valuation 0.0.1

data/History.txt

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+== 0.0.1 2008-09-28
+
+* 1 major enhancement:
+  * Initial release

data/License.txt

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+Copyright (c) 2008 Tim Kofol
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in
+all copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN
+THE SOFTWARE.

data/Manifest

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+History.txt
+lib/valuation/cash_flows.rb
+lib/valuation/core_ext.rb
+lib/valuation/interest_rate.rb
+lib/valuation.rb
+License.txt
+Manifest
+Rakefile
+README.textile
+test/test_cash_flows.rb
+test/test_helper.rb
+test/test_interest_rate.rb
+test/test_valuation.rb

data/README.textile

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+h1. Valuation
+
+A Corporate Finance Ruby Gem. For those of you who are sick of using excel for all your finance calculations. Now there is an alternative for you Ruby hackers.
+
+h2. Features
+
+* Calculate the NPV, FV or IRR of a series of cash flows
+* Convert interest rates from different time periods (APR, EAR)
+* Access functions for Annuity, Perpetuity
+
+h2. Examples
+
+> require 'valuation'
+
+> include Valuation
+
+*Cash Flows*
+
+> CashFlows.new([10,10,10], :i => 0.10).present_value
+
+=> 27.3553719008264
+
+> CashFlows.new([10,10,10], :i => 0.10).future_value
+
+=> 33.1
+
+> CashFlows.new([-10,10,10]).irr
+
+=> 0.618033338439153
+
+*Interest Rate*
+
+> ir = InterestRate.new(0.10)
+
+> ir.yearly
+
+=> 0.10
+
+> ir.rate 
+
+=> 0.10
+
+> ir = InterestRate.new(0.01, :monthly)
+
+> rate.yearly
+
+=> 0.12682503013197
+
+> ir = InterestRate.new(0.12, :apr, :compounded => :monthly)
+
+> ir.monthly
+
+=> 0.01
+
+> ir.yearly
+
+=> 0.12682503013197

data/Rakefile

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+require 'rubygems'
+
+gem 'technicalpickles-echoe'
+require 'echoe'
+
+Echoe.new('valuation') do |p|
+  p.version      = '0.0.1'
+  p.author       = "Tim Kofol"
+  p.email        = "tkofol@gmail.com"
+  p.summary      = "A Ruby Gem For Corporate Finance Calculations."
+end
+
+
+

data/lib/valuation.rb

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+$:.unshift File.dirname(__FILE__)     # For use/testing when no gem is installed
+require 'valuation/cash_flows'
+require 'valuation/core_ext'
+require 'valuation/interest_rate'
+
+module Valuation
+  
+  # Returns the present value of a perpetuity
+  #
+  # c = Cash flow at time 1
+  # i = Interest rate
+  # Optional g = Growth rate
+  def perpetuity(c, i, g=0)
+    c / (i-g).to_f
+  end
+  
+  # Returns the present value of an annuity
+  #
+  # c = Cash flow at time 1
+  # i = Interest rate
+  # n = The number of time periods
+  # options hash 
+  #  :g = Growth Rate Defauls to 0
+  #  :pv = Defaults to true
+  def annuity(c, i, n, options = {})
+    options = {:g => 0, :pv => true}.merge(options)
+    g = options[:g]
+    pv = c * (1/(i-g).to_f) * (1 - ((1+g)/(1+i).to_f) ** n)
+    if options[:pv] == true
+      pv
+    else
+      pv * (1+i) ** n
+    end
+  end
+  
+  # Returns the present value of a stream of cash flows
+  # that have an interest rate r
+  #
+  # c = Array of cash flows
+  # r = intrest rate as a decimal
+  def npv(c, r)
+    npv=0
+    c.each_with_index do |c_t,t|
+      npv += c_t.to_f / (1.0+r)**t.to_f
+    end
+    npv
+  end
+  
+  
+end

