finmodeling 0.1

data/lib/finmodeling/net_income_calculation.rb

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+module FinModeling
+  class NetIncomeCalculation < CompanyFilingCalculation
+    include CanCacheClassifications
+    include CanCacheSummaries
+    include CanClassifyRows
+
+    BASE_FILENAME = File.join(FinModeling::BASE_PATH, "summaries/net_income_")
+
+    ALL_STATES  =             [ :or, :cogs, :oe, :oibt, :fibt, :tax, :ooiat, :fiat ]
+    NEXT_STATES = { nil    => [ :or, :cogs, :oe, :oibt, :fibt, :tax, :ooiat, :fiat ],
+                    :or    => [ :or, :cogs, :oe, :oibt, :fibt, :tax, :ooiat, :fiat ],
+                    :cogs  => [      :cogs, :oe, :oibt, :fibt, :tax, :ooiat, :fiat ],
+                    :oe    => [             :oe, :oibt, :fibt, :tax, :ooiat, :fiat ],
+                    :oibt  => [                  :oibt, :fibt, :tax, :ooiat, :fiat ], # obit/fibt can cycle back/forth
+                    :fibt  => [                  :obit, :fibt, :tax, :ooiat, :fiat ], # obit/fibt can cycle back/forth
+                    :tax   => [                                      :ooiat, :fiat ], # tax can't go to itself. only 1 such item.
+                    :ooiat => [                                      :ooiat, :fiat ], # ooiat/fiat can cycle back/forth
+                    :fiat  => [                                      :ooiat, :fiat ] }# ooiat/fiat can cycle back/forth
+
+    def summary(args)
+      summary_cache_key = args[:period].to_pretty_s
+      thesummary = lookup_cached_summary(summary_cache_key)
+      return thesummary if !thesummary.nil?
+ 
+      mapping = Xbrlware::ValueMapping.new
+      mapping.policy[:debit] = :flip
+
+      thesummary = super(:period => args[:period], :mapping => mapping) # FIXME: flip_total should == true!
+      if !lookup_cached_classifications(BASE_FILENAME, thesummary.rows)
+        lookahead = [4, thesummary.rows.length-1].min
+        classify_rows(ALL_STATES, NEXT_STATES, thesummary.rows, FinModeling::IncomeStatementItem, lookahead)
+        save_cached_classifications(BASE_FILENAME, thesummary.rows)
+      end
+
+      save_cached_summary(summary_cache_key, thesummary)
+
+      return thesummary
+    end
+ 
+  end
+end

data/lib/finmodeling/paths.rb

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+module FinModeling
+
+  BASE_PATH = File.expand_path("~/.finmodeling")
+
+end

data/lib/finmodeling/period_array.rb

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+module FinModeling
+  class PeriodArray < Array
+    def quarterly
+      PeriodArray.new(self.select{ |x| (Xbrlware::DateUtil.days_between(x.value["end_date"], x.value["start_date"]) >=  2*28) && 
+                                       (Xbrlware::DateUtil.days_between(x.value["end_date"], x.value["start_date"]) <=  4*31) })
+    end
+
+    def halfyearly
+      PeriodArray.new(self.select{ |x| (Xbrlware::DateUtil.days_between(x.value["end_date"], x.value["start_date"]) >=  5*30) && 
+                                       (Xbrlware::DateUtil.days_between(x.value["end_date"], x.value["start_date"]) <=  7*31) })
+    end
+
+    def threequarterly
+      PeriodArray.new(self.select{ |x| (Xbrlware::DateUtil.days_between(x.value["end_date"], x.value["start_date"]) >=  8*30) && 
+                                       (Xbrlware::DateUtil.days_between(x.value["end_date"], x.value["start_date"]) <= 10*31) })
+    end
+
+    def yearly
+      PeriodArray.new(self.select{ |x| (Xbrlware::DateUtil.days_between(x.value["end_date"], x.value["start_date"]) >= 11*30) && 
+                                       (Xbrlware::DateUtil.days_between(x.value["end_date"], x.value["start_date"]) <= 13*31) })
+    end
+  end
+end
+

