@bilig/formula 0.1.82 → 0.1.84
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/dist/addressing.d.ts +6 -6
- package/dist/addressing.js +16 -16
- package/dist/addressing.js.map +1 -1
- package/dist/ast.d.ts +18 -18
- package/dist/binder-wasm-rules.d.ts +2 -2
- package/dist/binder-wasm-rules.js +677 -724
- package/dist/binder-wasm-rules.js.map +1 -1
- package/dist/binder.d.ts +2 -2
- package/dist/binder.js +133 -137
- package/dist/binder.js.map +1 -1
- package/dist/builtin-capabilities.d.ts +4 -4
- package/dist/builtin-capabilities.js +777 -816
- package/dist/builtin-capabilities.js.map +1 -1
- package/dist/builtins/complex.d.ts +3 -3
- package/dist/builtins/complex.js +20 -48
- package/dist/builtins/complex.js.map +1 -1
- package/dist/builtins/convert.d.ts +1 -1
- package/dist/builtins/convert.js +180 -181
- package/dist/builtins/convert.js.map +1 -1
- package/dist/builtins/datetime.d.ts +1 -1
- package/dist/builtins/datetime.js +60 -72
- package/dist/builtins/datetime.js.map +1 -1
- package/dist/builtins/distribution-builtins.d.ts +2 -2
- package/dist/builtins/distribution-builtins.js +62 -112
- package/dist/builtins/distribution-builtins.js.map +1 -1
- package/dist/builtins/distributions.js +17 -54
- package/dist/builtins/distributions.js.map +1 -1
- package/dist/builtins/financial-builtins.d.ts +2 -2
- package/dist/builtins/financial-builtins.js +9 -42
- package/dist/builtins/financial-builtins.js.map +1 -1
- package/dist/builtins/financial.js +4 -18
- package/dist/builtins/financial.js.map +1 -1
- package/dist/builtins/fixed-income-builtins.d.ts +2 -2
- package/dist/builtins/fixed-income-builtins.js +18 -60
- package/dist/builtins/fixed-income-builtins.js.map +1 -1
- package/dist/builtins/fixed-income.js +25 -96
- package/dist/builtins/fixed-income.js.map +1 -1
- package/dist/builtins/formatting.js +9 -9
- package/dist/builtins/formatting.js.map +1 -1
- package/dist/builtins/logical.d.ts +1 -1
- package/dist/builtins/logical.js +5 -5
- package/dist/builtins/logical.js.map +1 -1
- package/dist/builtins/lookup-array-shape-builtins.d.ts +3 -3
- package/dist/builtins/lookup-array-shape-builtins.js +8 -15
- package/dist/builtins/lookup-array-shape-builtins.js.map +1 -1
- package/dist/builtins/lookup-criteria-builtins.d.ts +2 -2
- package/dist/builtins/lookup-criteria-builtins.js +1 -1
- package/dist/builtins/lookup-criteria-builtins.js.map +1 -1
- package/dist/builtins/lookup-database-builtins.d.ts +2 -2
- package/dist/builtins/lookup-database-builtins.js +20 -24
- package/dist/builtins/lookup-database-builtins.js.map +1 -1
- package/dist/builtins/lookup-financial-builtins.d.ts +3 -3
- package/dist/builtins/lookup-financial-builtins.js +14 -30
- package/dist/builtins/lookup-financial-builtins.js.map +1 -1
- package/dist/builtins/lookup-hypothesis-builtins.d.ts +2 -2
- package/dist/builtins/lookup-hypothesis-builtins.js +23 -58
- package/dist/builtins/lookup-hypothesis-builtins.js.map +1 -1
- package/dist/builtins/lookup-matrix-builtins.d.ts +3 -3
- package/dist/builtins/lookup-matrix-builtins.js +5 -3
- package/dist/builtins/lookup-matrix-builtins.js.map +1 -1
- package/dist/builtins/lookup-order-statistics-builtins.d.ts +3 -3
- package/dist/builtins/lookup-order-statistics-builtins.js +18 -30
- package/dist/builtins/lookup-order-statistics-builtins.js.map +1 -1
- package/dist/builtins/lookup-reference-builtins.d.ts +2 -2
- package/dist/builtins/lookup-reference-builtins.js +10 -26
- package/dist/builtins/lookup-reference-builtins.js.map +1 -1
- package/dist/builtins/lookup-regression-builtins.d.ts +2 -2
- package/dist/builtins/lookup-regression-builtins.js +52 -69
- package/dist/builtins/lookup-regression-builtins.js.map +1 -1
- package/dist/builtins/lookup-sort-filter-builtins.d.ts +3 -3
- package/dist/builtins/lookup-sort-filter-builtins.js +5 -13
