benefit"},
+      {:klass=>:ooiat, :item_string=>"Income Loss From Discontinued Operations Net Of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income Loss Foreign Currency Transaction And Translation Adjustment Net Of Tax"},
+      {:klass=>:foci, :item_string=>"Other Comprehensive Income Unrealized Holding Gain Loss On Securities Arising During Period Net Of Tax"},
+      {:klass=>:foci, :item_string=>"Other Comprehensive Income Loss Reclassification Adjustment For Sale Of Securities Included In Net Income Net Of Tax"},
+
+      # ATVI
+      {:klass=>:ni, :item_string=>"Net Income Loss"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income Foreign Currency Transaction And Translation Adjustment Net Of Tax Period Increase Decrease"},
+      {:klass=>:foci, :item_string=>"Other Comprehensive Income Unrealized Holding Gain Loss On Securities Arising During Period Net Of Tax"},
+
+      # CTXS
+      {:klass=>:ni, :item_string=>"Profit Loss"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income Loss Foreign Currency Transaction And Translation Adjustment Net Of Tax"},
+      {:klass=>:foci, :item_string=>"Other Comprehensive Income Unrealized Holding Gain Loss On Securities Arising During Period Net Of Tax"},
+      {:klass=>:foci, :item_string=>"Other Comprehensive Income Loss Reclassification Adjustment For Sale Of Securities Included In Net Income Net Of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income Unrealized Gain Loss On Derivatives Arising During Period Net Of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income Loss Reclassification Adjustment On Derivatives Included In Net Income Net Of Tax"},
+      {:klass=>:ooci_nci, :item_string=>"Comprehensive Income Net Of Tax Attributable To Noncontrolling Interest"},
+
+      # EXPE
+      {:klass=>:ni, :item_string=>"Profit Loss"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income Foreign Currency Transaction And Translation Gain Loss Arising During Period Net Of Tax"},
+      {:klass=>:foci, :item_string=>"Other Comprehensive Income Loss Available For Sale Securities Adjustment Net Of Tax"},
+      {:klass=>:ooci_nci, :item_string=>"Comprehensive Income Net Of Tax Attributable To Noncontrolling Interest"},
+
+      # GILD
+      {:klass=>:ni, :item_string=>"Profit Loss"},
+      {:klass=>:foci, :item_string=>"Other Comprehensive Income Unrealized Holding Gain Loss On Securities Arising During Period Net Of Tax"},
+      {:klass=>:foci, :item_string=>"Other Comprehensive Income Loss Reclassification Adjustment For Sale Of Securities Included In Net Income Net Of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income Unrealized Gain Loss On Derivatives Arising During Period Net Of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income Loss Reclassification Adjustment On Derivatives Included In Net Income Net Of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income Loss Foreign Currency Transaction And Translation Adjustment Net Of Tax"},
+      {:klass=>:ooci_nci, :item_string=>"Net Income Loss Attributable To Noncontrolling Interest"},
+
+      # GMCR
+      {:klass=>:ni, :item_string=>"Profit Loss"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income Unrealized Gain Loss On Derivatives Arising During Period Net Of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income Loss Reclassification Adjustment On Derivatives Included In Net Income Net Of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income Loss Foreign Currency Transaction And Translation Adjustment Net Of Tax"},
+
+      # INTC
+      {:klass=>:ni, :item_string=>"Net Income Loss"},
+      {:klass=>:foci, :item_string=>"Other Comprehensive Income Loss Available For Sale Securities Adjustment Including Other Than Temporary Impairments Net Of Tax"},
