@insiderfinance/totalfinance 0.1.0
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/LICENSE +201 -0
- package/README.md +339 -0
- package/STABILITY.md +23 -0
- package/modules/backtest/dist/artifacts.d.ts +23 -0
- package/modules/backtest/dist/artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/artifacts.js +22 -0
- package/modules/backtest/dist/artifacts.js.map +1 -0
- package/modules/backtest/dist/broker.d.ts +265 -0
- package/modules/backtest/dist/broker.d.ts.map +1 -0
- package/modules/backtest/dist/broker.js +1228 -0
- package/modules/backtest/dist/broker.js.map +1 -0
- package/modules/backtest/dist/costs.d.ts +67 -0
- package/modules/backtest/dist/costs.d.ts.map +1 -0
- package/modules/backtest/dist/costs.js +171 -0
- package/modules/backtest/dist/costs.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts +21 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.js +1399 -0
- package/modules/backtest/dist/cross-sectional/engine.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts +134 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.js +375 -0
- package/modules/backtest/dist/cross-sectional/folds.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts +142 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.js +394 -0
- package/modules/backtest/dist/cross-sectional/grid.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts +18 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.js +15 -0
- package/modules/backtest/dist/cross-sectional/index.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts +331 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.js +12 -0
- package/modules/backtest/dist/cross-sectional/types.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts +22 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.js +489 -0
- package/modules/backtest/dist/cross-sectional/validate.js.map +1 -0
- package/modules/backtest/dist/diagnostics.d.ts +16 -0
- package/modules/backtest/dist/diagnostics.d.ts.map +1 -0
- package/modules/backtest/dist/diagnostics.js +63 -0
- package/modules/backtest/dist/diagnostics.js.map +1 -0
- package/modules/backtest/dist/environment/bench.d.ts +34 -0
- package/modules/backtest/dist/environment/bench.d.ts.map +1 -0
- package/modules/backtest/dist/environment/bench.js +724 -0
- package/modules/backtest/dist/environment/bench.js.map +1 -0
- package/modules/backtest/dist/environment/environment.d.ts +5 -0
- package/modules/backtest/dist/environment/environment.d.ts.map +1 -0
- package/modules/backtest/dist/environment/environment.js +618 -0
- package/modules/backtest/dist/environment/environment.js.map +1 -0
- package/modules/backtest/dist/environment/episode.d.ts +4 -0
- package/modules/backtest/dist/environment/episode.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episode.js +121 -0
- package/modules/backtest/dist/environment/episode.js.map +1 -0
- package/modules/backtest/dist/environment/episodes.d.ts +14 -0
- package/modules/backtest/dist/environment/episodes.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episodes.js +644 -0
- package/modules/backtest/dist/environment/episodes.js.map +1 -0
- package/modules/backtest/dist/environment/features.d.ts +31 -0
- package/modules/backtest/dist/environment/features.d.ts.map +1 -0
- package/modules/backtest/dist/environment/features.js +157 -0
- package/modules/backtest/dist/environment/features.js.map +1 -0
- package/modules/backtest/dist/environment/index.d.ts +14 -0
- package/modules/backtest/dist/environment/index.d.ts.map +1 -0
- package/modules/backtest/dist/environment/index.js +12 -0
- package/modules/backtest/dist/environment/index.js.map +1 -0
- package/modules/backtest/dist/environment/limits.d.ts +63 -0
- package/modules/backtest/dist/environment/limits.d.ts.map +1 -0
- package/modules/backtest/dist/environment/limits.js +253 -0
- package/modules/backtest/dist/environment/limits.js.map +1 -0
- package/modules/backtest/dist/environment/reward.d.ts +5 -0
- package/modules/backtest/dist/environment/reward.d.ts.map +1 -0
- package/modules/backtest/dist/environment/reward.js +80 -0
- package/modules/backtest/dist/environment/reward.js.map +1 -0
- package/modules/backtest/dist/environment/types.d.ts +540 -0
- package/modules/backtest/dist/environment/types.d.ts.map +1 -0
- package/modules/backtest/dist/environment/types.js +2 -0
- package/modules/backtest/dist/environment/types.js.map +1 -0
- package/modules/backtest/dist/environment/validate.d.ts +23 -0
- package/modules/backtest/dist/environment/validate.d.ts.map +1 -0
- package/modules/backtest/dist/environment/validate.js +264 -0
- package/modules/backtest/dist/environment/validate.js.map +1 -0
- package/modules/backtest/dist/event-driven.d.ts +111 -0
- package/modules/backtest/dist/event-driven.d.ts.map +1 -0
- package/modules/backtest/dist/event-driven.js +325 -0