- package/dist/builtins/lookup-sort-filter-builtins.js.map +1 -1
- package/dist/builtins/lookup.d.ts +5 -5
- package/dist/builtins/lookup.js +61 -73
- package/dist/builtins/lookup.js.map +1 -1
- package/dist/builtins/math-builtins.d.ts +2 -2
- package/dist/builtins/math-builtins.js +11 -17
- package/dist/builtins/math-builtins.js.map +1 -1
- package/dist/builtins/numeric.d.ts +2 -2
- package/dist/builtins/numeric.js +2 -2
- package/dist/builtins/numeric.js.map +1 -1
- package/dist/builtins/placeholder.d.ts +1 -1
- package/dist/builtins/placeholder.js +505 -505
- package/dist/builtins/placeholder.js.map +1 -1
- package/dist/builtins/radix.d.ts +2 -2
- package/dist/builtins/radix.js +33 -39
- package/dist/builtins/radix.js.map +1 -1
- package/dist/builtins/statistical-builtins.d.ts +2 -2
- package/dist/builtins/statistical-builtins.js +29 -56
- package/dist/builtins/statistical-builtins.js.map +1 -1
- package/dist/builtins/statistics.d.ts +1 -1
- package/dist/builtins/statistics.js +3 -7
- package/dist/builtins/statistics.js.map +1 -1
- package/dist/builtins/text-core-builtins.d.ts +2 -2
- package/dist/builtins/text-core-builtins.js +110 -110
- package/dist/builtins/text-core-builtins.js.map +1 -1
- package/dist/builtins/text-format-builtins.d.ts +2 -2
- package/dist/builtins/text-format-builtins.js +109 -141
- package/dist/builtins/text-format-builtins.js.map +1 -1
- package/dist/builtins/text-search-builtins.d.ts +2 -2
- package/dist/builtins/text-search-builtins.js +37 -44
- package/dist/builtins/text-search-builtins.js.map +1 -1
- package/dist/builtins/text.d.ts +2 -2
- package/dist/builtins/text.js +19 -29
- package/dist/builtins/text.js.map +1 -1
- package/dist/builtins.d.ts +3 -3
- package/dist/builtins.js +55 -75
- package/dist/builtins.js.map +1 -1
- package/dist/compatibility.js +425 -430
- package/dist/compatibility.js.map +1 -1
- package/dist/compiler.d.ts +7 -7
- package/dist/compiler.js +212 -228
- package/dist/compiler.js.map +1 -1
- package/dist/external-function-adapter.d.ts +6 -6
- package/dist/external-function-adapter.js +3 -3
- package/dist/external-function-adapter.js.map +1 -1
- package/dist/formula-template-key.js +25 -26
- package/dist/formula-template-key.js.map +1 -1
- package/dist/generated/formula-inventory.js +3567 -3567
- package/dist/generated/formula-inventory.js.map +1 -1
- package/dist/group-pivot-evaluator.d.ts +2 -2
- package/dist/group-pivot-evaluator.js +27 -32
- package/dist/group-pivot-evaluator.js.map +1 -1
- package/dist/index.d.ts +20 -20
- package/dist/index.js +20 -20
- package/dist/index.js.map +1 -1
- package/dist/js-evaluator-array-special-calls.d.ts +3 -3
- package/dist/js-evaluator-array-special-calls.js +25 -34
- package/dist/js-evaluator-array-special-calls.js.map +1 -1
- package/dist/js-evaluator-context-special-calls.d.ts +2 -2
- package/dist/js-evaluator-context-special-calls.js +23 -27
- package/dist/js-evaluator-context-special-calls.js.map +1 -1
- package/dist/js-evaluator-reference-context.d.ts +2 -2
- package/dist/js-evaluator-reference-context.js +22 -24
- package/dist/js-evaluator-reference-context.js.map +1 -1
- package/dist/js-evaluator-workbook-special-calls.d.ts +2 -2
- package/dist/js-evaluator-workbook-special-calls.js +18 -24
- package/dist/js-evaluator-workbook-special-calls.js.map +1 -1
- package/dist/js-evaluator.d.ts +40 -40
- package/dist/js-evaluator.js +135 -147
- package/dist/js-evaluator.js.map +1 -1
- package/dist/js-plan-lowering.d.ts +2 -2
- package/dist/js-plan-lowering.js +103 -108
- package/dist/js-plan-lowering.js.map +1 -1
- package/dist/lexer.d.ts +1 -1
- package/dist/lexer.js +34 -43
- package/dist/lexer.js.map +1 -1
- package/dist/optimizer.d.ts +1 -1
- package/dist/optimizer.js +99 -108
- package/dist/optimizer.js.map +1 -1
- package/dist/parser.d.ts +1 -1
