fundamentalista 0.1.0 → 0.2.0

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data/CHANGELOG.md

@@ -1,5 +1,16 @@
 # Changelog
 
+## 0.2.0
+
+- Daily prices from FMP as a `PriceHistory` with dividend adjusted returns, the valuation of every fiscal year at its closing price, and the company beta.
+- The weighted average cost of capital as a discount rate built from the capital structure.
+
+## 0.1.1
+
+- EBIT derived from income before tax and interest when operating income is not reported, used by interest coverage, EV/EBIT, the magic formula and the Altman Z-score.
+- Minority interest on the balance sheet, so derived total liabilities match the reported ones.
+- More concepts checked against Financial Modeling Prep figures: current maturities of long term debt, finance lease interest, other short term investments.
+
 ## 0.1.0
 
 - Financial statements as value objects with BigDecimal figures and derived line items.

data/README.md

@@ -90,8 +90,10 @@ EDGAR reports quarterly cash flows only year to date, and the fourth quarter onl
 
 | Statement | Reported items | Derived when missing |
 | --- | --- | --- |
-| `IncomeStatement` | revenue, cost of revenue, gross profit, SG&A, operating income, interest expense, income before tax, income tax, net income, depreciation and amortization, EBITDA, diluted EPS, diluted shares | gross profit, EBITDA, diluted EPS, tax rate |
-| `BalanceSheet` | cash, short term investments, receivables, inventory, current assets, PP&E, total assets, payables, current liabilities, total liabilities, short and long term debt, total debt, equity, retained earnings, shares outstanding | total liabilities, total debt, liquid assets, net debt, working capital, net working capital |
+| `IncomeStatement` | revenue, cost of revenue, gross profit, SG&A, operating income, EBIT, interest expense, income before tax, income tax, net income, depreciation and amortization, EBITDA, diluted EPS, diluted shares | gross profit, EBIT, EBITDA, diluted EPS, tax rate |
+| `BalanceSheet` | cash, short term investments, receivables, inventory, current assets, PP&E, total assets, payables, current liabilities, total liabilities, short and long term debt, total debt, equity, minority interest, retained earnings, shares outstanding | total liabilities, total debt, liquid assets, net debt, working capital, net working capital |
+
+EBIT is operating income when the company reports one, and income before tax plus interest expense otherwise, which is what pharmaceutical and oil companies leave you; interest coverage, EV/EBIT, Greenblatt's yield and return on capital and the Altman Z-score all use it. Figures follow the line as reported: receivables are trade receivables, PP&E excludes lease right-of-use assets, cost of revenue is the company's own line.
 | `CashFlowStatement` | operating cash flow, capital expenditure, free cash flow, dividends paid, share repurchases | free cash flow, shareholder returns |
 
 Outflows are positive amounts: `capital_expenditure` is what was spent.
@@ -220,6 +222,15 @@ estimate.analysts                   # how many stand behind it
 estimate.eps_growth(year.income.eps_diluted)
 ```
 
+### The discount rate
+
+`wacc` builds a discount rate from the capital structure at the current price: the cost of equity by CAPM from `beta`, the risk free rate and the equity premium, and the after tax cost of debt from interest expense over total debt, weighted by market value. FMP profiles carry `company.beta`; on EDGAR pass your own.
+
+```ruby
+rate = valuation.wacc(beta: company.beta, risk_free: 0.04, equity_premium: 0.05)
+valuation.intrinsic_value(growth: 0.06, discount_rate: rate)
+```
+
 ### Discounted cash flow
 
 `intrinsic_value` grows the period's free cash flow at `growth` for `years`, adds a terminal value at `terminal_growth`, discounts everything at `discount_rate`, subtracts net debt, and divides by the shares outstanding. `margin_of_safety` is how far the price sits below that value.
@@ -244,6 +255,21 @@ dcf.terminal_value
 dcf.value
 ```
 