data/lib/finmodeling/quarterly_report_filing.rb

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+module FinModeling
+  class QuarterlyReportFiling < AnnualReportFiling 
+
+    def write_constructor(file, item_name)
+      balance_sheet.write_constructor(      file, bs_name  = item_name + "_bs")
+      income_statement.write_constructor(   file, is_name  = item_name + "_is")
+      cash_flow_statement.write_constructor(file, cfs_name = item_name + "_cfs")
+
+      names_of_discs = []
+      disclosures.each_with_index do |disclosure, idx|
+        name_of_disc = item_name + "_disc#{idx}"
+        disclosure.write_constructor(file, name_of_disc)
+        names_of_discs << name_of_disc
+      end
+      names_of_discs_str = "[" + names_of_discs.join(',') + "]"
+
+      file.puts "#{SCHEMA_VERSION_ITEM} = #{CURRENT_SCHEMA_VERSION}"
+
+      file.puts "#{item_name} = FinModeling::CachedQuarterlyFiling.new(#{bs_name}, #{is_name}, #{cfs_name}, #{names_of_discs_str})"
+    end
+
+  end
+end

data/lib/finmodeling/rate.rb

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+module FinModeling
+  class Rate
+    def initialize(value)
+      @value = value
+    end
+
+    def annualize(from_days=365, to_days=365)
+      ((1.0 + @value)**(to_days.to_f/from_days.to_f)) - 1.0
+    end
+
+    def yearly_to_quarterly
+      annualize(from_days=365.0, to_days=365.0/4.0)
+    end
+
+    def quarterly_to_yearly
+      annualize(from_days=365.0/4.0, to_days=365.0)
+    end
+  end
+end
+

data/lib/finmodeling/ratio.rb

@@ -0,0 +1,20 @@
+module FinModeling
+  class Ratio
+    def initialize(value)
+      @value = value
+    end
+
+    def annualize(from_days=365, to_days=365)
+      @value*(to_days.to_f/from_days.to_f)
+    end
+
+    def yearly_to_quarterly
+      annualize(from_days=365.0, to_days=365.0/4.0)
+    end
+
+    def quarterly_to_yearly
+      annualize(from_days=365.0/4.0, to_days=365.0)
+    end
+  end
+end
+

