fundamentalista 0.1.1 → 0.3.0

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
-  metadata.gz: a751de0b23e903aae3241633a34846881b375b79d30cf43f123a79e85e9ef756
-  data.tar.gz: b5518a61ec6a452ea5cb13ff6c996301e2942e712c79dbac0b5d43b1dc143b2c
+  metadata.gz: 37f787ea99f5a949329fb943c8994bc1fa3cb3b9f0ed357757926b4bb661fb57
+  data.tar.gz: f974e488c25c1b0628e9c6fbca2400b6aa86c99705d8d274d008591a0a93d52e
 SHA512:
-  metadata.gz: 5358331cec9f638346d55606350feaed1bf221567ae4f74495d045afe9c51d9297d2d45d09bc7816816cc9741046bd712f8e6f47b0338faf2a349155d704ed4b
-  data.tar.gz: ef443415389f98b381bf6d756c65cfc90358dec72c68a32de6ec8034146d2aba6a4ae87d05225394f6eeec42103e093e378b97229523b1e2689ac2628ce9cea5
+  metadata.gz: a8f4e210ea59fac412647858620bd23f880785fb723c902770e81b295bdfd0671884affb0b1a849e165f49f0d2dc90660c5978374f673b5038b8e5ef6002cf6b
+  data.tar.gz: 438bf83861f879aa1c4f4b47468ffdb974ab1d3700aaa5ea8ec8375a8da891e689bc21bbc7ce11b1e50b290351342da399040e185fd5c6f06d4e2392389e46b5

data/CHANGELOG.md

@@ -1,5 +1,14 @@
 # Changelog
 
+## 0.3.0
+
+- Insurance lines and ratios: premiums, claims, loss, expense and combined ratios, investment yield and the float, read from the concepts property and casualty insurers report.
+
+## 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.