- package/dist/parser.js +129 -136
- package/dist/parser.js.map +1 -1
- package/dist/program-arena.js.map +1 -1
- package/dist/runtime-inventory.d.ts +2 -2
- package/dist/runtime-inventory.js +14 -20
- package/dist/runtime-inventory.js.map +1 -1
- package/dist/runtime-values.d.ts +4 -4
- package/dist/runtime-values.js +2 -2
- package/dist/runtime-values.js.map +1 -1
- package/dist/special-call-rewrites.d.ts +1 -1
- package/dist/special-call-rewrites.js +14 -18
- package/dist/special-call-rewrites.js.map +1 -1
- package/dist/translation.d.ts +7 -7
- package/dist/translation.js +323 -366
- package/dist/translation.js.map +1 -1
- package/package.json +2 -2
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import { couponMetrics, couponSchedule, getAmordegrc, getAmorlinc, isValidBasis, isValidFrequency, macaulayDuration, maturityAtIssueFractions, oddFirstPriceValue, oddLastCouponFractions, pricePeriodicSecurity, securityAnnualizedYearFraction, solveOddFirstYield, solvePeriodicSecurityYield, treasuryBillDays, yearFracByBasis, } from
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import { couponMetrics, couponSchedule, getAmordegrc, getAmorlinc, isValidBasis, isValidFrequency, macaulayDuration, maturityAtIssueFractions, oddFirstPriceValue, oddLastCouponFractions, pricePeriodicSecurity, securityAnnualizedYearFraction, solveOddFirstYield, solvePeriodicSecurityYield, treasuryBillDays, yearFracByBasis, } from './fixed-income.js';
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function isValidBasisValue(basis) {
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return basis !== undefined && isValidBasis(basis);
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const maturity = coerceDateSerial(maturityArg);
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const frequency = integerValue(frequencyArg);
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if (settlement === undefined || maturity === undefined || !isValidFrequencyValue(frequency) || !isValidBasisValue(basis)) {
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const metrics = couponMetrics(settlement, maturity, frequency, basis);
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const maturity = coerceDateSerial(maturityArg);
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const frequency = integerValue(frequencyArg);
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const basis = integerValue(basisArg, 0);
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const metrics = couponMetrics(settlement, maturity, frequency, basis);
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const maturity = coerceDateSerial(maturityArg);
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const frequency = integerValue(frequencyArg);
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const metrics = couponMetrics(settlement, maturity, frequency, basis);
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if (settlement === undefined || maturity === undefined || !isValidFrequencyValue(frequency) || !isValidBasisValue(basis)) {
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const schedule = couponSchedule(settlement, maturity, frequency);
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if (settlement === undefined || maturity === undefined || !isValidFrequencyValue(frequency) || !isValidBasisValue(basis)) {
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const schedule = couponSchedule(settlement, maturity, frequency);
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if (settlement === undefined || maturity === undefined || !isValidFrequencyValue(frequency) || !isValidBasisValue(basis)) {
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const schedule = couponSchedule(settlement, maturity, frequency);