data/lib/valuation/cash_flows.rb

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+module Valuation
+  
+  class CashFlows
+    
+    def initialize(flows, options = {})
+      @flows = flows
+      @i = options[:i] || 0
+    end
+    
+    def present_value
+      value = 0
+      @flows.each_index do |n|
+        value += @flows[n] / ((1+@i)**n).to_f
+      end
+      value
+    end
+    
+    def future_value
+      value = 0
+      @flows.reverse.each_index do |n|
+        value += @flows[n] * ((1+@i)**n).to_f
+      end
+      value
+    end
+    
+    def irr(significant_digits=4)
+      limit = 10**-(significant_digits)
+      estimate = @flows.sum/(@flows.size-1.0)/75.0
+      delta = estimate.abs
+      n = npv(@flows,estimate)
+      while n.abs > limit
+        sign = n/n.abs
+        if (delta.abs < limit/1000)
+          delta=estimate.abs               #if we aren't getting anywhere, take a big jump
+          return sign/0.0 if (n-@flows[0]).abs < limit
+        end
+        estimate += (delta/=2) * sign
+        n = npv(@flows,estimate)
+      end
+      estimate
+    end
+    
+  end
+    
+end

data/lib/valuation/core_ext.rb

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+class Array
+  def sum
+    inject(0){|s,v|s+v}
+  end
+end

data/lib/valuation/interest_rate.rb

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+include Math
+module Valuation
+  
+  class InterestRate
+    attr_accessor :rate
+    @@periods = {:yearly => 1.0,
+                 :semiannually => (1/2.0),
+                 :bi_annually => (1/2.0),
+                 :quarterly => (1/4.0),
+                 :monthly => (1/12.0),
+                 :weekly => (1/52.0),
+                 :daily => (1/365.0)}
+    
+    #Setup The Period Methods
+    @@periods.each_pair do |period, n| 
+      define_method "#{period}" do
+        convert_period n
+      end
+    end
+    
+    # Add a unique time period. If you need different time
+    # periods that are not provided by default
+    # 
+    # All time periods are measured to a base time period of 1 year
+    # so to add an hourly time period
+    #
+    # InterestRate.add_time_periods(:hourly => (1/(365*24)))
+    # This time period will now be available, in the init method.
+    # It will also add a instance method hourly
+    def self.add_time_periods(periods)
+      @@periods.merge(periods)
+      periods.each_pair do |period, n| 
+        define_method "#{period}" do
+          convert_period n
+        end
+      end
+    end
+     
+    #  All interest rates are converted to EAR rates.
+    #  So the base time period is one year. 
+    #  
+    #  10% EAR rate: InterestRate.new(0.10)
+    #  
+    #  5% EMR rate: InterestRate.new(0.05, :monthly)
+    #
+    #  12% APR compounded monthly InterestRate.new(0.12, :apr, :compounded => :monthly)
+    #
+    #  Custom Period 5% Compounded every third of the year InterestRate.new(0.05, 1/3.0)
+    def initialize(rate, type=:yearly, options = {})
+      if type.class.to_s == 'Float'
+        @rate = convert_period(1/type, rate)
+      elsif type.to_sym == :apr
+        options = {:compounded => :yearly}.merge(options)
+        factor = @@periods[options[:compounded]]
+        @rate = (1 + (rate*factor.to_f))**(1/factor.to_f) - 1
+      else
+        @rate = convert_period(1/@@periods[type], rate)
+      end
+    end
+    
+    # The continous interest rate for a given time period t
+    def continuous(t)
+      E ** (rate * t) - 1
+    end
+    
+    private
+      def convert_period(n, rate=@rate)
+        ((1 + rate) ** n) - 1
+      end 
+  end
+  
+end

data/test/test_cash_flows.rb

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+require File.dirname(__FILE__) + '/test_helper.rb'
+include Valuation
+
+class TestCashFlows < Test::Unit::TestCase
+  
+  def test_cash_flow_pv
+    cf = CashFlows.new([10,10,10], :i => 0.10)
+    assert_in_delta 27.3553, cf.present_value, 0.01
+  end
+  
+  def test_cash_flow_fv
+    cf = CashFlows.new([10,10,10], :i => 0.10)
+    assert_in_delta 33.1, cf.future_value, 0.01
+  end
+  
+  def test_irr
+    cf = CashFlows.new([-10,10,10])
+    assert_in_delta 0.61803, cf.irr, 0.01
+  end
+end