+      {:klass=>:ooci, :item_string=>"Other Comprehensive Income Change In Deferred Tax Asset Valuation Allowance Net Of Tax Before Reclassification Adjustments"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income Loss Derivatives Qualifying As Hedges Net Of Tax"},
+      {:klass=>:ooci, :item_string=>"Other Comprehensive Income Change In Prior Service Cost Net Of Tax"},
+      {:klass=>:ooci, :item_string=>"Other Comprehensive Income Change In Actuarial Gain Loss Net Of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income Foreign Currency Transaction And Translation Gain Loss Arising During Period Net Of Tax"},
+
+      # ISRG
+      {:klass=>:ni, :item_string=>"Net Income Loss"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income Loss Foreign Currency Transaction And Translation Adjustment Net Of Tax"},
+      {:klass=>:foci, :item_string=>"Other Comprehensive Income Loss Available For Sale Securities Adjustment Before Reclassification Adjustments Net Of Tax"},
+      {:klass=>:foci, :item_string=>"Other Comprehensive Income Loss Reclassification Adjustment For Sale Of Securities Included In Net Income Net Of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income Unrealized Gain Loss On Derivatives Arising During Period Net Of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income Loss Reclassification Adjustment On Derivatives Included In Net Income Net Of Tax"},
+
+      # LIFE (10-k)
+      {:klass=>:ni, :item_string=>"Profit Loss"},
+      {:klass=>:ooci, :item_string=>"Other Comprehensive Income Defined Benefit Plans Net Unamortized Gain Loss Arising During Period Net Of Tax"},
+      {:klass=>:ooci, :item_string=>"Other Comprehensive Income Defined Benefit Plan Net Prior Service Costs Credit Arising During Period Net Of Tax"},
+      {:klass=>:ooci, :item_string=>"Other Comprehensive Income Loss Finalization Of Pension And Non Pension Postretirement Plan Valuation Net Of Tax"},
+      {:klass=>:ooci, :item_string=>"Other Comprehensive Income Loss Amortization Pension And Other Postretirement Benefit Plans Net Prior Service Cost Recognized In Net Periodic Pension Cost Net Of Tax"},
+      {:klass=>:unkoci, :item_string=>"Cash Flow Hedge Gain Loss Reclassified To Earnings Net"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income Loss Foreign Currency Transaction And Translation Adjustment Net Of Tax"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income Foreign Currency Transaction And Translation Adjustment Net Of Tax Portion Attributable To Noncontrolling Interest"},
+      {:klass=>:ooci_nci, :item_string=>"Net Income Loss Attributable To Noncontrolling Interest"},
+
+      # XRAY
+      {:klass=>:ni, :item_string=>"Profit Loss"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income Foreign Currency Transaction And Translation Adjustment Net Of Tax Period Increase Decrease"},
+      {:klass=>:unkoci, :item_string=>"Other Comprehensive Income Unrealized Gain Loss On Derivatives Arising During Period Net Of Tax"},
+      {:klass=>:foci, :item_string=>"Other Comprehensive Income Available For Sale Securities Adjustment Net Of Tax Period Increase Decrease"},
+      {:klass=>:ooci, :item_string=>"Other Comprehensive Income Minimum Pension Liability Net Adjustment Net Of Tax"},
+      {:klass=>:ooci_nci, :item_string=>"Comprehensive Income Net Of Tax Attributable To Noncontrolling Interest"} ]
+  end
+end

data/lib/finmodeling/debt_cost_of_capital.rb

@@ -0,0 +1,14 @@
+module FinModeling
+  class DebtCostOfCapital
+    def self.calculate(opts)
+      case 
+      when  opts[:after_tax_cost] && !opts[:before_tax_cost] && !opts[:marginal_tax_rate]