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const years = securityAnnualizedYearFraction(settlement, maturity, basis);
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: numberResult((redemption - price) / redemption / years);
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return years === undefined ? valueError() : numberResult((redemption - price) / redemption / years);
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INTRATE: (settlementArg, maturityArg, investmentArg, redemptionArg, basisArg) => {
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const settlement = coerceDateSerial(settlementArg);
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const years = securityAnnualizedYearFraction(settlement, maturity, basis);
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: numberResult((redemption - investment) / investment / years);
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return years === undefined ? valueError() : numberResult((redemption - investment) / investment / years);
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RECEIVED: (settlementArg, maturityArg, investmentArg, discountArg, basisArg) => {
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const years = securityAnnualizedYearFraction(settlement, maturity, basis);
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: numberResult((redemption - price) / price / years);
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return years === undefined ? valueError() : numberResult((redemption - price) / price / years);
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TBILLPRICE: (settlementArg, maturityArg, discountArg) => {
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return price === undefined ? valueError() : numberResult(price);
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YIELD: (settlementArg, maturityArg, rateArg, priceArg, redemptionArg, frequencyArg, basisArg) => {
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const yieldRate = metrics ? solvePeriodicSecurityYield(metrics, rate, price, redemption, frequency) : undefined;
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return yieldRate === undefined ? valueError() : numberResult(yieldRate);
|
|
507
471
|
},
|
|
508
472
|
DURATION: (settlementArg, maturityArg, couponArg, yieldArg, frequencyArg, basisArg) => {
|
|
@@ -523,9 +487,7 @@ export function createFixedIncomeBuiltins({ toNumber, coerceBoolean, coerceDateS
|
|
|
523
487
|
return valueError();
|
|
524
488
|
}
|
|
525
489
|
const metrics = couponMetrics(settlement, maturity, frequency, basis);
|
|
526
|
-
const duration = metrics
|
|
527
|
-
? macaulayDuration(metrics, coupon, yieldRate, frequency)
|
|
528
|
-
: undefined;
|
|
490
|
+
const duration = metrics ? macaulayDuration(metrics, coupon, yieldRate, frequency) : undefined;
|
|
529
491
|
return duration === undefined ? valueError() : numberResult(duration);
|
|
530
492
|
},
|
|
531
493
|
MDURATION: (settlementArg, maturityArg, couponArg, yieldArg, frequencyArg, basisArg) => {
|
|
@@ -546,12 +508,8 @@ export function createFixedIncomeBuiltins({ toNumber, coerceBoolean, coerceDateS
|
|
|
546
508
|
return valueError();
|
|
547
509
|
}
|
|
548
510
|
const metrics = couponMetrics(settlement, maturity, frequency, basis);
|
|
549
|
-
const duration = metrics
|
|
550
|
-
|
|
551
|
-
: undefined;
|
|
552
|
-
return duration === undefined
|
|
553
|
-
? valueError()
|
|
554
|
-
: numberResult(duration / (1 + yieldRate / frequency));
|
|
511
|
+
const duration = metrics ? macaulayDuration(metrics, coupon, yieldRate, frequency) : undefined;
|
|
512
|
+
return duration === undefined ? valueError() : numberResult(duration / (1 + yieldRate / frequency));
|
|
555
513
|
},
|
|
556
514
|
AMORDEGRC: (costArg, datePurchasedArg, firstPeriodArg, salvageArg, periodArg, rateArg, basisArg) => {
|
|
557
515
|