- package/modules/backtest/dist/event-driven.js.map +1 -0
- package/modules/backtest/dist/execution/conformance.d.ts +33 -0
- package/modules/backtest/dist/execution/conformance.d.ts.map +1 -0
- package/modules/backtest/dist/execution/conformance.js +269 -0
- package/modules/backtest/dist/execution/conformance.js.map +1 -0
- package/modules/backtest/dist/execution/fill-models.d.ts +35 -0
- package/modules/backtest/dist/execution/fill-models.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-models.js +375 -0
- package/modules/backtest/dist/execution/fill-models.js.map +1 -0
- package/modules/backtest/dist/execution/fill-order.d.ts +55 -0
- package/modules/backtest/dist/execution/fill-order.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-order.js +156 -0
- package/modules/backtest/dist/execution/fill-order.js.map +1 -0
- package/modules/backtest/dist/execution/index.d.ts +33 -0
- package/modules/backtest/dist/execution/index.d.ts.map +1 -0
- package/modules/backtest/dist/execution/index.js +27 -0
- package/modules/backtest/dist/execution/index.js.map +1 -0
- package/modules/backtest/dist/execution/intrabar.d.ts +46 -0
- package/modules/backtest/dist/execution/intrabar.d.ts.map +1 -0
- package/modules/backtest/dist/execution/intrabar.js +130 -0
- package/modules/backtest/dist/execution/intrabar.js.map +1 -0
- package/modules/backtest/dist/execution/normalized.d.ts +56 -0
- package/modules/backtest/dist/execution/normalized.d.ts.map +1 -0
- package/modules/backtest/dist/execution/normalized.js +154 -0
- package/modules/backtest/dist/execution/normalized.js.map +1 -0
- package/modules/backtest/dist/execution/policy.d.ts +84 -0
- package/modules/backtest/dist/execution/policy.d.ts.map +1 -0
- package/modules/backtest/dist/execution/policy.js +341 -0
- package/modules/backtest/dist/execution/policy.js.map +1 -0
- package/modules/backtest/dist/execution/types.d.ts +217 -0
- package/modules/backtest/dist/execution/types.d.ts.map +1 -0
- package/modules/backtest/dist/execution/types.js +8 -0
- package/modules/backtest/dist/execution/types.js.map +1 -0
- package/modules/backtest/dist/execution/validate.d.ts +35 -0
- package/modules/backtest/dist/execution/validate.d.ts.map +1 -0
- package/modules/backtest/dist/execution/validate.js +666 -0
- package/modules/backtest/dist/execution/validate.js.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts +12 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.js +1129 -0
- package/modules/backtest/dist/generated/validation-specs.js.map +1 -0
- package/modules/backtest/dist/index.d.ts +33 -0
- package/modules/backtest/dist/index.d.ts.map +1 -0
- package/modules/backtest/dist/index.js +28 -0
- package/modules/backtest/dist/index.js.map +1 -0
- package/modules/backtest/dist/options/chain.d.ts +68 -0
- package/modules/backtest/dist/options/chain.d.ts.map +1 -0
- package/modules/backtest/dist/options/chain.js +303 -0
- package/modules/backtest/dist/options/chain.js.map +1 -0
- package/modules/backtest/dist/options/engine.d.ts +28 -0
- package/modules/backtest/dist/options/engine.d.ts.map +1 -0
- package/modules/backtest/dist/options/engine.js +1859 -0
- package/modules/backtest/dist/options/engine.js.map +1 -0
- package/modules/backtest/dist/options/index.d.ts +23 -0
- package/modules/backtest/dist/options/index.d.ts.map +1 -0
- package/modules/backtest/dist/options/index.js +21 -0
- package/modules/backtest/dist/options/index.js.map +1 -0
- package/modules/backtest/dist/options/tearsheet.d.ts +77 -0
- package/modules/backtest/dist/options/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/options/tearsheet.js +205 -0
- package/modules/backtest/dist/options/tearsheet.js.map +1 -0
- package/modules/backtest/dist/options/types.d.ts +571 -0
- package/modules/backtest/dist/options/types.d.ts.map +1 -0
- package/modules/backtest/dist/options/types.js +19 -0
- package/modules/backtest/dist/options/types.js.map +1 -0
- package/modules/backtest/dist/paper/index.d.ts +13 -0
- package/modules/backtest/dist/paper/index.d.ts.map +1 -0
- package/modules/backtest/dist/paper/index.js +12 -0
- package/modules/backtest/dist/paper/index.js.map +1 -0
- package/modules/backtest/dist/paper/paper.d.ts +8 -0
- package/modules/backtest/dist/paper/paper.d.ts.map +1 -0
- package/modules/backtest/dist/paper/paper.js +950 -0
- package/modules/backtest/dist/paper/paper.js.map +1 -0
- package/modules/backtest/dist/paper/types.d.ts +190 -0
- package/modules/backtest/dist/paper/types.d.ts.map +1 -0
- package/modules/backtest/dist/paper/types.js +3 -0
- package/modules/backtest/dist/paper/types.js.map +1 -0
- package/modules/backtest/dist/paper/validate.d.ts +9 -0
- package/modules/backtest/dist/paper/validate.d.ts.map +1 -0
- package/modules/backtest/dist/paper/validate.js +112 -0
- package/modules/backtest/dist/paper/validate.js.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts +37 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.js +555 -0