+        Rate.new(opts[:after_tax_cost].value)
+      when !opts[:after_tax_cost] &&  opts[:before_tax_cost] &&  opts[:marginal_tax_rate]
+        Rate.new(opts[:before_tax_cost].value * (1.0 - (opts[:marginal_tax_rate].value)))
+      else
+        raise ArgumentError
+      end
+    end
+  end
+end

data/lib/finmodeling/equity_change_calculation.rb

@@ -0,0 +1,43 @@
+module FinModeling
+
+  class EquityChangeCalculation < CompanyFilingCalculation
+    include CanCacheClassifications
+    include CanCacheSummaries
+    include CanClassifyRows
+
+    BASE_FILENAME = File.join(FinModeling::BASE_PATH, "summaries/equity_change_")
+
+    ALL_STATES = [ :share_issue, :share_repurch, :minority_int, :common_div, :net_income, :oci, :preferred_div ]       
+    NEXT_STATES = { nil            => [ :share_issue, :share_repurch, :minority_int, :common_div, :net_income, :oci, :preferred_div ],
+                    :share_issue   => [ :share_issue, :share_repurch, :minority_int, :common_div, :net_income, :oci, :preferred_div ],
+                    :share_repurch => [ :share_issue, :share_repurch, :minority_int, :common_div, :net_income, :oci, :preferred_div ],
+                    :minority_int  => [ :share_issue, :share_repurch, :minority_int, :common_div, :net_income, :oci, :preferred_div ],
+                    :common_div    => [ :share_issue, :share_repurch, :minority_int, :common_div, :net_income, :oci, :preferred_div ],
+                    :net_income    => [ :share_issue, :share_repurch, :minority_int, :common_div, :net_income, :oci, :preferred_div ],
+                    :oci           => [ :share_issue, :share_repurch, :minority_int, :common_div, :net_income, :oci, :preferred_div ],
+                    :preferred_div => [ :share_issue, :share_repurch, :minority_int, :common_div, :net_income, :oci, :preferred_div ] }
+
+    def summary(args)
+      summary_cache_key = args[:period].to_pretty_s
+      summary = lookup_cached_summary(summary_cache_key)
+      return summary if !summary.nil? && false # FIXME: get rid of "and false"
+
+      mapping = Xbrlware::ValueMapping.new
+      mapping.policy[:unknown]          = :no_action
+      mapping.policy[:credit]           = :no_action
+      mapping.policy[:debit]            = :flip
+
+      summary = super(:period => args[:period], :mapping => mapping)
+      if !lookup_cached_classifications(BASE_FILENAME, summary.rows) || true # FIXME: get rid of "or true"
+        lookahead = [2, summary.rows.length-1].min
+        classify_rows(ALL_STATES, NEXT_STATES, summary.rows, FinModeling::EquityChangeItem, lookahead)
+        save_cached_classifications(BASE_FILENAME, summary.rows)
+      end
+
+      save_cached_summary(summary_cache_key, summary)
+
+      return summary
+    end
+
+  end
+end

data/lib/finmodeling/equity_change_item.rb

@@ -0,0 +1,25 @@
+module FinModeling
+  class EquityChangeItem < String
+    include HasStringClassifier
+
+    BASE_FILENAME = File.join(FinModeling::BASE_PATH, "classifiers/eci_")
+    TYPES         = [ :share_issue, :minority_int, :share_repurch, :common_div, # transactions with shareholders
+                      :net_income, :oci, :preferred_div ]                       # comprehensive income
+
+    # Notes:
+    # 1. I need to go back to the EquityChangeCalculation and make sure that it's value mapping policy is accurate
+
+    # Questions:
+    # 1. what about transactions involving options, warrants, convertible debt?
+    # 2. what about transactions involving restricted stock?
+    # 3. what do I do with the stock-based compensation items?
+    # 4. I'm not tagging dividends here. Should I be?
+    # 5. None of these items has preferred stock. ... Find an example, so the classifier knows.