+## Prices and history
+
+FMP serves daily closes with their dividend adjusted counterparts as a `PriceHistory`; on EDGAR you build one yourself from any source. With prices, every fiscal year can be valued at the close of its last day, which is what a history of multiples is.
+
+```ruby
+prices = company.prices(from: Date.new(2020, 1, 1))          # FMP
+prices = Fundamentalista::PriceHistory.new([[Date.new(2025, 9, 26), 254.52, 254.52], ...])
+prices.at(Date.new(2025, 9, 27)).close                        # the last close on or before that day
+prices.total_return(from: Date.new(2020, 1, 1))               # dividends reinvested
+prices.annualized_return
+
+company.valuation_history(:pe, :pb, :fcf_yield)               # {2025 => {price:, pe:, pb:, fcf_yield:}, ...}
+company.valuation_history(:pe, prices: prices)                # with a history you bring
+```
+
 ## Providers
 
 | | EDGAR | Financial Modeling Prep |
@@ -252,6 +278,7 @@ dcf.value
 | Periods | Annual from 10-K filings, quarterly from 10-Q filings | Annual and quarterly |
 | Quotes | No, pass a price | Yes |
 | Analyst estimates | No, pass an EPS | Yes |
+| Prices and beta | No, bring a PriceHistory and a beta | Yes |
 | Coverage | Companies filing with the SEC, US GAAP and IFRS, in their reporting currency | Global |
 
 EDGAR publishes every value a company ever tagged, restatements included. Fundamentalista reads each line item for the period it describes and keeps the most recently filed value, while the fiscal year label comes from the original filing. Companies tag the same idea under different XBRL concepts, so each line item has an ordered list of concepts in `Providers::Edgar::Tags`, and the first one reported wins. Debt excludes lease obligations, which FMP's `totalDebt` includes.

data/lib/fundamentalista/balance_sheet.rb

@@ -3,15 +3,18 @@
 module Fundamentalista
   # The balance sheet at the end of a period. +shares_outstanding+ is a
   # share count, +ppe+ is property, plant and equipment net of
-  # depreciation; everything else is in the reporting currency.
+  # depreciation, +equity+ belongs to the parent's shareholders and
+  # +minority_interest+ to others; everything else is in the reporting
+  # currency.
   class BalanceSheet < Statement
     field :cash, :short_term_investments, :receivables, :inventory, :current_assets, :ppe, :total_assets,
           :payables, :current_liabilities, :total_liabilities, :short_term_debt, :long_term_debt, :total_debt,
-          :equity, :retained_earnings, :shares_outstanding
+          :equity, :minority_interest, :retained_earnings, :shares_outstanding
 
-    # Total liabilities, derived from total assets and equity when not reported.
+    # Total liabilities, derived from total assets, equity and minority
+    # interest when not reported.
     def total_liabilities
-      @total_liabilities || Decimal.subtract(total_assets, equity)
+      @total_liabilities || Decimal.subtract(total_assets, Decimal.sum(equity, minority_interest || BigDecimal('0')))
     end
 
     # Total debt, derived from short and long term debt when not reported.

data/lib/fundamentalista/company.rb

@@ -11,19 +11,25 @@ module Fundamentalista
   #   company.ttm.ratios.net_margin
   #   company.valuation(price: 320).pe
   #   company.estimate.eps                   # FMP only
+  #   company.valuation_history(:pe)         # {2025 => {price:, pe:}, ...}
   #
   class Company
     include Inspectable
 
     attr_reader :ticker, :name, :cik, :currency, :provider
 
-    def initialize(ticker:, name:, provider:, cik: nil, currency: 'USD')
+    # The stock's beta, when the provider reports one.
+    attr_reader :beta
+
+    def initialize(ticker:, name:, provider:, cik: nil, currency: 'USD', beta: nil)
       @ticker = ticker
       @name = name
       @cik = cik
       @currency = currency
+      @beta = Decimal.wrap(beta)
       @provider = provider
       @financials = {}
+      @prices = {}
     end
 