- package/modules/backtest/dist/portfolio/adapters.js.map +1 -0
- package/modules/backtest/dist/portfolio/engine.d.ts +35 -0
- package/modules/backtest/dist/portfolio/engine.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/engine.js +1300 -0
- package/modules/backtest/dist/portfolio/engine.js.map +1 -0
- package/modules/backtest/dist/portfolio/index.d.ts +12 -0
- package/modules/backtest/dist/portfolio/index.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/index.js +11 -0
- package/modules/backtest/dist/portfolio/index.js.map +1 -0
- package/modules/backtest/dist/portfolio/types.d.ts +418 -0
- package/modules/backtest/dist/portfolio/types.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/types.js +8 -0
- package/modules/backtest/dist/portfolio/types.js.map +1 -0
- package/modules/backtest/dist/portfolio/validate.d.ts +26 -0
- package/modules/backtest/dist/portfolio/validate.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/validate.js +556 -0
- package/modules/backtest/dist/portfolio/validate.js.map +1 -0
- package/modules/backtest/dist/run-artifacts.d.ts +425 -0
- package/modules/backtest/dist/run-artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/run-artifacts.js +1843 -0
- package/modules/backtest/dist/run-artifacts.js.map +1 -0
- package/modules/backtest/dist/signals.d.ts +110 -0
- package/modules/backtest/dist/signals.d.ts.map +1 -0
- package/modules/backtest/dist/signals.js +207 -0
- package/modules/backtest/dist/signals.js.map +1 -0
- package/modules/backtest/dist/tearsheet.d.ts +126 -0
- package/modules/backtest/dist/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/tearsheet.js +266 -0
- package/modules/backtest/dist/tearsheet.js.map +1 -0
- package/modules/backtest/dist/types.d.ts +175 -0
- package/modules/backtest/dist/types.d.ts.map +1 -0
- package/modules/backtest/dist/types.js +29 -0
- package/modules/backtest/dist/types.js.map +1 -0
- package/modules/backtest/dist/validate.d.ts +13 -0
- package/modules/backtest/dist/validate.d.ts.map +1 -0
- package/modules/backtest/dist/validate.js +37 -0
- package/modules/backtest/dist/validate.js.map +1 -0
- package/modules/backtest/dist/vectorized.d.ts +53 -0
- package/modules/backtest/dist/vectorized.d.ts.map +1 -0
- package/modules/backtest/dist/vectorized.js +383 -0
- package/modules/backtest/dist/vectorized.js.map +1 -0
- package/modules/backtest/dist/walk-forward.d.ts +57 -0
- package/modules/backtest/dist/walk-forward.d.ts.map +1 -0
- package/modules/backtest/dist/walk-forward.js +125 -0
- package/modules/backtest/dist/walk-forward.js.map +1 -0
- package/modules/backtest/etc/backtest.api.md +139 -0
- package/modules/backtest/src/artifacts.ts +54 -0
- package/modules/backtest/src/broker.ts +1529 -0
- package/modules/backtest/src/costs.ts +225 -0
- package/modules/backtest/src/cross-sectional/engine.ts +1608 -0
- package/modules/backtest/src/cross-sectional/folds.ts +718 -0
- package/modules/backtest/src/cross-sectional/grid.ts +646 -0
- package/modules/backtest/src/cross-sectional/index.ts +76 -0
- package/modules/backtest/src/cross-sectional/types.ts +363 -0
- package/modules/backtest/src/cross-sectional/validate.ts +906 -0
- package/modules/backtest/src/diagnostics.ts +66 -0
- package/modules/backtest/src/environment/bench.ts +1022 -0
- package/modules/backtest/src/environment/environment.ts +766 -0
- package/modules/backtest/src/environment/episode.ts +146 -0
- package/modules/backtest/src/environment/episodes.ts +786 -0
- package/modules/backtest/src/environment/features.ts +184 -0
- package/modules/backtest/src/environment/index.ts +79 -0
- package/modules/backtest/src/environment/limits.ts +383 -0
- package/modules/backtest/src/environment/reward.ts +98 -0
- package/modules/backtest/src/environment/types.ts +595 -0
- package/modules/backtest/src/environment/validate.ts +415 -0
- package/modules/backtest/src/event-driven.ts +528 -0
- package/modules/backtest/src/execution/conformance.ts +346 -0
- package/modules/backtest/src/execution/fill-models.ts +410 -0
- package/modules/backtest/src/execution/fill-order.ts +261 -0
- package/modules/backtest/src/execution/index.ts +91 -0
- package/modules/backtest/src/execution/intrabar.ts +185 -0
- package/modules/backtest/src/execution/normalized.ts +216 -0
- package/modules/backtest/src/execution/policy.ts +447 -0
- package/modules/backtest/src/execution/types.ts +239 -0
- package/modules/backtest/src/execution/validate.ts +889 -0
- package/modules/backtest/src/generated/validation-specs.ts +1132 -0
- package/modules/backtest/src/index.ts +157 -0
- package/modules/backtest/src/options/chain.ts +410 -0
- package/modules/backtest/src/options/engine.ts +2240 -0
- package/modules/backtest/src/options/index.ts +68 -0
- package/modules/backtest/src/options/tearsheet.ts +327 -0