+
+    has_string_classifier(TYPES, EquityChangeItem)
+
+    def self.load_vectors_and_train
+      self._load_vectors_and_train(BASE_FILENAME, FinModeling::EquityChangeItem::TRAINING_VECTORS)
+    end
+  end
+end

data/lib/finmodeling/equity_change_item_vectors.rb

@@ -0,0 +1,156 @@
+module FinModeling
+  class EquityChangeItem < String
+    TRAINING_VECTORS = [ { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Employee Stock Purchase Plan Options Exercised And Benefit Plans" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Tax Effect From Share Based Compensation" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Share Based Compensation" },
+                         { :klass=>:oci, :item_string=>"Noncontrolling Interest Increase From Business Combination" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Acquisitions" },
+                         { :klass=>:share_repurch, :item_string=>"Treasury Stock Value Acquired Cost Method" },
+                         { :klass=>:minority_int, :item_string=>"Minority Interest Increase From Stock Issuance" },
+                         { :klass=>:common_div, :item_string=>"Dividends Common Stock" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Foreign Currency Transaction And Translation Adjustment Net Of Tax Period Increase Decrease" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Unrealized Gain Loss On Derivatives Arising During Period Net Of Tax" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Unrealized Holding Gain Loss On Securities Arising During Period Net Of Tax" },
+                         { :klass=>:net_income, :item_string=>"Profit Loss" },
+
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Share Based Compensation" },
+                         { :klass=>:share_repurch, :item_string=>"Stock Repurchased And Retired During Period Value" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Employee Stock Purchase Plan" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Sharebased Compensation Requisite Service Period Recognition Value" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Income Tax Deficiency From Share Based Compensation" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Tax Effect From Share Based Compensation" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Other" },
+                         { :klass=>:net_income, :item_string=>"Net Income Loss Available To Common Stockholders Basic" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Availableforsale Securities Adjustment Net Of Tax Portion Attributable To Parent" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Foreign Currency Transaction And Translation Adjustment Net Of Tax Portion Attributable To Parent" },
+
+                         { :klass=>:net_income, :item_string=>"Net Income Loss Available To Common Stockholders Basic" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Defined Benefit Plans Net Unamortized Gain Loss Arising During Period Net Of Tax" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Unrealized Holding Gain Loss On Securities Arising During Period Net Of Tax" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Recognition Of Cumulative Foreign Currency Translation Adjustment Net Of Tax Period Increase Decrease" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Foreign Currency Transaction And Translation Adjustment Net Of Tax Portion Attributable To Parent" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Sharebased Compensation Requisite Service Period Recognition Value" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Tax Effect From Share Based Compensation" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Stock Options Exercised" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Employee Stock Purchase Plan" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Stock Dividend" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Restricted Stock Award Net Of Forfeitures" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Performance Based Restricted Stock Award Net Of Forfeitures" },
+                         { :klass=>:share_issue, :item_string=>"Stock Withheld For Employee Taxes Value Related To Vested Restricted Stock Units" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Share Based Compensation" },
+                         { :klass=>:share_repurch, :item_string=>"Stock Repurchased During Period Value" },
+
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Share Based Compensation" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments Related To Tax Withholding For Share Based Compensation" },
+                         { :klass=>:common_div, :item_string=>"Adjustments To Additional Paid In Capital Dividends In Excess Of Retained Earnings" },
+                         { :klass=>:common_div, :item_string=>"Adjustments To Additional Paid In Capital Dividends Payable On Restricted Stock" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Sharebased Compensation Requisite Service Period Recognition Value" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Acquisitions" },
+                         { :klass=>:oci, :item_string=>"Return Of Escrow Value" },
+                         { :klass=>:share_repurch, :item_string=>"Restricted Stock Units Assumed And Converted" },