data/test/test_helper.rb

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+require 'test/unit'
+require File.dirname(__FILE__) + '/../lib/valuation'

data/test/test_interest_rate.rb

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+require File.dirname(__FILE__) + '/test_helper.rb'
+include Valuation
+
+class TestInterestRate < Test::Unit::TestCase
+  
+  def test_yearly
+    rate = InterestRate.new(0.10)
+    assert_in_delta 0.10, rate.yearly, 0.0001
+  end
+  
+  def test_bi_annually
+    rate = InterestRate.new(0.10)
+    assert_in_delta 0.0488088481701, rate.bi_annually, 0.0001
+  end
+  
+  def test_monthly
+    rate = InterestRate.new(0.10)
+    assert_in_delta 0.00797411, rate.monthly, 0.0001
+  end
+  
+  def test_add_monthly_rate
+    rate = InterestRate.new(0.01, :monthly)
+    assert_in_delta 0.12682503013197, rate.yearly, 0.0001
+  end
+  
+  def test_add_new_time_period
+    InterestRate.add_time_periods({:once_in_a_blue_moon => 3.41666666666667})
+    rate = InterestRate.new(0.10)
+    assert_not_nil rate.once_in_a_blue_moon
+    rate2 = InterestRate.new(0.10)
+    assert_not_nil rate.once_in_a_blue_moon
+  end
+  
+  def test_apr_monthly
+    rate = InterestRate.new(0.12, :apr, :compounded => :monthly)
+    assert_in_delta 0.01, rate.monthly, 0.0001
+    assert_in_delta 0.12682503013197, rate.rate, 0.0001
+  end
+  
+  def test_apr_semi_annually
+    rate = InterestRate.new(0.12, :apr, :compounded => :semiannually)
+    assert_in_delta 0.06, rate.semiannually, 0.0001
+  end
+  
+  def test_continuous_interest_rate
+    rate = InterestRate.new(0.05)
+    assert_in_delta 0.28402, rate.continuous(5), 0.0001
+  end
+  
+  def test_custom_interest_rate
+    rate = InterestRate.new(0.05, (1/3.0))
+    assert_in_delta 0.157625, rate.rate, 0.0001
+  end
+end

data/test/test_valuation.rb

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+require File.dirname(__FILE__) + '/test_helper.rb'
+include Valuation
+
+class TestValuation < Test::Unit::TestCase
+  
+  def test_perpetuity
+    assert_in_delta 20.0, perpetuity(20, 1), 0.01
+    assert_in_delta 20.0, perpetuity(20.0, 1), 0.01
+    assert_in_delta 200.0, perpetuity(20, 0.1), 0.01
+  end
+  
+  def test_growing_prepetuity
+    assert_in_delta 20.0, perpetuity(20, 2, 1), 0.01
+    assert_in_delta 200.0, perpetuity(20, 0.5, 0.4), 0.01
+  end
+  
+  def test_present_value_annuity
+    assert_in_delta 31698.654, annuity(10000, 0.10, 4) , 0.01
+  end
+  
+  def test_present_value_growing_annuity
+    assert_in_delta 52.6971, annuity(10, 0.10, 7, :g => 0.03), 0.01
+  end
+  
+  def test_future_value_annuity
+    assert_in_delta 46410.0, annuity(10000, 0.10, 4, :pv => false), 0.01
+  end
+  
+  def test_future_value_growing_annuity
+    assert_in_delta 102.69, annuity(10, 0.10, 7, :g => 0.03, :pv => false), 0.01
+  end
+  
+  def test_npv
+    assert_in_delta 24.86965, npv([0,10,10, 10], 0.10), 0.01
+  end
+end