- package/modules/backtest/src/options/types.ts +573 -0
- package/modules/backtest/src/paper/index.ts +27 -0
- package/modules/backtest/src/paper/paper.ts +1288 -0
- package/modules/backtest/src/paper/types.ts +221 -0
- package/modules/backtest/src/paper/validate.ts +168 -0
- package/modules/backtest/src/portfolio/adapters.ts +651 -0
- package/modules/backtest/src/portfolio/engine.ts +1518 -0
- package/modules/backtest/src/portfolio/index.ts +64 -0
- package/modules/backtest/src/portfolio/types.ts +456 -0
- package/modules/backtest/src/portfolio/validate.ts +861 -0
- package/modules/backtest/src/run-artifacts.ts +2873 -0
- package/modules/backtest/src/signals.ts +267 -0
- package/modules/backtest/src/tearsheet.ts +425 -0
- package/modules/backtest/src/types.ts +200 -0
- package/modules/backtest/src/validate.ts +43 -0
- package/modules/backtest/src/vectorized.ts +541 -0
- package/modules/backtest/src/walk-forward.ts +215 -0
- package/modules/calendars/dist/cboe.d.ts +15 -0
- package/modules/calendars/dist/cboe.d.ts.map +1 -0
- package/modules/calendars/dist/cboe.js +16 -0
- package/modules/calendars/dist/cboe.js.map +1 -0
- package/modules/calendars/dist/crypto.d.ts +15 -0
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- package/modules/calendars/dist/crypto.js.map +1 -0
- package/modules/calendars/dist/expirations.d.ts +35 -0
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- package/modules/calendars/src/us-market.ts +86 -0
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- package/modules/cli/src/exit-codes.ts +21 -0
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- package/modules/commodities/src/internal.ts +6 -0
- package/modules/commodities/src/term-structure.ts +828 -0
- package/modules/core/dist/artifacts/analysis-artifact.d.ts +140 -0
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annualDiscountRate: number;
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29
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/** Where the discount rate came from. This analysis never derives one: always user-supplied. */
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discountRateSource: 'user-supplied';
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compounding: InterestCompounding;
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dayCount: DayCount;
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terminalValueMethod: TerminalValueMethod;
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34
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/** The perpetuity convention: the stated terminal flow is the FINAL forecast-period flow. */
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terminalCashFlowConvention: 'final-forecast-period-flow';
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36
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/** How the equity bridge was decided. */
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bridgeDecision: 'bridge-supplied' | 'no-bridge-supplied-equity-value-absent' | 'equity-basis-no-bridge-applicable';
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38
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+
/** How the per-share denominator was decided. */
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shareCountDecision: 'diluted-shares-supplied' | 'no-shares-supplied-per-share-absent';
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40
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+
}
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41
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+
/** Diagnostics the valuation discloses — closed and versioned alongside the assumptions. */
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42
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+
export interface DiscountedCashFlowDiagnostics {
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43
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+
projectedPeriodCount: number;
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44
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+
/** Terminal value's share of the TOTAL present value — the classic sanity number. */
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45
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+
terminalValueShareOfValue: number;
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46
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+
warnings: string[];
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+
/** Inputs deliberately not used, each with the reason (empty when everything participated). */
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exclusions: string[];
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}
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50
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/** One discounted projection row. */