+                         { :klass=>:oci, :item_string=>"Debt Instrument Decrease Repayments" },
+                         { :klass=>:oci, :item_string=>"Change In Deferred Tax Asset" },
+                         { :klass=>:share_repurch, :item_string=>"Treasury Stock Value Acquired Cost Method" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Reclassification Adjustment For Sale Of Securities Included In Net Income Net Of Tax" },
+                         { :klass=>:net_income, :item_string=>"Net Income Loss Available To Common Stockholders Basic" },
+
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Stock Options Exercised" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Foreign Currency Transaction And Translation Adjustment Net Of Tax Period Increase Decrease" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Sharebased Compensation Requisite Service Period Recognition Value" },
+                         { :klass=>:net_income, :item_string=>"Net Income Loss Available To Common Stockholders Basic" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Tax Effect From Share Based Compensation" },
+                         { :klass=>:share_repurch, :item_string=>"Stock Repurchased During Period Value" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments Related To Tax Withholding For Share Based Compensation" },
+
+                         { :klass=>:net_income, :item_string=>"Net Income Loss" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Unrealized Holding Gain Loss On Securities Arising During Period Net Of Tax" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Foreign Currency Transaction And Translation Adjustment Net Of Tax Period Increase Decrease" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Defined Benefit Plans Adjustment Net Of Tax Period Increase Decrease" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Share Based Compensation" },
+                         { :klass=>:share_repurch, :item_string=>"Stock Repurchased And Retired During Period Value" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Sharebased Compensation Requisite Service Period Recognition Value" },
+                         { :klass=>:oci, :item_string=>"New Accounting Pronouncement Or Change In Accounting Principle Cumulative Effect Of Change On Equity Or Net Assets" },
+
+                         { :klass=>:net_income, :item_string=>"Profit Loss" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Defined Benefit Plans Adjustment Net Of Tax Period Increase Decrease" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Unrealized Gain Loss On Derivatives Arising During Period Net Of Tax" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Foreign Currency Transaction And Translation Adjustment Net Of Tax Period Increase Decrease" },
+                         { :klass=>:common_div, :item_string=>"Dividends Common Stock Cash" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Share Based Compensation" },
+                         { :klass=>:minority_int, :item_string=>"Minority Interest Decrease From Redemptions" },
+                         { :klass=>:share_repurch, :item_string=>"Treasury Stock Value Acquired Cost Method" },
+
+                         { :klass=>:net_income, :item_string=>"Net Income Loss Available To Common Stockholders Basic" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Unrealized Holding Gain Loss On Securities Arising During Period Net Of Tax" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Unrealized Gain Loss On Derivatives Arising During Period Net Of Tax" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Sharebased Compensation Requisite Service Period Recognition Value" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Stock Options Exercised" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Share Based Compensation" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Employee Stock Purchase Plan" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value New Issues" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Share Based Compensation Stock Options Requisite Service Period Recognition" },
+                         { :klass=>:share_issue, :item_string=>"Adjustment To Additional Paid In Capital Income Tax Effect From Share Based Compensation Net" },
+
+                         { :klass=>:net_income, :item_string=>"Net Income Loss Available To Common Stockholders Basic" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Loss Net Of Tax Portion Attributable To Parent" },
+                         { :klass=>:share_repurch, :item_string=>"Stock Repurchased During Period Value" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Sharebased Compensation Requisite Service Period Recognition Value" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Stock Options Exercised" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Employee Stock Purchase Plan" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Tax Effect From Share Based Compensation" },
+
+                         { :klass=>:net_income, :item_string=>"Net Income Loss Available To Common Stockholders Basic" },