data/lib/finmodeling/reformulated_balance_sheet.rb

@@ -0,0 +1,176 @@
+module FinModeling
+  class ReformulatedBalanceSheet
+    attr_accessor :period
+
+    def initialize(period, assets_summary, liabs_and_equity_summary)
+      @period = period
+      @oa  = assets_summary.filter_by_type(:oa)
+      @fa  = assets_summary.filter_by_type(:fa)
+      @ol  = liabs_and_equity_summary.filter_by_type(:ol)
+      @fl  = liabs_and_equity_summary.filter_by_type(:fl)
+      @cse = liabs_and_equity_summary.filter_by_type(:cse)
+    end
+
+    def operating_assets
+      @oa
+    end
+
+    def financial_assets
+      @fa
+    end
+
+    def operating_liabilities
+      @ol
+    end
+
+    def financial_liabilities
+      @fl
+    end
+
+    def net_operating_assets
+      cs = FinModeling::CalculationSummary.new
+      cs.title = "Net Operational Assets"
+      cs.rows = [ CalculationRow.new( :key => "OA", :vals => [  @oa.total ] ),
+                  CalculationRow.new( :key => "OL", :vals => [ -@ol.total ] ) ]
+      return cs
+    end
+
+    def net_financial_assets
+      cs = FinModeling::CalculationSummary.new
+      cs.title = "Net Financial Assets"
+      cs.rows = [ CalculationRow.new( :key => "FA", :vals => [  @fa.total ] ),
+                  CalculationRow.new( :key => "FL", :vals => [ -@fl.total ] ) ]
+      return cs
+    end
+
+    def common_shareholders_equity
+      cs = FinModeling::CalculationSummary.new
+      cs.title = "Common Shareholders' Equity"
+      cs.rows = [ CalculationRow.new( :key => "NOA", :vals => [  net_operating_assets.total ] ),
+                  CalculationRow.new( :key => "NFA", :vals => [  net_financial_assets.total ] ) ]
+      return cs
+    end
+
+    def composition_ratio
+      net_operating_assets.total / net_financial_assets.total
+    end
+
+    def noa_growth(prev)
+      rate = (net_operating_assets.total - prev.net_operating_assets.total) / prev.net_operating_assets.total
+      return annualize_rate(prev, rate)
+    end
+
+    def cse_growth(prev)
+      rate = (common_shareholders_equity.total - prev.common_shareholders_equity.total) / prev.common_shareholders_equity.total
+      return annualize_rate(prev, rate)
+    end
+  
+    def analysis(prev)
+      analysis = CalculationSummary.new
+  
+      analysis.title = ""
+      analysis.header_row = CalculationHeader.new(:key => "", :vals => [@period.to_pretty_s])
+  
+      analysis.rows = []
+      if Config.balance_detail_enabled?
+        analysis.rows << CalculationRow.new(:key => "A ($MM)",:vals => [@oa.total.to_nearest_million +
+                                                                               @fa.total.to_nearest_million])
+        analysis.rows << CalculationRow.new(:key => "L ($MM)",:vals => [@ol.total.to_nearest_million +
+                                                                               @fl.total.to_nearest_million])
+      end
+      analysis.rows << CalculationRow.new(:key => "NOA ($MM)", :vals => [net_operating_assets.total.to_nearest_million])
+      if Config.balance_detail_enabled?
+        analysis.rows << CalculationRow.new(:key => "OA ($MM)",:vals => [operating_assets.total.to_nearest_million])