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51
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+
export interface DiscountedProjectedCashFlowRow {
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cashFlowDate?: string;
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53
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timeYears: number;
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54
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+
cashFlowAmount: number;
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55
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+
discountFactor: number;
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56
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+
presentValue: number;
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57
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+
}
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58
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+
/** The shared core of a DCF result. */
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59
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+
export interface DiscountedCashFlowCommonResult {
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60
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+
projectedCashFlows: DiscountedProjectedCashFlowRow[];
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61
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+
projectedCashFlowPresentValue: number;
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62
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+
terminalValue: number;
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63
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+
terminalValuePresentValue: number;
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assumptions: DiscountedCashFlowAssumptions;
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65
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+
diagnostics: DiscountedCashFlowDiagnostics;
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66
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+
provenance?: ValuationProvenance;
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67
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+
}
|
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68
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+
/** The basis-discriminated DCF result: FCFF → firm, FCFE → equity, never relabeled. */
|
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69
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+
export type DiscountedCashFlowResult = DiscountedCashFlowCommonResult & ({
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70
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+
valuationBasis: 'firm';
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71
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+
enterpriseValue: number;
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72
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+
enterpriseToEquityBridge?: EnterpriseToEquityBridge;
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73
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+
equityValue?: number;
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74
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+
/** Present exactly when a bridge was supplied but equity value is still absent. */
|
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75
|
+
equityValueAbsentReason?: string;
|
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76
|
+
valuePerShare?: number;
|
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77
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+
valuePerShareAbsentReason?: string;
|
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78
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+
} | {
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79
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+
valuationBasis: 'equity';
|
|
80
|
+
equityValue: number;
|
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81
|
+
valuePerShare?: number;
|
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82
|
+
valuePerShareAbsentReason?: string;
|
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83
|
+
});
|
|
84
|
+
/** One projected cash flow: dated (with the valuation-date day count) or timed. */
|
|
85
|
+
export type ProjectedCashFlow = {
|
|
86
|
+
cashFlowDate: string;
|
|
87
|
+
amount: number;
|
|
88
|
+
} | {
|
|
89
|
+
timeYears: number;
|
|
90
|
+
amount: number;
|
|
91
|
+
};
|
|
92
|
+
/**
|
|
93
|
+
* One coherent projection time basis. A schedule is entirely dated or entirely year-fraction based;
|
|
94
|
+
* the type rejects the mixed array the runtime has always refused.