     # Returns the Financials, newest first. +period+ is +:annual+ or
@@ -32,6 +38,33 @@ module Fundamentalista
       @financials[[period, limit]] ||= provider.financials(self, period: period, limit: limit)
     end
 
+    # Returns the PriceHistory between +from+ and +to+. Raises
+    # QuoteUnavailableError when the provider has no prices, as EDGAR does
+    # not; build a PriceHistory yourself there.
+    def prices(from:, to: Date.today)
+      @prices[[from, to]] ||= provider.prices(self, from: from, to: to)
+    end
+
+    # Returns +metrics+ of the Valuation of every annual period at the
+    # close of its last day, keyed by fiscal year, newest first. Takes the
+    # provider's +prices+ unless a PriceHistory is given. Years without a
+    # price are left out.
+    #
+    #   company.valuation_history(:pe, :fcf_yield)
+    #   # => {2025 => {price: 0.25452e3, pe: 0.3412e2, fcf_yield: 0.026e-1}, ...}
+    #
+    def valuation_history(*metrics, prices: nil)
+      periods = financials.to_a
+      prices ||= self.prices(from: periods.last.ended_on)
+      periods.filter_map do |period|
+        price = prices.at(period.ended_on)
+        next unless price
+
+        valuation = Valuation.new(period, Quote.new(price: price.close))
+        [period.fiscal_year, { price: price.close, **metrics.to_h { |metric| [metric, valuation.public_send(metric)] } }]
+      end.to_h
+    end
+
     # Returns the trailing twelve months as a Period, built from the last
     # +quarters+ quarterly periods; eight give it a prior period too.
     def ttm(quarters: 8)

data/lib/fundamentalista/income_statement.rb

@@ -5,7 +5,7 @@ module Fundamentalista
   # currency; +eps_diluted+ is per share, +diluted_shares+ a share count
   # and +sga+ the selling, general and administrative expense.
   class IncomeStatement < Statement
-    field :revenue, :cost_of_revenue, :gross_profit, :sga, :operating_income, :interest_expense,
+    field :revenue, :cost_of_revenue, :gross_profit, :sga, :operating_income, :ebit, :interest_expense,
           :income_before_tax, :income_tax, :net_income, :depreciation_amortization, :ebitda,
           :eps_diluted, :diluted_shares
 
@@ -14,9 +14,16 @@ module Fundamentalista
       @gross_profit || Decimal.subtract(revenue, cost_of_revenue)
     end
 
-    # EBITDA, derived from operating income and depreciation when not reported.
+    # Earnings before interest and taxes: operating income when reported,
+    # else income before tax plus interest expense, which is what
+    # companies without an operating income line leave you.
+    def ebit
+      @ebit || operating_income || Decimal.sum(income_before_tax, interest_expense)
+    end
+
+    # EBITDA, derived from EBIT and depreciation when not reported.
     def ebitda
-      @ebitda || Decimal.sum(operating_income, depreciation_amortization)
+      @ebitda || Decimal.sum(ebit, depreciation_amortization)
     end
 