data/README.md

@@ -113,7 +113,22 @@ jpm.ratios.cost_of_risk            # credit provisions over average loans
 jpm.ratios.allowance_to_loans
 ```
 
-The banking ratios appear in `ratios.to_h` only for banks, and the industrial ones that need inventory, cost of revenue or a classified balance sheet come back `nil` for them. Quarterly ratios are per quarter, not annualized; use the trailing twelve months for returns.
+The banking and insurance ratios appear in `ratios.to_h` only for banks and insurers, and the industrial ones that need inventory, cost of revenue or a classified balance sheet come back `nil` for them. Quarterly ratios are per quarter, not annualized; use the trailing twelve months for returns.
+
+## Insurers
+
+Insurers earn premiums and invest the float, so their lines live on `period.insurance`: premiums earned and written, claims incurred, total benefits and expenses, investment income, investments, reserves, unearned premiums, premiums receivable and reinsurance recoverables. `period.insurer?` says whether the company earns premiums, and `insurance.float` is Buffett's: reserves plus unearned premiums, less what policyholders and reinsurers still owe.
+
+```ruby
+trv = Fundamentalista.company("TRV").financials.latest
+trv.ratios.loss_ratio            # claims incurred over premiums earned
+trv.ratios.combined_ratio        # benefits, losses and expenses over premiums earned; below one, underwriting makes money
+trv.ratios.expense_ratio         # the difference between the two
+trv.ratios.investment_yield      # investment income over average investments
+trv.ratios.float_to_equity
+```
+
+These are property and casualty concepts. For life insurers, whose revenue is mostly investment income and whose reserves are future policy benefits, the combined ratio and the float mislead; read their investment yield and return on equity instead.
 
 ## Ratios
 
@@ -222,6 +237,15 @@ 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.
@@ -246,6 +270,21 @@ 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 |
@@ -254,6 +293,7 @@ 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/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/financials.rb

@@ -92,7 +92,8 @@ module Fundamentalista
         currency: quarters.first.currency, balance: quarters.first.balance,
         income: IncomeStatement.sum(quarters.map(&:income)),
         cash_flow: CashFlowStatement.sum(quarters.map(&:cash_flow)),
-        banking: Banking.sum(quarters.map(&:banking))
+        banking: Banking.sum(quarters.map(&:banking)),
+        insurance: Insurance.sum(quarters.map(&:insurance))
       )
     end
 

data/lib/fundamentalista/insurance.rb

@@ -0,0 +1,35 @@
+# frozen_string_literal: true
+
+module Fundamentalista
+  # The lines an insurer reports that the three classic statements do not
+  # carry: premiums, claims, investment income, reserves and the balances
+  # behind the float. Empty for companies that are not insurers. All in
+  # the reporting currency.
+  class Insurance < Statement
+    field :premiums_earned, :premiums_written, :claims_incurred, :benefits_and_expenses, :investment_income,
+          :investments, :reserves, :unearned_premiums, :premiums_receivable, :reinsurance_recoverables
+
+    INSTANT = %i[investments reserves unearned_premiums premiums_receivable reinsurance_recoverables].freeze
+
+    # Adds up +statements+, keeping the latest balances instead.
+    def self.sum(statements)
+      summed = super
+      balances = INSTANT.to_h { |field| [field, statements.first.public_send(field)] }
+      new(**summed.to_h, **balances)
+    end
+
+    # Whether the company earns premiums, the mark of an insurer.
+    def insurer?
+      !premiums_earned.nil? && !premiums_earned.zero?
+    end
+
+    # Buffett's float: reserves and unearned premiums, less what
+    # policyholders and reinsurers still owe. The money an insurer invests
+    # before it pays claims.
+    def float
+      return nil if reserves.nil?
+
+      reserves + (unearned_premiums || 0) - (premiums_receivable || 0) - (reinsurance_recoverables || 0)
+    end
+  end
+end

data/lib/fundamentalista/period.rb

@@ -27,6 +27,9 @@ module Fundamentalista
     # The Banking lines, empty for companies that are not banks.
     attr_reader :banking
 
+    # The Insurance lines, empty for companies that are not insurers.
+    attr_reader :insurance
+
     # Where each line item came from, keyed by item, as Source objects.
     # Empty when the provider does not say.
     attr_reader :sources
@@ -37,14 +40,15 @@ module Fundamentalista
     # The period before this one, or +nil+.
     attr_accessor :prior
 
-    def initialize(fiscal_year:, ended_on:, income:, balance:, cash_flow:, banking: Banking.new, sources: {},
-                   type: :annual, quarter: nil, currency: 'USD', prior: nil)
+    def initialize(fiscal_year:, ended_on:, income:, balance:, cash_flow:, banking: Banking.new, insurance: Insurance.new,
+                   sources: {}, type: :annual, quarter: nil, currency: 'USD', prior: nil)
       @fiscal_year = fiscal_year
       @ended_on = ended_on
       @income = income
       @balance = balance
       @cash_flow = cash_flow
       @banking = banking
+      @insurance = insurance
       @sources = sources
       @type = type
       @quarter = quarter
@@ -69,6 +73,11 @@ module Fundamentalista
       banking.bank?
     end
 
+    # Whether the company is an insurer, judged by premiums earned.
+    def insurer?
+      insurance.insurer?
+    end
+
     # Returns the Source of the line item +name+, or +nil+.
     def source(name)
       sources[name]
@@ -90,7 +99,8 @@ module Fundamentalista
     # Returns the period and its statements as a Hash.
     def to_h
       { fiscal_year: fiscal_year, quarter: quarter, type: type, ended_on: ended_on, currency: currency,
-        income: income.to_h, balance: balance.to_h, cash_flow: cash_flow.to_h, banking: banking.to_h }