|
|
95
|
+
*/
|
|
96
|
+
export type ProjectedCashFlowSchedule = readonly {
|
|
97
|
+
cashFlowDate: string;
|
|
98
|
+
amount: number;
|
|
99
|
+
}[] | readonly {
|
|
100
|
+
timeYears: number;
|
|
101
|
+
amount: number;
|
|
102
|
+
}[];
|
|
103
|
+
/** Input for {@link discountedCashFlow}. */
|
|
104
|
+
export interface DiscountedCashFlowInput {
|
|
105
|
+
/**
|
|
106
|
+
* Which value the projected flows produce: `'firm'` for FCFF (enterprise value), `'equity'` for
|
|
107
|
+
* FCFE (equity value). The basis is a statement about WHAT the flows are, so it is required.
|
|
108
|
+
*/
|
|
109
|
+
valuationBasis: 'firm' | 'equity';
|
|
110
|
+
/** Strict `YYYY-MM-DD`. Every dated flow discounts from here. */
|
|
111
|
+
valuationDate: string;
|
|
112
|
+
currency: string;
|
|
113
|
+
projectedCashFlows: ProjectedCashFlowSchedule;
|
|
114
|
+
/** Annual discount rate (decimal). A professional DCF never obtains one from a default. */
|
|
115
|
+
annualDiscountRate: number;
|
|
116
|
+
/** REQUIRED — a professional DCF states its convention. */
|
|
117
|
+
compounding: InterestCompounding;
|
|
118
|
+
/** REQUIRED when any flow is dated; rejected as unused when every flow is timed. */
|
|
119
|
+
dayCount?: DayCount;
|
|
120
|
+
terminalValueMethod: TerminalValueMethod;
|
|
121
|
+
/** Firm basis only: enables the equity bridge. */
|
|
122
|
+
enterpriseToEquityBridge?: EnterpriseToEquityBridge;
|
|
123
|
+
/** Enables per-share value. */
|
|
124
|
+
dilutedSharesOutstanding?: number;
|
|
125
|
+
provenance?: ValuationProvenance;
|
|
126
|
+
}
|
|
127
|
+
/**
|
|
128
|
+
* The direct DCF: explicit projections, explicit conventions, explicit terminal method. The
|
|
129
|
+
* top-level `annualDiscountRate` feeds the terminal primitive too, so a caller never repeats the
|
|
130
|
+
* rate inside the terminal method. Firm basis returns enterprise value (equity only across a
|
|
131
|
+
* supplied bridge); equity basis returns equity value directly.