+                         { :klass=>:oci, :item_string=>"Marketable Securities Unrealized Gain Loss" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Share Based Compensation" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value New Issues" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Equity Component Of Convertible Debt" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Acquisitions" },
+                         { :klass=>:share_repurch, :item_string=>"Adjustments To Additional Paid In Capital Increase In Carrying Amount Of Redeemable Common Stock" },
+                         { :klass=>:share_repurch, :item_string=>"Stock Repurchased And Retired During Period Value" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Sharebased Compensation Requisite Service Period Recognition Value" },
+
+                         { :klass=>:net_income, :item_string=>"Net Income Loss Available To Common Stockholders Basic" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Unrealized Holding Gain Loss On Securities Arising During Period Net Of Tax" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Unrealized Gain Loss On Derivatives Arising During Period Net Of Tax" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Share Based Compensation" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Tax Effect From Share Based Compensation" },
+                         { :klass=>:share_repurch, :item_string=>"Stock Repurchased And Retired During Period Value" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Sharebased Compensation Requisite Service Period Recognition Value" },
+
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Sharebased Compensation Requisite Service Period Recognition Value" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Restricted Stock Award Net Of Forfeitures" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Stock Options Exercised" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Acquisitions" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value New Issues" },
+                         { :klass=>:share_issue, :item_string=>"Earn Out Shares Value Issuable" },
+                         { :klass=>:share_issue, :item_string=>"Issuance Value Of Earn Out Shares" },
+                         { :klass=>:share_repurch, :item_string=>"Stock Repurchased During Period Value" },
+                         { :klass=>:net_income, :item_string=>"Net Income Loss" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Foreign Currency Transaction And Translation Gain Loss Arising During Period Net Of Tax" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Unrealized Holding Gain Loss On Securities Arising During Period Net Of Tax" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Tax Effect From Share Based Compensation" },
+
+                         { :klass=>:net_income, :item_string=>"Profit Loss" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Foreign Currency Transaction And Translation Adjustment Net Of Tax Period Increase Decrease" },
+                         { :klass=>:oci, :item_string=>"Cumulative Effect Of Initial Adoption Of FIN48" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Stock Options Exercised" },
+                         { :klass=>:oci, :item_string=>"Purchase Of Call Options" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Warrant Issued" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Sharebased Compensation Requisite Service Period Recognition Value" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Equity Component Of Convertible Debt" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Acquisitions" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Restricted Stock Award Net Of Forfeitures" },
+                         { :klass=>:share_issue, :item_string=>"Tax Effect Of Share Based Compensation Cancellation And Forfeiture" },
+
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Stock Options Exercised" },
+                         { :klass=>:share_issue, :item_string=>"Stock Issued During Period Value Employee Stock Purchase Plan" },
+                         { :klass=>:share_repurch, :item_string=>"Repurchase And Retirement Of Common Stock" },
+                         { :klass=>:common_div, :item_string=>"Dividends And Dividend Equivalents Paid On Shares Outstanding And Restricted Stock Units" },
+                         { :klass=>:common_div, :item_string=>"Dividend Equivalents Payable On Restricted Stock Units" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Sharebased Compensation Requisite Service Period Recognition Value" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Derivatives Qualifying As Cash Flow Hedges And Derivatives Qualifying As Net Investment Hedges Net Of Tax Portion Attributable To Parent" },
+                         { :klass=>:oci, :item_string=>"Other Comprehensive Income Foreign Currency Transaction And Translation Adjustment Net Of Tax Portion Attributable To Parent" },
+                         { :klass=>:share_issue, :item_string=>"Adjustments To Additional Paid In Capital Tax Effect From Share Based Compensation" },
+                         { :klass=>:net_income, :item_string=>"Net Income Loss" } ]
+  end
+end

data/lib/finmodeling/fama_french_cost_of_equity.rb

@@ -0,0 +1,119 @@
+module FinModeling
+  module FamaFrench