const cost = toNumber(costArg);
|
|
@@ -1 +1 @@
|
|
|
1
|
-
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1
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+
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@@ -1,4 +1,4 @@
|
|
|
1
|
-
import { addMonthsToExcelDate, excelSerialToDateParts } from
|
|
1
|
+
import { addMonthsToExcelDate, excelSerialToDateParts } from './datetime.js';
|
|
2
2
|
function isLeapYear(year) {
|
|
3
3
|
return year % 4 === 0 && (year % 100 !== 0 || year % 400 === 0);
|
|
4
4
|
}
|
|
@@ -18,6 +18,7 @@ export function yearFracByBasis(startSerial, endSerial, basis) {
|
|
|
18
18
|
let start = startSerial;
|
|
19
19
|
let end = endSerial;
|
|
20
20
|
if (start > end) {
|
|
21
|
+
;
|
|
21
22
|
[start, end] = [end, start];
|
|
22
23
|
}
|
|
23
24
|
const startParts = excelSerialToDateParts(start);
|
|
@@ -69,10 +70,7 @@ export function yearFracByBasis(startSerial, endSerial, basis) {
|
|
|
69
70
|
switch (basis) {
|
|
70
71
|
case 1: {
|
|
71
72
|
const isYearDifferent = startYear !== endYear;
|
|
72
|
-
if (isYearDifferent &&
|
|
73
|
-
(endYear !== startYear + 1 ||
|
|
74
|
-
endMonth < startMonth ||
|
|
75
|
-
(endMonth === startMonth && endDay > startDay))) {
|
|
73
|
+
if (isYearDifferent && (endYear !== startYear + 1 || endMonth < startMonth || (endMonth === startMonth && endDay > startDay))) {
|
|
76
74
|
let dayCount = 0;
|
|
77
75
|
for (let year = startYear; year <= endYear; year += 1) {
|
|
78
76
|
dayCount += yearsDaysInYear(year);
|
|
@@ -137,10 +135,7 @@ export function maturityAtIssueFractions(settlement, maturity, issue, basis) {
|
|
|
137
135
|
};
|
|
138
136
|
}
|
|
139
137
|
export function oddLastCouponFractions(settlement, maturity, lastInterest, frequency, basis) {
|
|
140
|
-
if (lastInterest >= settlement ||
|
|
141
|
-
settlement >= maturity ||
|
|
142
|
-
!isValidFrequency(frequency) ||
|
|
143
|
-
!isValidBasis(basis)) {
|
|
138
|
+
if (lastInterest >= settlement || settlement >= maturity || !isValidFrequency(frequency) || !isValidBasis(basis)) {
|
|
144
139
|
return undefined;
|
|
145
140
|
}
|
|
146
141
|
const stepMonths = 12 / frequency;
|
|
@@ -157,10 +152,7 @@ export function oddLastCouponFractions(settlement, maturity, lastInterest, frequ
|
|
|
157
152
|
const actualEnd = Math.min(normalEnd, maturity);
|
|
158
153
|
const normalDays = couponDaysByBasis(periodStart, normalEnd, basis);
|
|
159
154
|
const countedDays = couponDaysByBasis(periodStart, actualEnd, basis);
|
|
160
|
-
if (normalDays === undefined ||
|
|
161
|
-
countedDays === undefined ||
|
|
162
|
-
normalDays <= 0 ||
|
|
163
|
-
countedDays < 0) {
|
|
155
|
+
if (normalDays === undefined || countedDays === undefined || normalDays <= 0 || countedDays < 0) {
|
|
164
156
|
return undefined;
|
|
165
157
|
}
|
|
166
158
|
totalFraction += countedDays / normalDays;
|
|
@@ -183,10 +175,7 @@ export function oddLastCouponFractions(settlement, maturity, lastInterest, frequ
|
|
|
183
175
|
periodStart = actualEnd;
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const metrics = oddFirstCouponMetrics(settlement, maturity, issue, firstCoupon, frequency, basis);
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export function solveOddFirstYield(settlement, maturity, issue, firstCoupon, rate, price, redemption, frequency, basis) {
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let guess = Math.min(Math.max(rate, lower + 1e-8), upper - 1e-8);
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|
@@ -350,9 +315,7 @@ export function solveOddFirstYield(settlement, maturity, issue, firstCoupon, rat
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|
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|
+
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|
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|