     # Diluted earnings per share, derived from net income and diluted shares

data/lib/fundamentalista/price_history.rb

@@ -0,0 +1,90 @@
+# frozen_string_literal: true
+
+module Fundamentalista
+  # Daily closes over a span of time, oldest first. Each Price carries the
+  # close and the dividend adjusted close, so multiples use the price of
+  # the day and returns include what was paid out.
+  #
+  #   prices = company.prices(from: Date.new(2020, 1, 1))       # FMP
+  #   prices = Fundamentalista::PriceHistory.new([[Date.new(2025, 9, 26), 254.52, 254.52], ...])
+  #   prices.at(Date.new(2025, 9, 27)).close                     # the last close on or before that day
+  #   prices.total_return(from: Date.new(2020, 1, 1))            # dividends reinvested
+  #
+  class PriceHistory
+    include Enumerable
+    include Inspectable
+    include Serializable
+
+    # One day's close and dividend adjusted close.
+    Price = Struct.new(:date, :close, :adjusted, keyword_init: true) do
+      include Serializable
+
+      def to_h
+        { date: date, close: close, adjusted: adjusted }
+      end
+    end
+
+    def initialize(points)
+      @prices = points.map { |point| wrap(point) }.sort_by(&:date)
+    end
+
+    def each(&)
+      @prices.each(&)
+    end
+
+    def size
+      @prices.size
+    end
+
+    def from
+      @prices.first&.date
+    end
+
+    def to
+      @prices.last&.date
+    end
+
+    # Returns the Price of the last trading day on or before +date+, or +nil+.
+    def at(date)
+      @prices.reverse_each.find { |price| price.date <= date }
+    end
+
+    # Returns the return with dividends reinvested between +from+ and +to+,
+    # the whole history by default, as a rate, or +nil+ when either day
+    # has no price.
+    def total_return(from: self.from, to: self.to)
+      start = at(from)
+      finish = at(to)
+      return nil unless start && finish
+
+      Decimal.ratio(finish.adjusted, start.adjusted) - 1
+    end
+
+    # Returns the total return between +from+ and +to+ annualized.
+    def annualized_return(from: self.from, to: self.to)
+      start = at(from)
+      finish = at(to)
+      return nil unless start && finish
+
+      Decimal.cagr(start.adjusted, finish.adjusted, (finish.date - start.date).to_f / 365.25)
+    end
+
+    def to_h
+      { prices: @prices.map(&:to_h) }
+    end
+
+    def inspect_attributes # :nodoc:
+      { from: from, to: to, days: size }
+    end
+
+    private
+
+    def wrap(point)
+      return point if point.is_a?(Price)
+
+      date, close, adjusted = point
+      Price.new(date: date.is_a?(Date) ? date : Date.parse(date.to_s), close: Decimal.wrap(close),
+                adjusted: Decimal.wrap(adjusted || close))
+    end
+  end
+end

data/lib/fundamentalista/provider.rb

@@ -2,8 +2,9 @@
 
 module Fundamentalista
   # The contract every data source implements: resolve a Company, return
-  # its Financials, a Quote or +nil+, and the analyst Estimates it has.
-  # Subclasses get an HTTP client with retries and error mapping.
+  # its Financials, a Quote or +nil+, the analyst Estimates it has, and
+  # its PriceHistory. Subclasses get an HTTP client with retries and error
+  # mapping.
   class Provider
     class << self
       # The symbol the provider is registered under.
@@ -34,6 +35,10 @@ module Fundamentalista
       raise NotImplementedError
     end
 
+    def prices(company, from:, to:)
+      raise NotImplementedError
+    end
+
     private
 
     def get(url, params = {}, headers: {})