+        analysis.rows << CalculationRow.new(:key => "OL ($MM)",:vals => [operating_liabilities.total.to_nearest_million])
+      end
+      analysis.rows << CalculationRow.new(:key => "NFA ($MM)", :vals => [net_financial_assets.total.to_nearest_million])
+      if Config.balance_detail_enabled?
+        analysis.rows << CalculationRow.new(:key => "FA ($MM)",:vals => [financial_assets.total.to_nearest_million])
+        analysis.rows << CalculationRow.new(:key => "FL ($MM)",:vals => [financial_liabilities.total.to_nearest_million])
+      end
+      analysis.rows << CalculationRow.new(:key => "CSE ($MM)", :vals => [common_shareholders_equity.total.to_nearest_million])
+      analysis.rows << CalculationRow.new(:key => "Composition Ratio", :vals => [composition_ratio] )
+      if prev.nil?
+        analysis.rows << CalculationRow.new(:key => "NOA Growth", :vals => [nil] )
+        analysis.rows << CalculationRow.new(:key => "CSE Growth", :vals => [nil] )
+      else
+        analysis.rows << CalculationRow.new(:key => "NOA Growth", :vals => [noa_growth(prev)] )
+        analysis.rows << CalculationRow.new(:key => "CSE Growth", :vals => [cse_growth(prev)] )
+      end
+  
+      return analysis
+    end
+
+    def self.forecast_next(period, policy, last_re_bs, next_re_is)
+      noa = next_re_is.operating_revenues.total / Ratio.new(policy.sales_over_noa).yearly_to_quarterly
+      cse = last_re_bs.common_shareholders_equity.total + next_re_is.comprehensive_income.total
+      nfa = cse - noa
+
+      ForecastedReformulatedBalanceSheet.new(period, noa, nfa, cse)
+    end
+
+    private
+
+    def annualize_rate(prev, rate)
+      from_days = Xbrlware::DateUtil.days_between(prev.period.value, @period.value)
+      return Rate.new(rate).annualize(from_days, to_days=365)
+    end
+
+    def deannualize_rate(prev, rate)
+      to_days = Xbrlware::DateUtil.days_between(prev.period.value,   @period.value)
+      return Rate.new(rate).annualize(from_days=365, to_days)
+    end
+  end
+
+  class ForecastedReformulatedBalanceSheet < ReformulatedBalanceSheet
+    def initialize(period, noa, nfa, cse)
+      @period = period
+      @noa = noa
+      @nfa = nfa
+      @cse = cse
+    end
+
+    def operating_assets
+      nil
+    end
+
+    def financial_assets
+      nil
+    end
+
+    def operating_liabilities
+      nil
+    end
+
+    def financial_liabilities
+      nil
+    end
+
+    def net_operating_assets
+      cs = FinModeling::CalculationSummary.new
+      cs.title = "Net Operational Assets"
+      cs.rows = [ CalculationRow.new( :key => "NOA", :vals => [@noa] ) ]
+      return cs
+    end
+
+    def net_financial_assets
+      cs = FinModeling::CalculationSummary.new
+      cs.title = "Net Financial Assets"
+      cs.rows = [ CalculationRow.new( :key => "NFA", :vals => [@nfa] ) ]
+      return cs
+    end
+
+    def common_shareholders_equity
+      cs = FinModeling::CalculationSummary.new
+      cs.title = "Common Shareholders' Equity"
+      cs.rows = [ CalculationRow.new( :key => "CSE", :vals => [@cse] ) ]
+      return cs
+    end
+ 
+    def analysis(prev)
+      analysis = super(prev)
+      analysis.header_row.vals[0] += "E" # for estimated
+      return analysis
+    end
+  end
+end