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|
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|
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|
|
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|
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|
@@ -393,9 +356,7 @@ function days360Us(startSerial, endSerial) {
|
|
|
393
356
|
endDay = 30;
|
|
394
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|
}
|
|
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358
|
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|
|
396
|
-
return (
|
|
397
|
-
(endParts.month - startParts.month) * 30 +
|
|
398
|
-
(endDay - startDay));
|
|
359
|
+
return (endParts.year - startParts.year) * 360 + (endParts.month - startParts.month) * 30 + (endDay - startDay);
|
|
399
360
|
}
|
|
400
361
|
function days360European(startSerial, endSerial) {
|
|
401
362
|
const startParts = excelSerialToDateParts(startSerial);
|
|
@@ -405,9 +366,7 @@ function days360European(startSerial, endSerial) {
|
|
|
405
366
|
}
|
|
406
367
|
const startDay = startParts.day === 31 ? 30 : startParts.day;
|
|
407
368
|
const endDay = endParts.day === 31 ? 30 : endParts.day;
|
|
408
|
-
return (
|
|
409
|
-
(endParts.month - startParts.month) * 30 +
|
|
410
|
-
(endDay - startDay));
|
|
369
|
+
return (endParts.year - startParts.year) * 360 + (endParts.month - startParts.month) * 30 + (endDay - startDay);
|
|
411
370
|
}
|
|
412
371
|
function couponDaysByBasis(startSerial, endSerial, basis) {
|
|
413
372
|
if (!isValidBasis(basis) || startSerial > endSerial) {
|
|
@@ -453,15 +412,8 @@ export function couponMetrics(settlement, maturity, frequency, basis) {
|
|
|
453
412
|
}
|
|
454
413
|
const accruedDays = couponDaysByBasis(schedule.previousCoupon, settlement, basis);
|
|
455
414
|
const daysToNextCoupon = couponDaysByBasis(settlement, schedule.nextCoupon, basis);
|
|
456
|
-
const daysInPeriod = basis === 1
|
|
457
|
-
|
|
458
|
-
: basis === 3
|
|
459
|
-
? 365 / frequency
|
|
460
|
-
: 360 / frequency;
|
|
461
|
-
if (accruedDays === undefined ||
|
|
462
|
-
daysToNextCoupon === undefined ||
|
|
463
|
-
daysInPeriod === undefined ||
|
|
464
|
-
daysInPeriod <= 0) {
|
|
415
|
+
const daysInPeriod = basis === 1 ? couponDaysByBasis(schedule.previousCoupon, schedule.nextCoupon, basis) : basis === 3 ? 365 / frequency : 360 / frequency;
|
|
416
|
+
if (accruedDays === undefined || daysToNextCoupon === undefined || daysInPeriod === undefined || daysInPeriod <= 0) {
|
|
465
417
|
return undefined;
|
|
466
418
|
}
|
|
467
419
|
return {
|
|
@@ -476,9 +428,7 @@ export function pricePeriodicSecurity(metrics, rate, yieldRate, redemption, freq
|
|
|
476
428
|
const periodsToNextCoupon = metrics.daysToNextCoupon / metrics.daysInPeriod;
|
|
477
429
|
if (metrics.periodsRemaining === 1) {
|
|
478
430
|
const denominator = 1 + (yieldRate / frequency) * periodsToNextCoupon;
|
|
479
|
-
return denominator <= 0
|
|
480
|
-
? undefined
|
|
481
|
-
: (redemption + coupon) / denominator - coupon * (metrics.accruedDays / metrics.daysInPeriod);
|
|
431
|
+
return denominator <= 0 ? undefined : (redemption + coupon) / denominator - coupon * (metrics.accruedDays / metrics.daysInPeriod);
|
|
482
432
|
}
|
|
483
433
|
const discountBase = 1 + yieldRate / frequency;
|
|
484
434
|
if (discountBase <= 0) {
|
|
@@ -499,9 +449,7 @@ export function solvePeriodicSecurityYield(metrics, rate, price, redemption, fre
|
|
|
499
449
|
if (dirtyPrice <= 0 || metrics.daysToNextCoupon <= 0) {
|
|
500
450
|
return undefined;
|
|
501
451
|
}
|
|
502
|
-
return ((
|
|
503
|
-
frequency *
|
|
504
|
-
(metrics.daysInPeriod / metrics.daysToNextCoupon));
|
|
452
|
+
return ((redemption + coupon) / dirtyPrice - 1) * frequency * (metrics.daysInPeriod / metrics.daysToNextCoupon);
|
|
505
453
|
}
|
|
506
454
|