data/lib/fundamentalista/providers/edgar/tags.rb

@@ -21,9 +21,10 @@ module Fundamentalista
           gross_profit: %w[GrossProfit],
           sga: ['SellingGeneralAndAdministrativeExpense', %w[GeneralAndAdministrativeExpense SellingAndMarketingExpense]],
           operating_income: %w[OperatingIncomeLoss ProfitLossFromOperatingActivities],
-          interest_expense: %w[InterestExpense InterestExpenseNonoperating InterestExpenseDebt FinanceCosts
-                               InterestExpenseOperating InterestAndDebtExpense InterestExpenseLongTermDebt
-                               InterestExpenseBorrowings InterestPaidNet],
+          interest_expense: ['InterestExpense', 'InterestExpenseNonoperating',
+                             %w[InterestExpenseDebt FinanceLeaseInterestExpense],
+                             'FinanceCosts', 'InterestExpenseOperating', 'InterestAndDebtExpense', 'InterestExpenseLongTermDebt',
+                             'InterestExpenseBorrowings', 'InterestPaidNet'],
           income_before_tax: %w[
             IncomeLossFromContinuingOperationsBeforeIncomeTaxesExtraordinaryItemsNoncontrollingInterest
             IncomeLossFromContinuingOperationsBeforeIncomeTaxesMinorityInterestAndIncomeLossFromEquityMethodInvestments
@@ -44,8 +45,8 @@ module Fundamentalista
           cash: %w[CashAndCashEquivalentsAtCarryingValue CashCashEquivalentsRestrictedCashAndRestrictedCashEquivalents
                    CashAndCashEquivalents],
           short_term_investments: %w[ShortTermInvestments MarketableSecuritiesCurrent
-                                     AvailableForSaleSecuritiesDebtSecuritiesCurrent OtherCurrentFinancialAssets
-                                     CurrentFinancialAssetsAtAmortisedCost],
+                                     AvailableForSaleSecuritiesDebtSecuritiesCurrent OtherShortTermInvestments
+                                     OtherCurrentFinancialAssets CurrentFinancialAssetsAtAmortisedCost],
           receivables: %w[AccountsReceivableNetCurrent ReceivablesNetCurrent CurrentTradeReceivables
                           TradeAndOtherCurrentReceivables AccountsNotesAndLoansReceivableNetCurrent AccountsReceivableNet],
           inventory: %w[InventoryNet Inventories],
@@ -60,14 +61,15 @@ module Fundamentalista
           current_liabilities: %w[LiabilitiesCurrent CurrentLiabilities],
           total_liabilities: %w[Liabilities],
           short_term_debt: ['DebtCurrent',
-                            %w[LongTermDebtCurrent CommercialPaper ShortTermBorrowings OtherShortTermBorrowings
-                               ConvertibleDebtCurrent NotesPayableCurrent],
+                            %w[LongTermDebtCurrent LongTermDebtAndCapitalLeaseObligationsCurrent CommercialPaper
+                               ShortTermBorrowings OtherShortTermBorrowings ConvertibleDebtCurrent NotesPayableCurrent],
                             'ShorttermBorrowings', 'CurrentBorrowings'],
           long_term_debt: %w[LongTermDebtNoncurrent LongTermDebtAndCapitalLeaseObligations LongTermDebt LongTermNotesPayable
                              LongTermNotesAndLoans LongtermBorrowings NoncurrentBorrowings
                              LongTermDebtAndCapitalLeaseObligationsIncludingCurrentMaturities],
           equity: %w[StockholdersEquity StockholdersEquityIncludingPortionAttributableToNoncontrollingInterest
                      EquityAttributableToOwnersOfParent Equity],
+          minority_interest: %w[MinorityInterest NoncontrollingInterests],
           retained_earnings: %w[RetainedEarningsAccumulatedDeficit RetainedEarnings],
           shares_outstanding: %w[CommonStockSharesOutstanding NumberOfSharesOutstanding NumberOfSharesIssued
                                  NumberOfSharesIssuedAndFullyPaid]

data/lib/fundamentalista/providers/edgar.rb

@@ -40,6 +40,10 @@ module Fundamentalista
         []
       end
 
+      def prices(company, **)
+        raise QuoteUnavailableError, "EDGAR has no prices for #{company.ticker}; pass a PriceHistory"
+      end
+
       private
 
       STATEMENTS = { income: [IncomeStatement, Tags::INCOME], balance: [BalanceSheet, Tags::BALANCE],

data/lib/fundamentalista/providers/fmp.rb

@@ -3,8 +3,8 @@
 module Fundamentalista
   module Providers
     # Financial Modeling Prep. Needs Configuration#fmp_api_key. Serves
-    # annual and quarterly periods, company profiles, live quotes and
-    # analyst estimates.
+    # annual and quarterly periods, company profiles with beta, live
+    # quotes, analyst estimates and daily prices.
     class FMP < Provider
       BASE_URL = 'https://financialmodelingprep.com/stable/'
 
@@ -13,7 +13,7 @@ module Fundamentalista
         raise CompanyNotFoundError, "FMP lists no company under #{ticker.inspect}" unless profile
 