|
|
132
|
+
*/
|
|
133
|
+
export declare function discountedCashFlow(input: DiscountedCashFlowInput): DiscountedCashFlowResult;
|
|
134
|
+
/** The variable the reverse analysis solves for — an explicit discriminant. */
|
|
135
|
+
export type ReverseDiscountedCashFlowTarget = {
|
|
136
|
+
variable: 'perpetual-growth-rate';
|
|
137
|
+
/** The bracket to search. Explicit — the admissible range is an economic statement. */
|
|
138
|
+
searchRange: {
|
|
139
|
+
from: number;
|
|
140
|
+
to: number;
|
|
141
|
+
};
|
|
142
|
+
} | {
|
|
143
|
+
variable: 'annual-discount-rate';
|
|
144
|
+
searchRange: {
|
|
145
|
+
from: number;
|
|
146
|
+
to: number;
|
|
147
|
+
};
|
|
148
|
+
};
|
|
149
|
+
/** Input for {@link reverseDiscountedCashFlow}. */
|
|
150
|
+
export interface ReverseDiscountedCashFlowInput {
|
|
151
|
+
/** The full direct-DCF input to hold fixed (except the solved variable). */
|
|
152
|
+
discountedCashFlowInput: DiscountedCashFlowInput;
|
|
153
|
+
target: ReverseDiscountedCashFlowTarget;
|
|
154
|
+
/** The observed value to match: enterprise value on the firm basis, equity value on equity. */
|
|
155
|
+
targetValue: number;
|
|
156
|
+
}
|
|
157
|
+
/** Result of {@link reverseDiscountedCashFlow}. */
|
|
158
|
+
export interface ReverseDiscountedCashFlowResult {
|
|
159
|
+
assumptions: {
|
|
160
|
+
variable: ReverseDiscountedCashFlowTarget['variable'];
|
|
161
|
+
searchRange: {
|
|
162
|
+
from: number;
|
|
163
|
+
to: number;
|
|
164
|
+
};
|
|
165
|
+
targetValue: number;
|
|
166
|
+
method: 'bisection';
|
|
167
|
+
};
|
|
168
|
+
diagnostics: {
|
|
169
|
+
warnings: string[];
|
|
170
|
+
};
|
|
171
|
+
variable: ReverseDiscountedCashFlowTarget['variable'];
|
|
172
|
+
/** The implied value of the solved variable, or `null` when no root lies in the range. */
|
|
173
|
+
impliedValue: number | null;
|
|
174
|
+
/** Why `impliedValue` is null, when it is. */
|
|
175
|
+
reason?: string;
|
|
176
|
+
searchRange: {
|
|
177
|
+
from: number;
|
|
178
|
+
to: number;
|
|
179
|
+
};
|
|
180
|
+
converged: boolean;
|
|
181
|
+
iterations: number;
|
|
182
|
+
/** |model(implied) − target| at the reported solution (absolute). */
|
|
183
|
+
residual: number | null;
|
|
184
|
+
/** The valuation the implied variable reproduces, for inspection. */
|
|
185
|
+
impliedResult: DiscountedCashFlowResult | null;
|
|
186
|
+
}
|
|
187
|
+
/**
|
|
188
|
+
* Solve for the stated variable so the DCF reproduces `targetValue` (enterprise value on the firm
|
|
189
|
+
* basis, equity value on equity). Bisection over the EXPLICIT search range; bounds and convergence
|
|
190
|
+
* are reported, and a no-root range answers `null` with the reason — never the nearest endpoint.
|
|
191
|
+
*/
|
|
192
|
+
export declare function reverseDiscountedCashFlow(input: ReverseDiscountedCashFlowInput): ReverseDiscountedCashFlowResult;
|
|
193
|
+
/** A sensitivity axis: which variable, and the explicit values to evaluate. */
|
|
194
|
+
export interface SensitivityAxis {
|
|
195
|
+
variable: 'annual-discount-rate' | 'perpetual-growth-rate' | 'exit-multiple';
|
|
196
|
+
/** Decimal rates for the rate variables; a plain multiple for 'exit-multiple'. */
|
|
197
|
+
values: readonly number[];
|
|
198
|
+
}
|
|
199
|
+
/** Input for {@link discountedCashFlowSensitivityTable}. */
|
|
200
|
+
export interface SensitivityTableInput {
|
|
201
|
+
discountedCashFlowInput: DiscountedCashFlowInput;
|
|
202
|
+
rowAxis: SensitivityAxis;
|
|
203
|
+