const targetPrice = price;
|
|
507
455
|
const priceAtYield = (yieldRate) => pricePeriodicSecurity(metrics, rate, yieldRate, redemption, frequency);
|
|
@@ -509,11 +457,7 @@ export function solvePeriodicSecurityYield(metrics, rate, price, redemption, fre
|
|
|
509
457
|
let upper = Math.max(1, rate * 2 + 0.1);
|
|
510
458
|
let lowerPrice = priceAtYield(lower);
|
|
511
459
|
let upperPrice = priceAtYield(upper);
|
|
512
|
-
for (let iteration = 0; iteration < 100 &&
|
|
513
|
-
(lowerPrice === undefined ||
|
|
514
|
-
upperPrice === undefined ||
|
|
515
|
-
lowerPrice < targetPrice ||
|
|
516
|
-
upperPrice > targetPrice); iteration += 1) {
|
|
460
|
+
for (let iteration = 0; iteration < 100 && (lowerPrice === undefined || upperPrice === undefined || lowerPrice < targetPrice || upperPrice > targetPrice); iteration += 1) {
|
|
517
461
|
if (upperPrice === undefined || upperPrice > targetPrice) {
|
|
518
462
|
upper = upper * 2 + 1;
|
|
519
463
|
upperPrice = priceAtYield(upper);
|
|
@@ -522,10 +466,7 @@ export function solvePeriodicSecurityYield(metrics, rate, price, redemption, fre
|
|
|
522
466
|
lower = (lower - frequency) / 2;
|
|
523
467
|
lowerPrice = priceAtYield(lower);
|
|
524
468
|
}
|
|
525
|
-
if (lowerPrice === undefined ||
|
|
526
|
-
upperPrice === undefined ||
|
|
527
|
-
lowerPrice < targetPrice ||
|
|
528
|
-
upperPrice > targetPrice) {
|
|
469
|
+
if (lowerPrice === undefined || upperPrice === undefined || lowerPrice < targetPrice || upperPrice > targetPrice) {
|
|
529
470
|
return undefined;
|
|
530
471
|
}
|
|
531
472
|
let guess = Math.min(Math.max(rate, lower + 1e-8), upper - 1e-8);
|
|
@@ -541,9 +482,7 @@ export function solvePeriodicSecurityYield(metrics, rate, price, redemption, fre
|
|
|
541
482
|
const epsilon = Math.max(1e-7, Math.abs(guess) * 1e-6);
|
|
542
483
|
const shiftedPrice = priceAtYield(guess + epsilon);
|
|
543
484
|
const derivative = shiftedPrice === undefined ? undefined : (shiftedPrice - estimatedPrice) / epsilon;
|
|
544
|
-
let nextGuess = derivative === undefined || !Number.isFinite(derivative) || derivative === 0
|
|
545
|
-
? (lower + upper) / 2
|
|
546
|
-
: guess - error / derivative;
|
|
485
|
+
let nextGuess = derivative === undefined || !Number.isFinite(derivative) || derivative === 0 ? (lower + upper) / 2 : guess - error / derivative;
|
|
547
486
|
if (!Number.isFinite(nextGuess) || nextGuess <= lower || nextGuess >= upper) {
|
|
548
487
|
nextGuess = (lower + upper) / 2;
|
|
549
488
|
}
|
|
@@ -585,12 +524,7 @@ export function macaulayDuration(metrics, couponRate, yieldRate, frequency) {
|
|
|
585
524
|
return weightedPresentValue / price;
|
|
586
525
|
}
|
|
587
526
|
export function getAmordegrc(cost, datePurchased, firstPeriod, salvage, period, rate, basis) {
|
|
588
|
-
if (datePurchased > firstPeriod ||
|
|
589
|
-
rate <= 0 ||
|
|
590
|
-
salvage > cost ||
|
|
591
|
-
cost <= 0 ||
|
|
592
|
-
salvage < 0 ||
|
|
593
|
-
period < 0) {
|
|
527
|
+
if (datePurchased > firstPeriod || rate <= 0 || salvage > cost || cost <= 0 || salvage < 0 || period < 0) {
|
|
594
528
|
return undefined;
|
|
595
529
|
}
|
|
596
530
|
const serialPer = Math.trunc(period);
|
|
@@ -633,12 +567,7 @@ export function getAmordegrc(cost, datePurchased, firstPeriod, salvage, period,
|
|
|
633
567
|
return currentRate;
|
|
634
568
|
}
|
|
635
569
|
export function getAmorlinc(cost, datePurchased, firstPeriod, salvage, period, rate, basis) {
|
|
636
|
-
if (datePurchased > firstPeriod ||
|
|
637
|
-
rate <= 0 ||
|
|
638
|
-
salvage > cost ||
|
|
639
|
-
cost <= 0 ||
|
|
640
|
-
salvage < 0 ||
|
|
641
|
-
period < 0) {
|
|
570
|
+
if (datePurchased > firstPeriod || rate <= 0 || salvage > cost || cost <= 0 || salvage < 0 || period < 0) {
|
|
642
571
|
return undefined;
|
|
643
572
|
}
|
|
644
573
|
const serialPer = Math.trunc(period);
|