+        income: income.to_h, balance: balance.to_h, cash_flow: cash_flow.to_h, banking: banking.to_h,
+        insurance: insurance.to_h }
     end
 
     # The days the period spans, for turning turnover into days.
@@ -136,7 +146,7 @@ module Fundamentalista
       return owner_earnings if name == :owner_earnings
       return per_share(name.to_s.delete_suffix('_per_share').to_sym) if name.end_with?('_per_share')
 
-      statement = [income, balance, cash_flow, banking].find { |candidate| candidate.respond_to?(name) }
+      statement = [income, balance, cash_flow, banking, insurance].find { |candidate| candidate.respond_to?(name) }
       raise ArgumentError, "Unknown metric #{name.inspect}" unless statement
 
       statement.public_send(name)

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

@@ -111,7 +111,22 @@ module Fundamentalista
         # by fiscal year end, used when the balance sheet lacks the item.
         COVER = { shares_outstanding: 'EntityCommonStockSharesOutstanding' }.freeze
 
-        INSTANT = (BALANCE.keys + Banking::INSTANT).freeze
+        INSURANCE = {
+          premiums_earned: %w[PremiumsEarnedNet DirectPremiumsEarned],
+          premiums_written: %w[PremiumsWrittenNet DirectPremiumsWritten],
+          claims_incurred: %w[PolicyholderBenefitsAndClaimsIncurredNet
+                              LiabilityForUnpaidClaimsAndClaimsAdjustmentExpenseIncurredClaims1],
+          benefits_and_expenses: %w[BenefitsLossesAndExpenses],
+          investment_income: %w[NetInvestmentIncome GrossInvestmentIncomeOperating],
+          investments: %w[Investments],
+          reserves: %w[LiabilityForFuturePolicyBenefitsAndUnpaidClaimsAndClaimsAdjustmentExpense
+                       LiabilityForClaimsAndClaimsAdjustmentExpense LiabilityForFuturePolicyBenefits],
+          unearned_premiums: %w[UnearnedPremiums],
+          premiums_receivable: %w[PremiumsReceivableAtCarryingValue],
+          reinsurance_recoverables: %w[ReinsuranceRecoverablesOnPaidAndUnpaidLosses]
+        }.freeze
+
+        INSTANT = (BALANCE.keys + Banking::INSTANT + Insurance::INSTANT).freeze
       end
     end
   end

data/lib/fundamentalista/providers/edgar.rb

@@ -40,10 +40,15 @@ 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],
-                     cash_flow: [CashFlowStatement, Tags::CASH_FLOW], banking: [Banking, Tags::BANKING] }.freeze
+                     cash_flow: [CashFlowStatement, Tags::CASH_FLOW], banking: [Banking, Tags::BANKING],
+                     insurance: [Insurance, Tags::INSURANCE] }.freeze
       private_constant :STATEMENTS
 
       def annual_period(facts, year, ended_on)

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'],

data/lib/fundamentalista/ratios.rb

@@ -24,7 +24,8 @@ module Fundamentalista
                          cash_conversion_cycle].freeze
     CASH = %i[fcf_margin cash_conversion capex_to_revenue accrual_ratio].freeze
     BANKING = %i[net_interest_margin efficiency_ratio loan_to_deposit cost_of_risk allowance_to_loans].freeze
-    ALL = (PROFITABILITY + LIQUIDITY + LEVERAGE + EFFICIENCY + WORKING_CAPITAL + CASH + BANKING).freeze
+    INSURANCE = %i[loss_ratio expense_ratio combined_ratio investment_yield float_to_equity].freeze
+    ALL = (PROFITABILITY + LIQUIDITY + LEVERAGE + EFFICIENCY + WORKING_CAPITAL + CASH + BANKING + INSURANCE).freeze
 
     attr_reader :period
 
@@ -182,15 +183,42 @@ module Fundamentalista
       Decimal.ratio(banking.allowance_for_credit_losses, banking.loans)
     end
 
+    # Claims incurred over premiums earned.
+    def loss_ratio
+      Decimal.ratio(insurance.claims_incurred, insurance.premiums_earned)
+    end
+
+    # Everything the insurer spends beyond claims, over premiums earned.
+    def expense_ratio
+      Decimal.subtract(combined_ratio, loss_ratio)
+    end
+
+    # Benefits, losses and expenses over premiums earned; below one the
+    # underwriting itself makes money.
+    def combined_ratio
+      Decimal.ratio(insurance.benefits_and_expenses, insurance.premiums_earned)
+    end
+
+    # Net investment income over average investments.
+    def investment_yield
+      Decimal.ratio(insurance.investment_income, average(:investments, of: :insurance))
+    end
+
+    # The float over equity, the leverage an insurer's investing runs on.
+    def float_to_equity
+      Decimal.ratio(insurance.float, balance.equity)
+    end
+
     # The DuPont decomposition of ROE: net margin times asset turnover times
     # the equity multiplier.
     def dupont
       { net_margin: net_margin, asset_turnover: asset_turnover, equity_multiplier: equity_multiplier, roe: roe }
     end
 
-    # Returns every ratio keyed by name; the banking ones only for banks.
+    # Returns every ratio keyed by name; the banking ones only for banks,
+    # the insurance ones only for insurers.
     def to_h
-      names = period.bank? ? ALL : ALL - BANKING
+      names = ALL - (period.bank? ? [] : BANKING) - (period.insurer? ? [] : INSURANCE)
       names.to_h { |name| [name, public_send(name)] }
     end
 
@@ -216,6 +244,10 @@ module Fundamentalista
       period.banking
     end
 
+    def insurance
+      period.insurance
+    end
+
     def average(field, of: :balance)
       current = period.public_send(of).public_send(field)
       return current unless period.prior

data/lib/fundamentalista/valuation.rb

@@ -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 = '0.1.1'
+  VERSION = '0.3.0'
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: fundamentalista
 version: !ruby/object:Gem::Version
-  version: 0.1.1
+  version: 0.3.0
 platform: ruby
 authors:
 - Bruno Costanzo
@@ -92,7 +92,9 @@ files:
 - lib/fundamentalista/financials.rb
 - lib/fundamentalista/income_statement.rb
 - lib/fundamentalista/inspectable.rb
+- lib/fundamentalista/insurance.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