columnAxis: SensitivityAxis;
|
|
204
|
+
}
|
|
205
|
+
/** Result of {@link discountedCashFlowSensitivityTable}. */
|
|
206
|
+
export interface SensitivityTableResult {
|
|
207
|
+
assumptions: {
|
|
208
|
+
rowVariable: SensitivityAxis['variable'];
|
|
209
|
+
rowUnit: string;
|
|
210
|
+
columnVariable: SensitivityAxis['variable'];
|
|
211
|
+
columnUnit: string;
|
|
212
|
+
cellValue: 'enterpriseValue' | 'equityValue';
|
|
213
|
+
};
|
|
214
|
+
diagnostics: {
|
|
215
|
+
warnings: string[];
|
|
216
|
+
};
|
|
217
|
+
/** The value each cell reports: enterprise value (firm basis) or equity value (equity basis). */
|
|
218
|
+
cellValue: 'enterpriseValue' | 'equityValue';
|
|
219
|
+
rowVariable: SensitivityAxis['variable'];
|
|
220
|
+
/** The unit of the row/column values, stated. */
|
|
221
|
+
rowUnit: string;
|
|
222
|
+
columnVariable: SensitivityAxis['variable'];
|
|
223
|
+
columnUnit: string;
|
|
224
|
+
rowValues: number[];
|
|
225
|
+
columnValues: number[];
|
|
226
|
+
/** `cells[rowIndex][columnIndex]` — each PROVEN equal to a direct DCF call by construction. */
|
|
227
|
+
cells: number[][];
|
|
228
|
+
/** The unmodified base case, retained. */
|
|
229
|
+
baseCase: DiscountedCashFlowResult;
|
|
230
|
+
}
|
|
231
|
+
/**
|
|
232
|
+
* A two-axis sensitivity table where EVERY cell is a direct {@link discountedCashFlow} call with
|
|
233
|
+
* exactly one row and one column value substituted — no incremental shortcuts, so the equality the
|
|
234
|
+
* acceptance law demands holds by construction. The base case is retained unmodified.
|
|
235
|
+
*/
|
|
236
|
+
export declare function discountedCashFlowSensitivityTable(input: SensitivityTableInput): SensitivityTableResult;
|
|
237
|
+
/** One named deterministic scenario: explicit overrides of the base input, nothing invented. */
|
|
238
|
+
export interface DiscountedCashFlowScenario {
|
|
239
|
+
scenarioName: string;
|
|
240
|
+
overrides: Partial<Pick<DiscountedCashFlowInput, 'annualDiscountRate' | 'terminalValueMethod' | 'projectedCashFlows' | 'dayCount'>>;
|
|
241
|
+
}
|
|
242
|
+
/** Input for {@link discountedCashFlowScenarioAnalysis}. */
|
|
243
|
+
export interface ScenarioAnalysisInput {
|
|
244
|
+
discountedCashFlowInput: DiscountedCashFlowInput;
|
|
245
|
+
scenarios: readonly DiscountedCashFlowScenario[];
|
|
246
|
+
}
|
|
247
|
+
/** Result of {@link discountedCashFlowScenarioAnalysis}. */
|
|
248
|
+
export interface ScenarioAnalysisResult {
|
|
249
|
+
assumptions: {
|
|
250
|
+
scenarioNames: string[];
|
|
251
|
+
};
|
|
252
|
+
diagnostics: {
|
|
253
|
+
warnings: string[];
|
|
254
|
+
};
|
|
255
|
+
baseCase: DiscountedCashFlowResult;
|
|
256
|
+
scenarios: Array<{
|
|
257
|
+
scenarioName: string;
|
|
258
|
+
/** Exactly which fields this scenario overrode. */
|
|
259
|
+
overriddenFields: string[];
|
|
260
|
+
result: DiscountedCashFlowResult;
|
|
261
|
+
}>;
|
|
262
|
+
}
|
|
263
|
+
/**
|
|
264
|
+
* Named deterministic assumption sets over one base case. Each scenario is the base input with
|
|
265
|
+
* ONLY its stated overrides replaced — scenario values are supplied, never invented — and each
|
|
266
|
+
* result is a direct {@link discountedCashFlow} call.
|
|
267
|
+
*/
|
|
268
|
+
export declare function discountedCashFlowScenarioAnalysis(input: ScenarioAnalysisInput): ScenarioAnalysisResult;
|
|
269
|
+
//# sourceMappingURL=discounted-cash-flow.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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