data/lib/finmodeling/reformulated_cash_flow_statement.rb

@@ -0,0 +1,140 @@
+module FinModeling
+  class ReformulatedCashFlowStatement
+    attr_accessor :period
+
+    class FakeCashChangeSummary
+      def initialize(re_cfs1, re_cfs2)
+        @re_cfs1 = re_cfs1
+        @re_cfs2 = re_cfs2
+      end
+      def filter_by_type(key)
+        case key
+          when :c
+            @cs = FinModeling::CalculationSummary.new
+            @cs.title = "Cash from Operations"
+            @cs.rows = [ CalculationRow.new(:key => "First  Row", :vals => [ @re_cfs1.cash_from_operations.total] ),
+                         CalculationRow.new(:key => "Second Row", :vals => [-@re_cfs2.cash_from_operations.total] ) ]
+            return @cs
+          when :i
+            @cs = FinModeling::CalculationSummary.new
+            @cs.title = "Cash Investments in Operations"
+            @cs.rows = [ CalculationRow.new(:key => "First  Row", :vals => [ @re_cfs1.cash_investments_in_operations.total] ),
+                         CalculationRow.new(:key => "Second Row", :vals => [-@re_cfs2.cash_investments_in_operations.total] ) ]
+            return @cs
+          when :d
+            @cs = FinModeling::CalculationSummary.new
+            @cs.title = "Payments to Debtholders"
+            @cs.rows = [ CalculationRow.new(:key => "First  Row", :vals => [ @re_cfs1.payments_to_debtholders.total] ),
+                         CalculationRow.new(:key => "Second Row", :vals => [-@re_cfs2.payments_to_debtholders.total] ) ]
+            return @cs
+          when :f
+            @cs = FinModeling::CalculationSummary.new
+            @cs.title = "Payments to Stockholders"
+            @cs.rows = [ CalculationRow.new(:key => "First  Row", :vals => [ @re_cfs1.payments_to_stockholders.total] ),
+                         CalculationRow.new(:key => "Second Row", :vals => [-@re_cfs2.payments_to_stockholders.total] ) ]
+            return @cs
+        end
+      end
+    end
+
+    def initialize(period, cash_change_summary)
+      @period   = period
+
+      @c = cash_change_summary.filter_by_type(:c) # just make this a member....
+      @i = cash_change_summary.filter_by_type(:i)
+      @d = cash_change_summary.filter_by_type(:d)
+      @f = cash_change_summary.filter_by_type(:f)
+
+      @c.title = "Cash from operations"
+      @i.title = "Cash investments in operations"
+      @d.title = "Payments to debtholders"
+      @f.title = "Payments to stockholders"
+
+      if cash_change_summary.class != FakeCashChangeSummary
+        @d.rows << CalculationRow.new(:key => "Investment in Cash and Equivalents",
+                                                        :type => :d,
+                                                        :vals => [-cash_change_summary.total])
+      end
+    end
+
+    def -(re_cfs2)
+      summary = FakeCashChangeSummary.new(self, re_cfs2)
+      return ReformulatedCashFlowStatement.new(@period, summary)
+    end
+
+    def cash_from_operations
+      @c
+    end
+
+    def cash_investments_in_operations
+      @i
+    end
+
+    def payments_to_debtholders
+      @d
+    end
+
+    def payments_to_stockholders
+      @f
+    end
+
+    def free_cash_flow
+      cs = FinModeling::CalculationSummary.new
+      cs.title = "Free Cash Flow"
+      cs.rows = [ CalculationRow.new(:key => "Cash from Operations (C)",          :vals => [@c.total] ),
+                  CalculationRow.new(:key => "Cash Investment in Operations (I)", :vals => [@i.total] ) ]
+      return cs
+    end
+
+    def financing_flows
+      cs = FinModeling::CalculationSummary.new
+      cs.title = "Financing Flows"
+      cs.rows = [ CalculationRow.new(:key => "Payments to debtholders (d)",  :vals => [@d.total] ),
+                  CalculationRow.new(:key => "Payments to stockholders (F)", :vals => [@f.total] ) ]
+      return cs
+    end
+
+    def ni_over_c(inc_stmt)
+      inc_stmt.comprehensive_income.total.to_f / cash_from_operations.total
+    end
+  
+    def self.empty_analysis
+      analysis = CalculationSummary.new
+  
+      analysis.title = ""
+      analysis.header_row = CalculationHeader.new(:key => "", :vals =>  ["Unknown..."])
+  
+      analysis.rows = []
+      analysis.rows << CalculationRow.new(:key => "C ($MM)",   :vals => [nil])
+      analysis.rows << CalculationRow.new(:key => "I ($MM)",   :vals => [nil])
+      analysis.rows << CalculationRow.new(:key => "d ($MM)",   :vals => [nil])
+      analysis.rows << CalculationRow.new(:key => "F ($MM)",   :vals => [nil])
+      analysis.rows << CalculationRow.new(:key => "FCF ($MM)", :vals => [nil])
+      analysis.rows << CalculationRow.new(:key => "NI / C",    :vals => [nil])
+ 
+      return analysis
+    end
+
+    def analysis(inc_stmt)
+      analysis = CalculationSummary.new
+  
+      analysis.title = ""
+      analysis.header_row = CalculationHeader.new(:key => "", :vals => [@period.value["end_date"].to_s])
+  
+      analysis.rows = []
+      analysis.rows << CalculationRow.new(:key => "C   ($MM)", :vals => [cash_from_operations.total.to_nearest_million])
+      analysis.rows << CalculationRow.new(:key => "I   ($MM)", :vals => [cash_investments_in_operations.total.to_nearest_million])
+      analysis.rows << CalculationRow.new(:key => "d   ($MM)", :vals => [payments_to_debtholders.total.to_nearest_million])
+      analysis.rows << CalculationRow.new(:key => "F   ($MM)", :vals => [payments_to_stockholders.total.to_nearest_million])
+      analysis.rows << CalculationRow.new(:key => "FCF ($MM)", :vals => [free_cash_flow.total.to_nearest_million])
+      if inc_stmt
+        analysis.rows << CalculationRow.new(:key => "NI / C",  :vals => [ni_over_c(inc_stmt)])
+      else
+        analysis.rows << CalculationRow.new(:key => "NI / C",  :vals => [nil])
+      end
+ 
+      return analysis
+    end
+
+  end
+end