         Company.new(ticker: profile['symbol'], name: profile['companyName'], cik: profile['cik']&.to_i,
-                    currency: profile['currency'], provider: self)
+                    currency: profile['currency'], beta: profile['beta'], provider: self)
       end
 
       def financials(company, period: :annual, limit: 5)
@@ -32,6 +32,13 @@ module Fundamentalista
                   as_of: row['timestamp'] && Time.at(row['timestamp']))
       end
 
+      def prices(company, from:, to:)
+        params = { symbol: company.ticker, from: from.iso8601, to: to.iso8601 }
+        adjusted = fetch('historical-price-eod/dividend-adjusted', params).to_h { |row| [row['date'], row['adjClose']] }
+        points = fetch('historical-price-eod/light', params).map { |row| [row['date'], row['price'], adjusted[row['date']]] }
+        PriceHistory.new(points)
+      end
+
       def estimates(company)
         fetch('analyst-estimates', symbol: company.ticker, period: 'annual', limit: 10).map do |row|
           Estimate.new(fiscal_year_end: Date.parse(row['date']), eps: row['epsAvg'], eps_low: row['epsLow'],
@@ -60,7 +67,7 @@ module Fundamentalista
         IncomeStatement.new(
           revenue: row['revenue'], cost_of_revenue: row['costOfRevenue'], gross_profit: row['grossProfit'],
           sga: row['sellingGeneralAndAdministrativeExpenses'],
-          operating_income: row['operatingIncome'], interest_expense: row['interestExpense'],
+          operating_income: row['operatingIncome'], ebit: row['ebit'], interest_expense: row['interestExpense'],
           income_before_tax: row['incomeBeforeTax'], income_tax: row['incomeTaxExpense'],
           net_income: row['netIncome'], depreciation_amortization: row['depreciationAndAmortization'],
           ebitda: row['ebitda'], eps_diluted: row['epsDiluted'], diluted_shares: row['weightedAverageShsOutDil']
@@ -75,7 +82,7 @@ module Fundamentalista
           payables: row['accountPayables'],
           current_liabilities: row['totalCurrentLiabilities'], total_liabilities: row['totalLiabilities'],
           short_term_debt: row['shortTermDebt'], long_term_debt: row['longTermDebt'],
-          total_debt: row['totalDebt'], equity: row['totalStockholdersEquity'],
+          total_debt: row['totalDebt'], equity: row['totalStockholdersEquity'], minority_interest: row['minorityInterest'],
           retained_earnings: row['retainedEarnings']
         )
       end

data/lib/fundamentalista/ratios.rb

@@ -65,10 +65,10 @@ module Fundamentalista
       Decimal.ratio(nopat, Decimal.sum(average(:total_debt), average(:equity)))
     end
 
-    # Greenblatt's return on capital: operating income over net working
-    # capital plus net fixed assets.
+    # Greenblatt's return on capital: EBIT over net working capital plus net
+    # fixed assets.
     def return_on_capital
-      Decimal.ratio(income.operating_income, Decimal.sum(average(:net_working_capital), average(:ppe)))
+      Decimal.ratio(income.ebit, Decimal.sum(average(:net_working_capital), average(:ppe)))
     end
 
     def current_ratio
@@ -96,9 +96,9 @@ module Fundamentalista
       Decimal.ratio(balance.net_debt, income.ebitda)
     end
 
-    # Operating income over interest expense.
+    # EBIT over interest expense.
     def interest_coverage
-      Decimal.ratio(income.operating_income, income.interest_expense)
+      Decimal.ratio(income.ebit, income.interest_expense)
     end
 
     # Average total assets over average equity, the leverage leg of DuPont.

data/lib/fundamentalista/scores/altman_z.rb

@@ -59,7 +59,7 @@ module Fundamentalista
         [
           Decimal.ratio(balance.working_capital, assets),
           Decimal.ratio(balance.retained_earnings, assets),
-          Decimal.ratio(period.income.operating_income, assets),
+          Decimal.ratio(period.income.ebit, assets),
           Decimal.ratio(market_cap, balance.total_liabilities),
           Decimal.ratio(period.income.revenue, assets)
         ]

data/lib/fundamentalista/valuation.rb

@@ -69,9 +69,9 @@ module Fundamentalista
       Decimal.ratio(enterprise_value, income.ebitda)
     end
 