+    class MarketHistoricalData
+      URL = "http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/F-F_Research_Data_Factors.zip"
+      DATA_PATH = File.join(FinModeling::BASE_PATH, "fama-french/")
+      ZIP_FILE  = File.join(DATA_PATH, "F-F_Research_Data_Factors.zip")
+      TXT_FILE  = File.join(DATA_PATH, "F-F_Research_Data_Factors.txt")
+      CSV_FILE  = File.join(DATA_PATH, "F-F_Research_Data_Factors.csv")
+  
+      def self.download_data!
+        FileUtils.mkdir_p(DATA_PATH) if !File.exists?(DATA_PATH)
+        `rm #{ZIP_FILE} #{TXT_FILE} #{CSV_FILE} > /dev/null 2>&1`
+        `curl -s -o "#{ZIP_FILE}" "#{URL}"`
+        prev_pwd=`pwd`
+        ` cd #{DATA_PATH}; 
+          unzip -q #{ZIP_FILE}; 
+          rm #{ZIP_FILE};
+          echo "date,RmRf,SMB,HML,Rf" > #{CSV_FILE};
+          grep '^[0-9][0-9][0-9][0-9][0-9][0-9]' #{TXT_FILE} | sed -e 's/  */,/g' | sed -e 's/
+          rm #{TXT_FILE};
+          cd #{prev_pwd} `
+      end
+  
+      def initialize
+        MarketHistoricalData.download_data! if !File.exists?(CSV_FILE)
+        @rows = CSV.read(CSV_FILE, headers: true)
+        raise RuntimeError.new("couldn't read fama-french data. try deleting #{CSV_FILE} and re-running") if @rows.length < 10
+      end
+  
+      def year_and_month_strings
+        @rows.map{ |x| x["date"] }
+      end
+  
+      def filter_by_date!(dates_to_keep)
+        @rows = @rows.select{ |x| dates_to_keep.include?(x["date"]) }
+      end
+  
+      def rm_rf # mkt return - risk free rate
+        @rows.map{ |x| x["RmRf"].to_f / 100.0 }
+      end
+  
+      def smb
+        @rows.map{ |x| x["SMB"].to_f / 100.0 }
+      end
+  
+      def hml
+        @rows.map{ |x| x["HML"].to_f / 100.0 }
+      end
+  
+      def rf
+        @rows.map{ |x| x["Rf"].to_f / 100.0 }
+      end
+    end
+  
+    class EquityHistoricalData
+      def initialize(company_ticker, num_days)
+        daily_quotes = YahooFinance::get_HistoricalQuotes_days(URI::encode(company_ticker), num_days)
+        @monthly_quotes = daily_quotes.group_by{ |x| x.date.gsub(/-[0-9][0-9]$/, "") }
+                                      .values
+                                      .map{ |x| x.sort{ |x,y| x.date <=> y.date }.first }
+                                      .sort{ |x,y| x.date <=> y.date }[1..-1]
+      end
+  
+      def year_and_month_strings
+        @monthly_quotes.map{ |x| x.date.gsub(/-[0-9][0-9]$/, "").gsub(/-/, "") }
+      end
+  
+      def filter_by_date!(dates_to_keep)
+        @monthly_quotes  = @monthly_quotes.select{ |x| dates_to_keep.include?(x.date.gsub(/-[0-9][0-9]$/, "").gsub(/-/, "")) }
+      end
+  
+      def monthly_returns(dividends=[])
+         @monthly_quotes.each_cons(2)
+                        .map { |pair| 
+                               div_entry = dividends.find{ |d| d[:ex_eff_date].strftime("%Y-%m") == pair[1].date.gsub(/-[0-9][0-9]$/, "") }
+                               dividend = div_entry ? div_entry[:cash_amt] : 0.0
+                               (pair[1].adjClose - pair[0].adjClose + dividend) / pair[0].adjClose 
+                             }
+      end
+  
+      def monthly_excess_returns(rf, dividends=[])
+        @monthly_quotes.each_cons(2)
+                       .map { |pair| 
+                              div_entry = dividends.find{ |d| d[:ex_eff_date].strftime("%Y-%m") == pair[1].date.gsub(/-[0-9][0-9]$/, "") }
+                              dividend = div_entry ? div_entry[:cash_amt] : 0.0
+                              (pair[1].adjClose - pair[0].adjClose + dividend) / pair[0].adjClose 
+                            }
+                       .zip(rf).map{ |pair| pair[0] - pair[1] }
+      end
+    end
+  
+    class EquityCostOfCapital
+      def self.from_ticker(company_ticker, num_days=6*365)
+        company_historical_data = EquityHistoricalData.new(company_ticker, num_days)
+        mkt_historical_data = MarketHistoricalData.new
+  
+        common_dates = company_historical_data.year_and_month_strings & mkt_historical_data.year_and_month_strings
+        mkt_historical_data.filter_by_date!(common_dates)
+        company_historical_data.filter_by_date!(common_dates)
+  
+        monthly_excess_returns = company_historical_data.monthly_excess_returns(mkt_historical_data.rf)
+        y = GSL::Vector.alloc(monthly_excess_returns)
+        x = GSL::Matrix.alloc([1.0]*y.length,
+                              mkt_historical_data.rm_rf.first(y.length),
+                              mkt_historical_data.smb  .first(y.length),
+                              mkt_historical_data.hml  .first(y.length)).transpose
+        c, cov, chisq, status = GSL::MultiFit.linear(x, y)
+  
+        avg_rm_rf = mkt_historical_data.rm_rf.inject(:+) / mkt_historical_data.rm_rf.length.to_f
+        avg_smb   = mkt_historical_data.smb.inject(:+)   / mkt_historical_data.smb.length.to_f
+        avg_hml   = mkt_historical_data.hml.inject(:+)   / mkt_historical_data.hml.length.to_f
+  
+        monthly_cost_of_equity = mkt_historical_data.rf.last + (c[1] * avg_rm_rf) + (c[2] * avg_smb) + (c[3] * avg_hml)
+        annual_cost_of_equity  = ((monthly_cost_of_equity+1.0)**12)-1.0
+        Rate.new(annual_cost_of_equity)
+      end
+    end
+  end
+end