data/valuation.gemspec

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+Gem::Specification.new do |s|
+  s.name = %q{valuation}
+  s.version = "0.0.1"
+
+  #s.required_rubygems_version = Gem::Requirement.new("= 1.2") if s.respond_to? :required_rubygems_version=
+  s.authors = ["Tim Kofol"]
+  s.date = %q{2008-10-19}
+  s.description = %q{A Ruby Gem For Corporate Finance Calculations.}
+  s.email = %q{tkofol@gmail.com}
+  s.extra_rdoc_files = ["lib/valuation/cash_flows.rb", "lib/valuation/core_ext.rb", "lib/valuation/interest_rate.rb", "lib/valuation.rb", "README.textile"]
+  s.files = ["History.txt", "lib/valuation/cash_flows.rb", "lib/valuation/core_ext.rb", "lib/valuation/interest_rate.rb", "lib/valuation.rb", "License.txt", "Manifest", "Rakefile", "README.textile", "test/test_cash_flows.rb", "test/test_helper.rb", "test/test_interest_rate.rb", "test/test_valuation.rb", "valuation.gemspec"]
+  s.has_rdoc = true
+  s.homepage = %q{}
+  s.rdoc_options = ["--line-numbers", "--inline-source", "--title", "Valuation", "--main", "README.textile"]
+  s.require_paths = ["lib"]
+  s.rubyforge_project = %q{valuation}
+  #s.rubygems_version = %q{1.2.0}
+  s.summary = %q{A Ruby Gem For Corporate Finance Calculations.}
+  s.test_files = ["test/test_cash_flows.rb", "test/test_helper.rb", "test/test_interest_rate.rb", "test/test_valuation.rb"]
+
+  if s.respond_to? :specification_version then
+    current_version = Gem::Specification::CURRENT_SPECIFICATION_VERSION
+    s.specification_version = 2
+
+    if current_version >= 3 then
+      s.add_development_dependency(%q<echoe>, [">= 0"])
+    else
+      s.add_dependency(%q<echoe>, [">= 0"])
+    end
+  else
+    s.add_dependency(%q<echoe>, [">= 0"])
+  end
+end

metadata

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+--- !ruby/object:Gem::Specification 
+name: valuation
+version: !ruby/object:Gem::Version 
+  version: 0.0.1
+platform: ruby
+authors: 
+- Tim Kofol
+autorequire: 
+bindir: bin
+cert_chain: []
+
+date: 2008-10-19 00:00:00 +08:00
+default_executable: 
+dependencies: 
+- !ruby/object:Gem::Dependency 
+  name: echoe
+  type: :development
+  version_requirement: 
+  version_requirements: !ruby/object:Gem::Requirement 
+    requirements: 
+    - - ">="
+      - !ruby/object:Gem::Version 
+        version: "0"
+    version: 
+description: A Ruby Gem For Corporate Finance Calculations.
+email: tkofol@gmail.com
+executables: []
+
+extensions: []
+
+extra_rdoc_files: 
+- lib/valuation/cash_flows.rb
+- lib/valuation/core_ext.rb
+- lib/valuation/interest_rate.rb
+- lib/valuation.rb
+- README.textile
+files: 
+- History.txt
+- lib/valuation/cash_flows.rb
+- lib/valuation/core_ext.rb
+- lib/valuation/interest_rate.rb
+- lib/valuation.rb
+- License.txt
+- Manifest
+- Rakefile
+- README.textile
+- test/test_cash_flows.rb
+- test/test_helper.rb
+- test/test_interest_rate.rb
+- test/test_valuation.rb
+- valuation.gemspec
+has_rdoc: true
+homepage: ""
+licenses: []
+
+post_install_message: 
+rdoc_options: 
+- --line-numbers
+- --inline-source
+- --title
+- Valuation
+- --main
+- README.textile
+require_paths: 
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement 
+  requirements: 
+  - - ">="
+    - !ruby/object:Gem::Version 
+      version: "0"
+  version: 
+required_rubygems_version: !ruby/object:Gem::Requirement 
+  requirements: 
+  - - ">="
+    - !ruby/object:Gem::Version 
+      version: "0"
+  version: 
+requirements: []
+
+rubyforge_project: valuation
+rubygems_version: 1.3.5
+signing_key: 
+specification_version: 2
+summary: A Ruby Gem For Corporate Finance Calculations.
+test_files: 
+- test/test_cash_flows.rb
+- test/test_helper.rb
+- test/test_interest_rate.rb
+- test/test_valuation.rb