-    # Enterprise value over operating income.
+    # Enterprise value over EBIT.
     def ev_to_ebit
-      Decimal.ratio(enterprise_value, income.operating_income)
+      Decimal.ratio(enterprise_value, income.ebit)
     end
 
     def ev_to_sales
@@ -91,10 +91,10 @@ module Fundamentalista
       Decimal.ratio(income.eps_diluted, price)
     end
 
-    # Greenblatt's earnings yield: operating income over enterprise value.
-    # Rank it with Ratios#return_on_capital for the magic formula.
+    # Greenblatt's earnings yield: EBIT over enterprise value. Rank it with
+    # Ratios#return_on_capital for the magic formula.
     def ebit_yield
-      Decimal.ratio(income.operating_income, enterprise_value)
+      Decimal.ratio(income.ebit, enterprise_value)
     end
 
     def fcf_yield
@@ -151,6 +151,34 @@ module Fundamentalista
       Decimal.ratio(Decimal.subtract(value, price), value)
     end
 
+    # The cost of equity by the capital asset pricing model: the risk free
+    # rate plus +beta+ times the +equity_premium+. Rates are decimals.
+    def cost_of_equity(beta:, risk_free:, equity_premium: BigDecimal('0.05'))
+      Decimal.wrap(risk_free) + (Decimal.wrap(beta) * Decimal.wrap(equity_premium))
+    end
+
+    # The pre-tax cost of debt: interest expense over total debt, or the
+    # +cost_of_debt+ you pass.
+    def cost_of_debt(cost_of_debt: nil)
+      cost_of_debt ? Decimal.wrap(cost_of_debt) : Decimal.ratio(income.interest_expense, balance.total_debt)
+    end
+
+    # The weighted average cost of capital at this market capitalization:
+    # equity at its CAPM cost, debt at its after tax cost, weighted by
+    # market value. A ready discount rate for #intrinsic_value.
+    #
+    #   valuation.intrinsic_value(growth: 0.06, discount_rate: valuation.wacc(beta: 1.1, risk_free: 0.04))
+    #
+    def wacc(beta:, risk_free:, equity_premium: BigDecimal('0.05'), cost_of_debt: nil)
+      debt = balance.total_debt || BigDecimal('0')
+      capital = Decimal.sum(market_cap, debt)
+      return nil if capital.nil? || capital.zero?
+
+      equity_cost = cost_of_equity(beta: beta, risk_free: risk_free, equity_premium: equity_premium)
+      debt_cost = (self.cost_of_debt(cost_of_debt: cost_of_debt) || BigDecimal('0')) * (1 - (income.tax_rate || BigDecimal('0')))
+      ((market_cap * equity_cost) + (debt * debt_cost)) / capital
+    end
+
     # The reverse DCF: the yearly free cash flow growth the price implies
     # under the given +discount_rate+ and the other DCF keywords. +nil+
     # when no growth between -50% and +100% reproduces the price.

data/lib/fundamentalista/version.rb

@@ -2,5 +2,5 @@
 
 module Fundamentalista
   # The version of the fundamentalista gem, as a string.
-  VERSION = '0.1.0'
+  VERSION = '0.2.0'
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: fundamentalista
 version: !ruby/object:Gem::Version
-  version: 0.1.0
+  version: 0.2.0
 platform: ruby
 authors:
 - Bruno Costanzo
@@ -93,6 +93,7 @@ files:
 - lib/fundamentalista/income_statement.rb
 - lib/fundamentalista/inspectable.rb
 - lib/fundamentalista/period.rb
+- lib/fundamentalista/price_history.rb
 - lib/fundamentalista/provider.rb
 - lib/fundamentalista/providers/edgar.rb
 - lib/fundamentalista/providers/edgar/facts.rb